MiFID II/MiFIR order flagging requirements: Algo ID solution and CUE pre-validation tool – Changed requirements with T7 Release 15.0

1.  Introduction

With this circular, Eurex Deutschland announces changes to the Algo ID solution, the Common Upload Engine (CUE) validations for Short Code ID and Algo ID uploads, and an enhancement of the Short Code ID and Algo ID error reports, which will be introduced with T7 Release 15.0 on 9 November 2026. 

Simulation start: 31 August 2026
Production start: 9 November 2026

2.  Required action

Trading Participants are required to familiarize themselves with the new requirements for the Algo ID solution, including the submission of information on substantial updates to their trading algorithms and the annual submission of test documentation explaining the means of testing. This information is also required for new trading algorithms.

In addition, the CUE pre-validation tool for Short Code ID and Algo ID upload files will be decommissioned, and upload validations will be limited to checks of file type, file structure, and naming convention. For intraday uploads, comprehensive validation results of the file content are provided to Trading Participants via intraday reports TR160 - TR163 at 10 AM, 2 PM, and 6 PM, in addition to the end-of-day reports.

The existing field “processingTime” in Short Code ID and Algo ID reports TR160, TR162, TR169 will be enhanced for error 1 “ShortCodeID registration / AlgoID registration is missing”. The timestamp of the Short Code ID or Algo ID missing identification will be added. Therefore, the format of the field changes and Trading Participants shall adhere to the new field format.

3.  Details of the initiative

A. New Algo ID solution

According to Art. 48(6) of Directive 2014/65/EU and Art. 10 of CDR 2017/584, trading algorithms must comply with applicable testing requirements. Accordingly, the current Algo ID solution includes the registration of new trading algorithms and will be enhanced to incorporate a process for the submission of substantial updates to trading algorithms. For the ESMA definition of “substantial update”, please refer to ESMA74-1505669079-10311, “Supervisory Briefing on Algorithmic Trading in the EU, chapter 2 (31)”.

For the submission of new algorithms and substantial updates, the information about accomplished testing as well as the testing environment will be mandatory. Test documentation containing information about methodology and change management policy will be requested as part of the annual member due diligence questionnaire in the first quarter of each year. The trading venue will request such documentation for the first time in Q1 2027; further details will be communicated in due course.

Upload file

In order to enable the submission of required data for new trading algorithms and substantial updates to existing trading algorithms, the upload file will be adapted to include three additional fields:

• Status indicator: this field indicates the status of the Algo ID upload record, i.e. “N - new registration” for new trading algorithms, “S - substantial update” for substantial updates to the trading algorithm, “M - modification” for changes to the responsible person, and “D - deletion” where the trading algorithm is decommissioned.
• Test certificate: this field indicates that the new algorithm or the substantial update to an algorithm has been tested., i.e. “TC - Test Certification”. This field must be blank for modifications and deletions.
• Testing environment: this field indicates in which environment testing was conducted, i.e. “EE - exchange testing environment”, “IE - internal testing environment”, or “TE - third party testing environment”.

Please find the new sample file “SCLC 2.0 – Sample file Algo ID upload – Version 3.0” on the Eurex website under the following path: 

Rules & Regs > Regulations > MiFID II/MiFIR > Client & Member Reference Data

Existing data

With the new solution, existing Algo ID data can be managed using the status indicator, i.e. decommissioned Algo IDs can be deleted; the responsible person can be modified as well as substantial updates to trading algorithms can be submitted. Trading Participants are not required to retrospectively enrich or re-upload existing Algo ID registrations with the new test certificate and testing environment fields unless a substantial update is submitted. For a comprehensive overview of valid Algo IDs, please refer to the TR163 “Algo ID – Valid Registrations Report,” available daily on the Common Report Engine (CRE).

T7 XML Member Reports TR 162 and TR163

The T7 XML Member Reports TR162 “Algo ID - Error Report” and TR163 “Algo ID - Valid Registrations Report” will be enhanced to include the additional fields (please see section “upload file”) and for the Algo ID lifecycle management, a Valid To Date field, and the following new error codes:

TR162 - Prevailing and new error codes

For the upload of the Algo ID records, the new upload file and the regular CUE service “EXTALGO1” must be used.

The reports will be available in the simulation environment starting 29 August 2026.

Please find more information about the amendments of the Algo ID solution in the following documentation:

• SCLC 2.0 - Reporting Handbook for audit trail and other regulatory reporting under the MiFID II / MiFIR regime – Version 4.7
• SCLC 2.0 - User guide GUI Short Code ID and Algo ID Upload – Version 1.5
• SCLC 2.0 - CUE validation and file specification Short Code ID and Algo ID – Version 2.4

The documents are available on our website under this path:

Rules & Regs > Regulations > MiFID II/MIFIR > Client & Member Reference Data

Please find more information about the T7 XML reports TR162 and TR163 in the T7 XML Report Reference Manual and the related XSDs, which will be provided soon along with the regular release documentation under the following path:

Support > Initiatives & Releases T7 Release 15.0 > Reports

B. CUE validation amendments

The CUE pre-validation tool, which performs basic validations of Short Code ID and Algo ID file content, will be decommissioned. CUE validations will be limited to file type, file structure, and naming convention, providing efficient feedback on file submissions. Comprehensive file content validations, including those based on ESMA requirements, LEI requirements, and database interactions, are conducted within the data warehouse as of today. Therefore, for intraday uploads of Short Code ID and Algo ID files, comprehensive validation results are provided to Trading Participants via intraday reports TR160 - TR163 at 10 AM, 2 PM, and 6 PM CE(S)T, in addition to the end-of-day report. These intraday reports have been available since T7 Release 13.0 in November 2024. The reports are available for download in the respective market and trading date folders on the Common Report Engine (CRE).

Please find more information about the CUE validation amendments in the following documentation:

• SCLC 2.0 - Reporting Handbook for audit trail and other regulatory reporting under the MiFID II / MiFIR regime – Version 4.7
• SCLC 2.0 - User guide GUI Short Code ID and Algo ID Upload – Version 1.5
• SCLC 2.0 - CUE validation and file specification Short Code ID and Algo ID – Version 2.4

 The documents are available on our website under this path:

Rules & Regs > Regulations > MiFID II/MIFIR > Client & Member Reference Data

C. Reports TR160, TR162, TR169 field “processing time”

In order to support Trading Participants with the correction of error 1 “ShortCodeID registration / AlgoID registration is missing” the existing field “processingTime” will be enhanced. Hence, in reports TR160, TR162 and TR169, the timestamp of the Short Code ID or Algo ID missing identification will be added to this field. Therefore, the format of the field changes from format “hh:mm:ss.cc” to format “hh:mm:ss.ccccccccc“.

Please find more information about the T7 XML reports in the T7 XML Report Reference Manual and the related XSDs, which will be provided soon along with the regular release documentation under the following path:

Support > Initiatives & Releases T7 Release 15.0 > Reports
 

Further information