# Cboe Europe Trade Reporting Enumerations Cboe Europe Trade Reporting allows firms to report off-order book trades in European equities to comply with MiFID II trade reporting obligations. The following fields have Enumerations: * BOOK_TYPE - Type of order book or trading mechanism through which a trade was executed. * LATE_REPORTED - Indicates whether a trade was reported late and/or outside normal trading hours * MMT_ALGO_IND - Identifies whether a trade involved an algorithmic order. * MMT_BENCHMARK_IND - Identifies whether a trade was priced according to a defined benchmark (e.g. VWAP) or reference price (e.g. midpoint of the primary market BBO), or whether it was part of a trade in multiple instruments (contingent trade or portfolio trade). * MMT_CROSS_IND - Identifies agency cross trades, where a broker crossed two client orders outside the order book. * MMT_DEFERRAL_TYPE - Type of publication deferral or subsequent enrichment applied to a trade report. * MMT_DIVIDEND_IND - Identifies whether a trade includes special dividend arrangements, e.g. a trade sold cum-dividend during an ex-dividend period. * MMT_DUP_IND - Identifies trades reported to more than one Approved Publication Arrangement. * MMT_MKT_MECH - Market mechanism through which a trade was executed. * MMT_MOD_IND - Identifies trade cancellations, or amendments of a previous trade. * MMT_NEGOTIATED_IND - Indicates privately negotiated trades, or Systematic Internaliser trades exempt from pre-trade transparency. * MMT_OFF_BOOK_AUTO_IND - Identifies whether an off-book trade report was executed via a manual or automated process. * MMT_PRICE_FORMING_IND - Identifies whether a trade is price-forming, or contributes to the price discovery process. * MMT_PUB_MODE - Identifies whether a trade was subject to delayed publication, and the reason for the deferral. * MMT_TRANS_CAT - Identifies various special categories of trade. * MMT_TRD_MODE - Trading period during which an on-book trade was executed, or origin of an off-book trade report (on-exchange / off-exchange / SI). * TRADE_PERIOD - Market period during which a trade was executed. * TRADE_TYPE - Type of trade #### BOOK_TYPE - Enumeration | Enumeration ID | Enumeration Description | |------------------|---------------------------| | 1 | Off-book | | 2 | Dark book | | 6 | Auction book | | R | Request for Quote | | 9 | Off-exchange | #### LATE_REPORTED - Enumeration | Enumeration ID | Enumeration Description | |------------------|------------------------------------| | - | Not reported late or outside hours | | 1 | Reported late | | 2 | Reported outside hours | | 3 | Reported late and outside hours | #### MMT_ALGO_IND - Enumeration | Enumeration ID | Enumeration Description | |------------------|---------------------------| | - | Not an algorithmic trade | | H | Algorithmic trade | #### MMT_BENCHMARK_IND - Enumeration | Enumeration ID | Enumeration Description | |------------------|------------------------------------------------------------------------------------| | - | Not a benchmark trade | | 1 | Benchmark trade executed at the closing price | | 2 | Portfolio trade + benchmark trade executed at the closing price | | 3 | Contingent trade + benchmark trade executed at the closing price | | 4 | Contingent trade + portfolio trade + benchmark trade executed at the closing price | | B | Benchmark trade | | C | Contingent trade | | M | Benchmark trade + contingent trade | | N | Contingent trade + portfolio trade | | O | Benchmark trade + contingent trade + portfolio trade | | P | Portfolio trade | | S | Reference price trade | | Y | Benchmark trade + portfolio trade | #### MMT_CROSS_IND - Enumeration | Enumeration ID | Enumeration Description | |------------------|---------------------------| | - | Not a cross trade | | X | Agency cross trade | | M | Matched Principal trade | #### MMT_DEFERRAL_TYPE - Enumeration | Enumeration ID | Enumeration Description | |------------------|----------------------------------------------------------------------------------| | - | No deferral / unspecified | | 1 | Limited details | | 2 | Daily aggregated trade | | 3 | Volume omission trade | | 4 | 4 weeks aggregated trade | | 5 | Indefinite aggregated trade | | 6 | Volume omission trade eligible for enrichment in aggregated form | | 7 | Full details of earlier Limited Details trade | | 8 | Full details of earlier Daily Aggregated trade | | 9 | Full details of earlier Volume Omission trade | | J | Volume omission trade for sovereign bonds | | K | 4 weeks aggregated trade for sovereign bonds | | L | Full details of earlier Volume Omission sovereign bond trade | | M | Full details of earlier Aggregated sovereign bond trade | | V | Full details of 4 Weeks Aggregated trade | | W | Full details of Volume Omission trade eligible for enrichment in aggregated form | #### MMT_DIVIDEND_IND - Enumeration | Enumeration ID | Enumeration Description | |------------------|---------------------------| | - | Not applicable | | E | Ex-/cum-dividend | #### MMT_DUP_IND - Enumeration | Enumeration ID | Enumeration Description | |------------------|---------------------------------------------------------------------------------------------| | - | Unique trade report | | 1 | Duplicative trade reported to more than one APA | | 2 | Intra-group trade | | 3 | Duplicative intra-group trade report | | 4 | Cross-border duplicative trade report | | 5 | Duplicative report within jurisdiction + cross-border duplicative trade report | | 6 | Intra-group trade + duplicative within jurisdiction + cross-border duplicative trade report | | 7 | Intra-group trade + cross-border duplicative trade report | #### MMT_MKT_MECH - Enumeration | Enumeration ID | Enumeration Description | |------------------|---------------------------| | 3 | Dark Book | | 4 | Off Book | | 5 | Periodic Auction | | 6 | Request for Quote | #### MMT_MOD_IND - Enumeration | Enumeration ID | Enumeration Description | |------------------|---------------------------| | - | New trade | | A | Amended trade | | C | Trade cancellation | #### MMT_NEGOTIATED_IND - Enumeration | Enumeration ID | Enumeration Description | |------------------|------------------------------------------------------------------------------------------------------------------------| | - | Not a negotiated trade | | 1 | Negotiated trade in liquid instruments | | 2 | Negotiated trade in illiquid instruments | | 3 | Negotiated trade subject to conditions other than the current market price | | 4 | Pre-trade transparency waiver for illiquid instrument on an SI | | 5 | Pre-trade transparency waiver for trade larger than Standard Market Size on an SI | | 6 | Pre-trade transparency waivers for trade larger than Standard Market Size on an SI and illiquid instrument on an SI | | 7 | OTC trade larger than LIS threshold brought onto a venue | | 8 | Negotiated trade with pre-trade transparency waiver | | 9 | Large in Scale OTC negotiated trade in liquid instruments brought onto a venue | | a | Large in Scale OTC negotiated trade in illiquid instruments brought onto a venue | | b | Large in Scale OTC negotiated trade subject to conditions other than the current market price and brought onto a venue | | c | Large in Scale OTC negotiated trade with pre-trade transparency waiver brought onto a venue | | N | Negotiated trade | #### MMT_OFF_BOOK_AUTO_IND - Enumeration | Enumeration ID | Enumeration Description | |------------------|---------------------------| | - | Not applicable | | M | Off-book manual | | Q | Off-book automated | #### MMT_PRICE_FORMING_IND - Enumeration | Enumeration ID | Enumeration Description | |------------------|-------------------------------------------------------| | J | Trade not contributing to the price discovery process | | N | Price not available but pending | | P | Plain vanilla (price-forming) trade | | T | Non-price forming (technical) trade | | Z | Price is not applicable | #### MMT_PUB_MODE - Enumeration | Enumeration ID | Enumeration Description | |------------------|----------------------------------------------------------------------------| | - | Immediate publication | | 1 | Delayed publication (including late reported) | | 2 | Deferred publication (Large in Scale) | | 3 | Deferred publication (illiquid instrument) | | 4 | Deferred publication (size specific to instrument) | | 5 | Deferred publication (illiquid instrument and size specific to instrument) | | 6 | Deferred publication (illiquid instrument and Large in Scale) | | A | Deferred publication (medium size liquid market) | | B | Deferred publication (medium size illiquid market) | | C | Deferred publication (large size liquid market) | | D | Deferred publication (large size illiquid market) | | E | Deferred publication (very large size liquid market) | | F | Deferred publication (very large size illiquid market) | | G | Deferral for ETCs / ETNs / SFPs / emission allowances | #### MMT_TRANS_CAT - Enumeration | Enumeration ID | Enumeration Description | |------------------|---------------------------------------------| | - | No condition | | D | Dark trade | | F | Trade with conditions [used until 20170713] | | G | RFMD give-up trade | | H | RFMD give-up trade + exchange for physical | | R | Trade receiving price improvement | | T | Technical [used until 20170713] | | Y | Exchange for physical | | Z | Package trade | #### MMT_TRD_MODE - Enumeration | Enumeration ID | Enumeration Description | |------------------|-------------------------------------------| | 2 | Continuous trading | | 3 | Trading at market close | | 4 | Outside Hours trading | | 5 | Trade reporting (On-exchange) | | 6 | Trade reporting (Off-exchange) | | 7 | Trade reporting (Systematic Internaliser) | | I | Intraday auction | | K | Closing auction | | O | Opening auction | | P | On demand auction | | U | Unscheduled auction | #### TRADE_PERIOD - Enumeration | Enumeration ID | Enumeration Description | |------------------|-----------------------------------------| | A | Auction | | C | Closing Auction | | I | Intraday Auction | | O | Opening Auction | | T | Trading at last price | | U | Unscheduled Auction | | e | Extended Hours | | p | Auction initiated by market participant | | - | Regular trading | #### TRADE_TYPE - Enumeration | Enumeration ID | Enumeration Description | |------------------|-----------------------------------------------------------------------------------| | MTF | MTF trade | | OB | Off-book trade | | TCV | Trade executed on ESMA non-recognised Third Country venue and published in the EU |