Oktris Tape – Data Challenges

The bulk of the data used for this tape is published by Trading Venues and APAs in accordance with MiFID/R transparency regulation.

The Oktris interpretation of these regulations are that every Trading Venue and APA publishes delayed, free of charge, machine readable data available on a non discriminatory basis (ie, to anyone). This holds true so long as the data is not commercialised, when this is the case, MiFID/R permits “Reasonable Commercial Basis” charges to be made.

Whilst some firms meet their obligations – at least partially – as evidenced by the existence of this tape, many others do not.

Trading Venues make a Lot of Money from selling post trade data and it is the firm belief of Oktris that some do all they can to avoid complying with the regulations on post trade transparency to the point where the above Oktris interpretation is not even close to being realised and in some cases, Oktris regards some firms as being in direct violation of the regulations.

APAs exist purely to publish this information and it could therefore be reasonably expected that they would at least be champions of transparency as envisaged when MiFID/R was drawn up. Oktris has found this to be anything but the case with APAs no better, and in some cases, much worse than trading venues.

This page exists to shed a light on firms Oktris has had direct difficulty with in obtaining the data it believes should be available, and also to provide a handy place where regulators can look to identify firms that may not be adhering to the regulations. If Consolidated Tape is ever going to happen, firms that flout transparency regulations need either to be brought in line or their regulatory authorisations revoked. There is little point in passing new laws on mandatory data contributions where firms ignore existing laws. There is a certain irony that some of the firms mentioned claim to support transparency, some even publicly stating they want to be the Consolidated Tape for Europe whilst apparently trying to prevent transparency today. Oktris is happy to discuss the entries below directly with those firms – and their regulators.

Beside the above, other challenges in obtaining the data (different formats for example) are trivial, though it should be made clear that none of the data sources Oktris has been able to unravel comply with ESMAs statement “The data made available free of charge should be published in a similar format as real-time data published on a reasonable commercial basis.”

FirmOperatesComments
MarketAxessAPAUnable to obtain data. Unable to locate instructions on how to obtain data.

COMMISSION DELEGATED REGULATION (EU) 2017/571 of 2 June 2016 (RTS 13), article 14 concerns publication arrangements around “Machine Readability”. In particular, 14 (3a) states: “it is in an electronic format designed to be directly and automatically read by a computer”.

On attempting to obtain this data in an automated manner and asking how this might be achieved, in numerous e-mails with Trax, Oktris received the reply to go to the traxapa.com website and click on “download”. A human being required to go to a website and click a button does not satisfy the requirement for “directly and automatically read by a computer”. Direct face to face meetings in 2019 also resulted in directions to click on a download button. In the same regulation in article 14 on machine readability 5(a) states: “make instructions available to the public, explaining how and where to easily access and use the data, including identification of the electronic format;” and 5(c) adds “include a link to the instructions referred to in point (a) on the homepage of their website”. The MarketAxess APA website is www.traxapa.com – the link specified in 5(c) is absent as are any other indications of where documentation may be found. The firm has been authorised as an APA since 3rd Jan 2018 and as of 8th Nov 2022, the above information is accurate. Oktris is of the opinion that the above is a potential breach of the regulation as detailed above.
London Stock Exchange GroupAPA and Trading VenueUnable to obtain data. Unable to locate instructions on how to obtain data in an electronic form (instructions DO exist on how to interpret the data once the data is obtained).

COMMISSION DELEGATED REGULATION (EU) 2017/571 of 2 June 2016 (RTS 13), article 14 concerns publication arrangements around “Machine Readability”. In particular, 14 (3a) states: “it is in an electronic format designed to be directly and automatically read by a computer”. In the same regulation in article 14 on machine readability 5(a) states: “make instructions available to the public, explaining how and where to easily access and use the data, including identification of the electronic format;” – There is no documentation which covers accessing this data in the context of machine readability – what does exist is geared towards humans clicking on web pages.

The entire London Stock Exchange Delayed Market Data offering is designed around web pages designed to be read and displayed in an interactive manner to a human user. Any attempt to directly read delayed market data files published by London Stock Exchange results in a redirect to a web page designed for a human to read on an interactive web browser and enter a username and password. On doing so, a cookie is obtained which the web browser (a human interface) can use to download a file when the human clicks on the file name. The cookie has a limited lifespan and so a human needs to regularly re-enter the credentials in order to continue downloading files.

Oktris would suggest the data presented by this system is not in a format designed to be directly and automatically read by a computer. In other words, it is the Oktris opinion that this is not compatible with RTS 13, Article 14 (3a).

London Stock Exchange say they do this because they “desire to know who users are” – but there are other means of doing so (Tradeweb manage to do it without breaching the regulation for example). Oktris would suggest LSE has the resources to have chosen a more appropriate method of identifying a user if they had a mind to do so.

The regulation cited above relates to APAs, which London Stock Exchange group operates. As regards Trading Venues, ESMAs statement in their “Questions and Answers” on MiFID II and MiFIR Transparency topics (doc ESMA70-872942901-35) where in the section “General Q&As on transparency topics” in a response to question 10, ESMA directly reference the above article and state that “ESMA expects that trading venues follow similar publication standards and publish data in a machine-readable way”.

London Stock Exchange Trading Venues deliberately blocking direct and automatic reading of files by imposing such a mechanism for downloading delayed market data is not a “similar publication standard” as defined in RTS 13, Article 14.

Special mention: Tradeweb. The most frustrating firm Oktris had dealings with. Numerous meetings and banging of heads against brick walls in an attempt to obtain data in 2019. After months of frustration, Tradeweb told Oktris that they’d let us know when a “machine readable” interface existed for free delayed data. Oktris was never notified of such an interface becoming available but are pleased to note that such an interface exists today.