Trading Venue and Microstructure Requirements

3.1 Clock Synchronisation (Cash, BondVision and Repo markets)

Under MiFID II there is a requirement for timestamps on messages issued by trading systems with a gateway-to-gateway latency of no more than one millisecond to be formatted in at least microseconds, and to diverge from Coordinated Universal Time (UTC) by no more than one hundred microseconds. Trading systems with gateway-to-gateway latency in excess of one millisecond, meanwhile, are required to be formatted in at least milliseconds, and to be accurate within one millisecond.

Gateway-to-gateway latency on the Cash markets is less than one millisecond. As a result, timestamps on messages issued by the Cash market trading system (which are already formatted in microseconds) are to be accurate within a hundred microseconds.

For the other MTS markets, MTS has updated its message formats to provide the required level of granularity where necessary, and building infrastructure to ensure that its business clocks are compliant with the specific level of accuracy requested.

3.2 Algo Testing (Cash, BondVision and Repo markets)

MiFID II requires market participants to test each of the algorithms that they deploy on a trading venue. MTS provides a means for the testing of algorithms in the provision of an External Test Environment mirroring instruments available in Production.

• Participants are required to register the ID of any Algo used to automatically send any Quotes/Orders to the market.
• MTS trading venues require self-certification that each Algo has been tested.

3.3 Pre-trade price and quantity controls (Cash, BondVision and Repo markets)

• Price and size controls at central system have been implemented on and calibrated for all relevant markets.

3.4 Order to transaction ratios (Cash markets)

• MTS maintains an OTR per instrument and monitors that there is no significant breach of these ratios by participants.