MiFIR Transaction Reporting

The CME Group MiFIR Transaction Reporting service exclusively supports trades on CME Group Listed Derivatives Futures and Options on Futures. BrokerTec and EBS trades are not available on this service.



This topic provides information to support clients subject to MiFID II requirementsCME Group provides the the following reports:

  • A CSV report for each clearing or executing firm containing the trades for products subject to MiFIR reporting requirements will be available by 12 a.m. Central Time via the CME Groups FTP site or the Enterprise Reporting Portal (EREP), Monday through Friday.

    • Within EREP the reports will be known as:

      • Report ID : TR001

      • Report Name : MiFID Transaction Report

    • The naming convention for the file is as follows:

      • Example: MIFID.xxxLEI.20171016.csv

        • Format: MIFID.{LEI}.{Date}.csv

        • Date is YYYYMMDD

  • A CSV report on products covered under the MiFIR requirementsThe file can be cross-referenced with the FPRF file, to identify specific instruments.

Contents 

Sign Up Process

Firm must be an existing, onboarded CME Group firm to register for MiFIR Transaction reports.

  1. Sign up for the trade report here.  

  2. Global Account Management (GAM) team member will send the Terms and Conditions.

  3. Review the Terms and Conditions form, enter the firm LEI, sign the form and send to GAM.

  4. Register MiFID II eligible accounts in Account Management Service.

  5. Inform GAM of your preference to access files via sFTP or EREP.

A subscription service for MiFID II reporting updates is available at the CME Group Subscription Center.

MiFIR Transaction Reporting File Specifications

  • Only the following MiFIR Fields will be available in the reports. Client systems must join this information with in-house records to generate the full report.

  • Please note that the MiFIR Data Service does not take into account any of Client's own circumstances that could affect the required contents of its Transaction Reports. Clients are solely responsible for complying with the Reporting Obligation and must use data provided by the MiFIR Data Service accordingly. 

  • The CME LEI is SNZ2OJLFK8MNNCLQOF39.

  • Use this guide to map from the CSV to individual fill messages (Note: when reporting the Trading Venue Transaction ID Code, do not include the pipe delimiters within this field on the CSV).

  • Field 41- Instrument Identification Code - CME Group products do not have an ISIN, and are not required to have one under CFTC rules. MiFID fields 42-56 will instead be provided to help clients identify the traded instruments, with the exception of field 47 – Underlying instrument code since this ISIN is not stored within CME Group systems.

CSV Field Header

MiFIR Field Number Mapping

MiFIR Field Name Mapping

Description

Data Type

Example

Maps to

CSV Field Header

MiFIR Field Number Mapping

MiFIR Field Name Mapping

Description

Data Type

Example

Maps to

CYC_DT

-



ISO 8601 standard business date when the report was generated.

DATE

2017-05-16

-

TRDG_FIRM_ID

-



Trading Firm Identifier

VARCHAR(40)

999_cmegroup

Clearing Confirmation:

TrdCaptRpt/RptSide/Pty/@ID (tag 44)

Where

TrdCaptRpt/RptSide/Pty/@R="7" (tag 452=7)

AND

TrdCaptRpt/RptSide/Pty/@Src="C" (tag 447=C)

TXN_REF_NBR

2

Transaction Reference Number

Unique Transaction Reference Number

VARCHAR(52)

844531565

 Clearing Confirmation:

TrdCaptRpt/@RptID (tag 571)

TRDG_VNU_TXN_ID_CD

3

Trading Venue Transaction Identification Code

Trading Venue Transaction Identification Code

52-character alphanumeric field populated with a code generated by the trading venue, disseminated to both buyer and sellers

VARCHAR(52)

123456

Clearing Confirmation: 

TrdCaptRpt/@ExecID (tag 17)

CME STP Trade Fill:

The values from the following separated by a | character

ExecRpt/@TrdDt (tag 75) +

ExecRpt/Instrmt/@Desc (tag 107) +

The number at the end ExecRpt/@ExecID (tag 17) after the “TN” ignoring any leading zeros

BUYR_SELR_ID_CD

7/16

Buyer Identification Code/Seller Identification Code

Trading Firm LEI.

VARCHAR(50)

SNZ2OJLFK8MNNCLQOF39

 Clearing Confirmation: 

TrdCaptRpt/RptSide/Pty/@ID (tag 448)

Where

TrdCaptRpt/RptSide/Pty/@R="7" (tag 452=7)

AND

TrdCaptRpt/RptSide/Pty/@Src="N” (tag 447=N)

TRD_DT_TM

28

Trade Date Time

ISO 8601 standard trade date and time

YYYY-MM-DDThh:mm:ss:ddddddZ

DATETIME

2017-03-01T13:00:00.000000Z

 Clearing Confirmation: 

TrdCaptRpt/RptSide/TrdRegTS/@TS (tag 1012)

Where

TrdCaptRpt/RptSide/TrdRegTS/@Typ="1" (tag 1013=1)

QTY

30

Quantity

Quantity traded

NUMBER(18,17)

20.0

Clearing Confirmation:

TrdCaptRpt/@LastQty (tag 32)

CME STP Trade Fill:

ExecRpt/@LastQty (tag 32)

PX

33

Price

Price of instrument

NUMBER(18,17)

65.62

Clearing Confirmation:

TrdCaptRpt/@LastPx (tag 31)

CME STP Trade Fill:

ExecRpt/@LastPx (tag 31)

PX_SGN

33

Price

Price sign Indicator

  • false = positive price

  • true = negative price

VARCHAR(5)

false

Determined based on whether LastPx (tag 31) is positive or negative.

PX_CCY

34

Price Currency

Price currency

VARCHAR(3)

USD

Clearing Confirmation: 

TrdCaptRpt/Instrmt/@PxQteCcy (tag 1524)

VNU

36

Venue

Identifies the type of venue where a trade was executed.

VARCHAR(4)

XOFF

CME Group MIC codes

 Clearing Confirmation:

TrdCaptRpt/@VenuTyp (tag 1430)

UPFT_PMT

38

Up-Front Payment

Up-front payment

NUMBER(18,5)

0

Clearing Confirmation:

TrdCaptRpt/Amt/@Amt (tag 708)

Where

TrdCaptRpt/Amt/@Typ="CRES" (tag 707=CRES)

UPFT_PMT_SGN

38

Up-Front Payment

Up-front payment sign indicator

  •  

    • false = positive up-front price

    • true = negative up-front  price

VARCHAR(5)

false

Determined based on whether Amt (tag 708) is positive or negative.

UPFT_PMT_CCY

39

Up-Front Payment Currency

Up-front payment currency

VARCHAR(3)

USD

Clearing Confirmation:

TrdCaptRpt/Amt/@Ccy (tag 1055)

Where

TrdCaptRpt/Amt/@Typ="CRES" (tag707=CRES)

CPLX_TRD_CPNT_ID

40

Complex Trade Component ID

Complex Trade Component ID

Unique ID internal to the reporting firm and used to identify all reports relating to the same execution of a combination of financial instruments (e.g. strategy trades).

Will only be populated for spread trades.

VARCHAR(35)

654321

Clearing Confirmation:

TrdCaptRpt/RptSide/@StrategyLinkID (tag 1851)

CME STP Fills:

ExecRpt/@ExecID (tag 17)

INST_FULL_NAME

42

Instrument Full Name

Full name of instrument

VARCHAR(350)

Natural Gas Options

 Clearing Confirmation:

TrdCaptRpt/Instrmt/@Desc (tag 107)

INST_CSFN

43

Instrument Classification

Instrument classification using ISO 10962 standard.

VARCHAR(6)

OPAXPS

 Clearing Confirmation:

TrdCaptRpt/Instrmt/@CFI (tag 461)

NOTL_CCY_1

44

Notional Currency 1

Notional currency

The currency of the notional amount. In the case of an interest rate derivative
contract, this will be the notional currency of leg 1.

Will be null if not a currency.

VARCHAR(3)

USD

Clearing Confirmation:

TrdCaptRpt/Instrmt/@PxQteCcy (tag 1524)

PX_MULT

46

Price Multiplier

Price multiplier

Number of units of the underlying instrument represented by a single derivative contract. For a future or option on an index, the amount per index point.

NUMBER(18,17)

10000

Clearing Confirmation:

TrdCaptRpt/Instrmt/@Mult (tag 231)

UND_IDX_NAME

48

Underlying Index Name

Underlying instrument name

VARCHAR(30)

Natural Gas Options

Clearing Confirmation:

TrdCaptRpt/Undly/@Desc (tag 307)

OPT_TYP

50

Option Type

Option type

VARCHAR(4)

PUTO - Put option

CALL - Call option

OTHR - Other option

Clearing Confirmation:

TrdCaptRpt/Instrmt/@PutCall (tag 201)

STRK_PX

51



Strike price

NUMBER(18,17)

5250.0

Clearing Confirmation:

TrdCaptRpt/Instrmt/@StrkPx (tag 202)

STRK_PX_SGN

51

Strike Price

Strike price sign indicator

  •  

    • false = positive strike price

    • true = negative strike price

VARCHAR(5)

false

Determined based on whether the value of StrkPx (tag 202) is positive or negative.



STRK_PX_CCY

52

Strike Price Currency

Strike price currency

VARCHAR(3)

USD

Clearing Confirmation:

TrdCaptRpt/Instrmt/@PxQteCcy (tag 1524)

OPT_EXER_STYL

53

Option Exercise Style

Option Exercise Style (Americal or European)

VARCHAR(4)

AMER

Clearing Confirmation:

TrdCaptRpt/Instrmt/@ExerStyle (tag 1194)

EXPY_DT

55

Expiry Date

ISO 8601 standard expiration date of instrument

DATE

2018-01-26

Clearing Confirmation: 

TrdCaptRpt/Instrmt/@MatDt (tag 541)

DLV_TYP

56

Delivery Type

Delivery Type

  •  

    • Physical (PHYS)

    • Financial (CASH)

    • Option (OPT)

VARCHAR(5)

PHYS

Clearing Confirmation: 

TrdCaptRpt/Instrmt/@SettlMeth (tag 1193)



Product File Specifications

CSV Field

Description

Data Type

Example

CSV Field

Description

Data Type

Example

Clearing Code

Clearing Product Code.

VARCHAR(10)

ON

CME Globex Code

Globex Product Code.

VARCHAR(10)

ON

CME ClearPort Code

CME ClearPort Product Code.

VARCHAR(10)

ON

Exchange

Exchange product trades on.

VARCHAR(10)

NYMEX

Product Name

Name of the product.

VARCHAR(50)

Natural Gas Options








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