MiFID2 Timestamps

Trading venues are the principal target of MiFID 2’s rules on timestamps. There are four key elements to times for trading venues and their members/ participants;

1. Time is not local time or Summer/ Winter time it is UTC as measured by a set of physics labs in the annual report from BIPM which is the international body which co-ordinates mankind’s efforts to measure time with immense precision.

2. There is a maximum divergence from UTC set, depending on the activity.

3. There is a time precision set depending on the activity.

4. Any method used to set up the required time accuracy has to be retested annually.

Trading Venue Operators Standard

A term called “Latency” is used to determine the standards for trading venues where latency is the time the venue’s systems take from the first point in their wiring they receive and order to the final point where they send out an execution message.

Latency, milliseconds	Maximum divergence from UTC	Minimum timestamp precision
1 or faster	100 microseconds	1 microsecond
Slower than 1	1 millisecond	1 millisecond

NB a systematic internaliser is not a trading venue, it’s firm trading on its own account in a …

Participants and Members of a trading venue

Activity	Maximum divergence from UTC	Minimum timestamp precision
High Frequency Trading (HFT)	100 microseconds	1 microsecond
Voice systems, negotiated activities, activities with human intervention	1 second	1 second
Anything else which will include automatic order routing and automatic non HFT algorithmic trading	1 millisecond	1 millisecond

The above is from the technical standard 2017/574.

These rules only apply to trading venues and firms when they are trading on the venue, not to their OTC trades. Also the rules do not apply to a manual chain of orders which are finally executed on a venue. Only the on-venue activity is subject to the rules. OTC trades need to be recorded to 1 second or better (2017/590, Annex 1, Table 2 field 28).

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