RTS 14: Data Disaggregation

MIFID I, introduced the concept of "reasonable commercial basis" in relation to the provision and sale of market data. Furthermore, MiFID II requires that all trading venues provide pre-trade and post-trade data in an 'unbundled' fashion. Venues will be required to disaggregate their data by the criteria documented in RTS 14.

Based on the Cboe dataset we will offer disaggregation by the following criteria:

  • Asset class
  • Country of issue
  • Trading currency
  • Auctions vs continuous trading

Cboe will offer a pricing point for our disaggregated data by one or all of the criteria above.

Cboe will be providing disaggregation in two forms:

Licence disaggregation

Cboe will introduce a new commercial market data policy and price list to meet the customer demand and the majority of anticipated disaggregation requirements. Cboe welcomes early feedback with regards to disaggregated data licences and potential bundles/packages of data clients want to meet their requirements. Please contact our market data team at [email protected].

Physical disaggregation

Cboe has introduced two new data feeds:

Cboe Auction Feed

MiFID II requires disaggregation of scheduled daily auctions. The Cboe Auction Feed captures all relevant auction activity in an environment, so for users only interested in consuming scheduled daily auctions, provides a low bandwidth alternative to consuming PITCH feeds. Cboe Auction Feed in BXE provides Periodic Auction data and in CXE provides Opening and Closing Auction data.

Last Sale Feed

MiFID II requires disaggregation of post-trade data from pre-trade. The Last Sale Feed excludes pre-trade data, so for users interested only in post-trade data, it provides a low bandwidth alternative to consuming full depth PITCH feeds. The feed is available from BXE, CXE and from the TRF environments.

MiFID II requires post-trade transparent data to be published in a specific format, with a goal of reducing frictional costs of consuming feeds from multiple trading venues. The Last Sale Feed message structure follows the prescribed format mandated by RTS 1: Equity Transparency.