This research paper examines the MiFID II post trade transparency data published by trading venues and APAs to assess the ease or otherwise of aggregating the 15-minute delayed post-trade data as mandated by ESMA’s RTS 2 regulatory technical standard. Our aim is to provide practical insights into the operational challenges of aggregating this post-trade data. Our hope is that the lessons learnt from this research exercise can inform future policy recommendations by both industry and public authorities.
The paper concludes that the lack of certainty on the technical specifications makes the creation and maintenance of reliable aggregation tools based on the 15 minute delayed data difficult and costly, meaning that for the majority of market participants, the free delayed data is suitable only for human viewing, rather than for machine consumption.
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