MiFID II RTS 24
RTS 24 trading venues order record keeping.
Definition
RTS 24 (Commission Delegated Regulation 2017/580) requires microsecond precision (1µs) for venues running HFT (High Frequency Trading), milliseconds otherwise. Fields include client identification, capacity (AOTC, DEAL, MTCH), liquidity provision flag, market making flag, trading algorithm. Compatible with RTS 22 reporting.
Origin
ESMA, Commission Delegated Regulation (EU) 2017/580, applicable since 3 January 2018.
Usage
MTFs, OTFs, RMs (Regulated Markets) must retain complete order book records for ESMA / NCA audit.