Synchronization of Business Clocks

Synchronization of business clocks refers to the trading venue’s obligation to keep the business clocks that they use to record the date and time of any reportable event, synchronized with the Coordinated Universal Time (UTC).

 

Accordingly in MiFID II, operators of trading venues shall ensure that their business clocks adhere to the levels of accuracy outlined in the following table.

Finally, operators of trading venues shall establish a system of traceability to UTC.

Gateway-to-gateway latency time of the trading system

UTC Accuracy
(Maximum divergence from UTC)

Granularity
(timestamp precision)

> 1 ms

1 millisecond

1 millisecond or better

≤ 1 ms

100 microseconds

1 microsecond or better

Our Approach

To be compliant with EU provisions, SIX Swiss Exchange will implement the more accurate time synchronization protocol (PTP – Precision Time Protocol) with special PTP-compliant hardware on our INET infrastructure which has gateway-to-gateway latency of less than one millisecond.

PTP provides an accuracy of 1-3µs and will be compliant with RTS 25.

Interface impact
On-book matcher (X-Stream INET) can be accessed via  2 main interfaces:  

DTI (OTI and QTI):    

  • There is no change foreseen in OTI/QTI (and also IMI) because these interfaces already provide timestamp granularity in microseconds (technically even in nanoseconds).

STI (Orders & Executions):

  • STI interface will technically change for all STI messages; functionally for O&E, Confirmation, Trade Reporting.
  • On all STI messages, both session and application level FIX attributes
    -     Technically UTC Timestamp datatype will be enlarged to support up to microsecond precision
  • There are session level changes foreseen in all STI messages (O&E, Confirmation, Trade Reporting)
    -    Inbound: For “SendingTime” SWXess will accept up to microsecond precision value
    -    Outbound: “Sending” will be in microsecond precision
  • There are application level changes foreseen in STI (O&E) and other STI services (Confirmation, Trade Reporting)
    -    Inbound: SWXess will accept up to microsecond precision value (for all STI messages); individual business processing
    -    Outbound: SWXess might populate “TransactTime” and/or “TrdRegTimestamp” with up to microsecond precision value; depending on related business functionality (e.g. in case of an on-book trade “TrdRegTimestamp” in FIX Confimation message will in microsecond whereas it will be in millisecond for off-book trades)  

FDC interface will see both technical and functional changes

  • Similar to the STI messages

The outlined approach is believed to be aligned to the principles of EU law.
Implementation with SMR7 (2017).

Swiss Regulation

European Regulation

Q&A