20th May 2016
Article 25 of MiFIR requires trading venues to maintain records of all orders advertised through their systems. RTS 24 significantly expands this obligation to require venues to capture new data relating to orders in order for a trading venue to carry out its core activities. That information includes:
These obligations present Cboe, other comparable trading venues and their users with a challenge: what is the most efficient, and cost-effective way to distribute time accurately to multiple hosts and simultaneously guard against time drift and anomalies? Further, what's the best way of gathering evidence to be able to show compliance with the rule set?
Following extensive discussions and consultation with software and PTP appliances vendors, it's our view that a good solution can be found without generating prohibitively high costs.
To that end, and with a view to contributing to the industry in a way that will help both peers and customers, and be of interest to other stakeholder groups, our approach is set out in the following Position Paper. Further, we also propose what we believe to be an effective way of continually comparing time from multiple sources that should also contribute towards demonstrating adherence to UTC.
When reading this paper, please be aware that as a venue we benefit substantially from the fact that our main infrastructure is all in one location. This enables us to keep our PTP distribution topology as simple as possible.