Market Model Typology (MMT)

In the post-MiFID environment, several aspects have contributed to reducing the quality of data and hindering its consolidation. The MiFID review should look at the standardisation of both data formats (code identifiers, etc.) and flags to solve issues in some specific areas (e.g. OTC trades). The
relevance of trade flags stems from the support they offer to liquidity discovery mechanisms across trading venues. Market initiatives should reduce the number of trade flags, currently around 50, to fewer than 10 across Europe.

MMT

The Market Model Typology (MMT) initiative is a collaborative effort established by industry participants to improve the quality of post-trade data through the use of standards for post-trade transparency. The work conducted has built on some earlier advice from ESMA’s predecessor CESR.


MiFID II proposes regulatory intervention to improve post-trade information and reduce costs and EU regulation aims to:

• Improve the quality of raw data and ensure it is provided in a consistent format through more standardised trade reports and by mandating OTC trade publication via an APA (Approved Publication Arrangement)
• Reduce the cost of post-trade data for investors through unbundling of pre- and post-trade data
• Introduce a European Consolidated Tape

Trade data standardisation for MiFID 2

MMT introduces a standard set of codes for equities post-trade data, making it easier for market data to be compared and consolidated by investors.

MiFID II proposals call for provision of consolidated post-trade data to be available for an instrument from all the EU venues where it is traded, on- or off-exchange. So, rather than participants having to consolidate this data from numerous sources themselves, data would be available as a consolidated tape. Standardisation of trade data is a pre-requisite for effective data consolidation and the MMT industry standard maps legacy trade flags to a common code.

MMT takes the form of a data model and cross reference table which maps trade flags across securities exchanges, MTFs and OTC reporting destinations to a set of standard single character enumerations (the native code includes 10 characters) and is currently endorsed by trading platforms and reporting venues, as well as the major market data vendors.

Summary

Whilst MMT is gaining industry support and its broad implementation is envisaged under  FIX governance, whether this will lead to regulatory endorsement of the MMT under MiFID II is yet to be seen.