Trading venues and systematic internalisers (SIs) are responsible for providing us with instrument reference data.
Trading venues submit the details of instruments admitted to trading or traded on their trading venue on a daily basis. SIs submit reference data for reportable instruments in which they are an SI and that are not admitted to trading on a trading venue.
We provide the data to ESMA and ESMA validates and consolidates this data and publishes it on its website the next day after 0800. Firms are then able to view and download the data.
The daily ESMA publication includes details of instrument reference data files. It includes instructions on how to access and download all the data and delta reference data files from their website. The publication also identifies financial instruments in scope for MAR. ESMA is not able to provide any representation or warranty that the available data is complete, accurate or up to date. Instruments not displayed on the list may still be reportable and firms should still undertake due diligence.
Errors and omissions notifications
If a trading venue or systematic internaliser finds errors in their instrument reference data submissions or fails to submit instrument reference data, an errors and omissions notification form should be emailed to the markets reporting team.
Processing transaction reports with instrument reference data
Transaction reports will not be processed immediately, even when they are reported in close to real time on the day of trading, known as day ‘T’ (T=today). This is because the reference data for day ‘T’ must be used to validate transactions that took place on day ‘T’ and this will not be available until the next day, T+1.
Transaction reports will be held and maybe processed in T+1. When reports are received where the ISIN is not on the ESMA list, our Market Data Processor (MDP) system will acknowledge the report as received, but as pending. The flow for the validation is set out in the instrument validation tab of the reporting instructions.
Every day, for up to 7 calendar days, the system will look for the instrument reference data again. If the reference data becomes available, the transaction report will be processed and the validations related to the instrument will be run. The report will either be accepted or rejected.
If the instrument reference data has still not been received after 7 calendar days the transaction report is rejected. It is possible that the financial instrument on the rejected transaction report has been over-reported, but this is not necessarily the case and the executing entity may want to check the accuracy of the instrument with the trading venue before resubmitting the transaction report.
Article 26 of MiFIR defines what financial instruments are reportable.
Commission Delegated Regulation (EU) 2017/585 for the data standards and formats for financial instrument reference data.
PERG 13 Guidance on the scope of MiFID and CRD IV for categories of financial instruments included in the different subsections of Annex 2, table 2.
Instrument Reference Data - Schema files, reporting instructions and validation rules (ZIP)
ESMA Financial Instrument Reference Data: ESMA has published details of its instrument reference data files. It includes instructions on how to access and download all the data and delta reference data files from their website. The publication also identifies financial instruments in scope for MAR. Instruments not displayed on the list may still be reportable and firms should still undertake due diligence.