# WIA-automated-trading PHASE 1 — DATA-FORMAT Specification **Standard:** WIA-automated-trading **Phase:** 1 — DATA-FORMAT **Version:** 1.0 **Status:** Stable This document defines the canonical data-format layer for WIA-automated-trading. The standard covers persistent record shapes for the lifecycle of algorithmic, automated, and direct-electronic-access order flow at an investment firm or trading venue — the firm and its registered persons; the algorithm inventory and its certification record; the order's parent-and-child decomposition; the venue routing and execution record; the pre-trade and at-trade risk- control activations; the kill-switch and circuit- breaker engagement record; the post-trade transaction report; the surveillance alert record; and the operational-resilience and conformance-test artefact record. Records are consumed by the firm's algorithmic trading governance committee, the firm's compliance and risk function, the trading venue (regulated market, MTF, OTF, ATS, exchange) for member-level discipline, the supervisory authority for the operating jurisdiction's market-conduct examination (ESMA and the Member-State NCA in the EU; SEC, FINRA, and CFTC in the US; KR FSC and FSS), the venue's market- surveillance function, and external auditors. References (CITATION-POLICY ALLOW only): - ISO 8601 (date and time representation) - ISO/IEC 11578 (UUID) and IETF RFC 4122 (UUID URN) - ISO/IEC 27001:2022 (information security management) - ISO 4217 (currency codes), ISO 3166-1 (country codes), ISO 9362 (BIC), ISO 17442 (LEI) - ISO 20022 (financial industry message scheme; cited for post-trade and reference-data messaging) - ISO 10383 (Market Identifier Code, MIC; cited for venue-level identification) - IETF RFC 8259 (JSON), RFC 9457 (Problem Details) - FIX 5.0 SP2 + FIX FAST + FIXatdl 1.1 + FIX Orchestra (the operating wire-format for order entry and market-data dissemination at most regulated venues) - EU MiFID II (Directive 2014/65/EU) Article 17 (algorithmic trading), Article 18 (operating conditions for trading venues), Article 47 (organisational requirements for trading venues), Article 48 (systems resilience, circuit breakers and electronic trading), Article 49 (tick sizes), Article 50 (synchronisation of business clocks), Article 51 (admission of financial instruments to trading) - EU MiFIR (Regulation (EU) 600/2014) Articles 26 (transaction reporting) and 27 (reference data) - EU Commission Delegated Regulation (EU) 2017/589 RTS 6 (organisational requirements of investment firms engaged in algorithmic trading) - EU Commission Delegated Regulation (EU) 2017/584 RTS 7 (organisational requirements of trading venues for systems resilience, circuit breakers, electronic trading and tick-size regimes) - EU MAR (Regulation (EU) 596/2014) Articles 12, 14, 15, 16, 18 (market-abuse offences and surveillance) - EU MiCA (Regulation (EU) 2023/1114) for crypto- asset trading-platform operators where applicable - US SEC Reg SCI (17 CFR Part 242, Rules 1000–1006) for SCI entities operating critical trading systems - US SEC Rule 15c3-5 (market-access rule, the broker-dealer pre-trade risk-control rule) - US SEC Reg ATS (17 CFR Part 242, Rules 300–303) for alternative trading systems - US SEC Reg NMS (17 CFR Part 242, Rules 600–612) - US FINRA Rule 3110 (supervisory system) and Rule 5210 (publication of transactions and quotations) - US CFTC 17 CFR 1.81 (futures commission merchant risk management) - KR 자본시장법 (Financial Investment Services and Capital Markets Act) and KRX (한국거래소) market- surveillance rules including the 자동화 매매 시스템 점검 discipline --- ## §1 Scope This PHASE defines persistent shapes for the artefacts an automated-trading operator (an investment firm, a broker-dealer, a futures commission merchant, a proprietary-trading firm, or a trading venue) maintains: - The firm-and-registered-persons record. - The algorithm inventory and certification record. - The order-and-execution record (parent-and-child). - The venue-routing and best-execution record. - The pre-trade-risk-control engagement record. - The kill-switch and circuit-breaker engagement record. - The transaction report (MiFIR Article 26 and US CAT-equivalent). - The market-abuse surveillance alert record. - The conformance-test and disaster-recovery drill record. ## §2 Programme Identifier ``` programmeId : string (uuidv7) operatorName : string (legal name) operatorRole : enum ("investment-firm" | "broker-dealer" | "proprietary-trading-firm" | "futures-commission-merchant" | "trading-venue-rm" | "trading-venue-mtf" | "trading-venue-otf" | "trading-venue-ats" | "trading-venue-exchange" | "user-defined") operatorJurisdiction : array of string (ISO 3166-1) operatorBic : string (ISO 9362; absent for non-SWIFT-connected operators) operatorLei : string (ISO 17442) governingFrameworks : array of enum ("EU-MIFID-II" | "EU-MIFIR" | "EU-MIFID-II-RTS-6" | "EU-MIFID-II-RTS-7" | "EU-MAR" | "EU-MICA" | "US-SEC-REG-SCI" | "US-SEC-RULE-15C3-5" | "US-SEC-REG-ATS" | "US-SEC-REG-NMS" | "US-FINRA-RULE-3110" | "US-FINRA-RULE-5210" | "US-CFTC-17-CFR-1-81" | "KR-자본시장법" | "KR-KRX-자동화-점검" | "ISO-20022" | "FIX-5-0-SP2" | "user-defined") assetClassesTraded : array of enum ("equity" | "fixed-income" | "fx" | "listed-derivatives" | "otc- derivatives" | "etf" | "structured-product" | "crypto-asset" | "user- defined") programmeStatus : enum ("design" | "operating" | "limited-rollout" | "wind-down" | "archived") ``` ## §3 Algorithm Inventory and Certification Record The algorithm inventory aligns with MiFID II RTS 6 Article 1 (general organisational requirements) and the SEC Reg SCI definition of "SCI systems": ``` algorithmRecord: algorithmId : string (uuidv7; the firm's internal algorithm identifier) algorithmName : string algorithmKind : enum ("execution-algorithm" | "smart-order-router" | "market-making" | "arbitrage" | "trend-following" | "mean-reversion" | "statistical-arbitrage" | "liquidity-seeking" | "iceberg-pegged" | "user-defined") inputParameters : array of object (the parameter set the algorithm accepts at order initiation) riskControlsRef : array of string (PHASE-1 §6 reference for each pre-trade and at-trade control bound to the algorithm) certificationStatus : enum ("development" | "stress-tested" | "conformance-passed" | "production-approved" | "rolled-back" | "retired") conformanceTestRef : string (URI of the venue conformance-test report; MiFID II RTS 6 Article 5 requires venues to provide a testing environment) approvedBy : string (the firm's algorithmic- trading governance committee reference) approvedAt : string (ISO 8601) retiredAt : string (ISO 8601; absent until retired) ``` ## §4 Registered-Person and Direct-Electronic-Access Record ``` registeredPerson: personId : string (uuidv7) jurisdictionalLicence : array of object (FINRA CRD identifier in the US; ESMA MiFID-II registered-person identifier in the EU; KR 금융투자전문인력 등록 in KR) algorithmsCovered : array of string (algorithm references the person is authorised to deploy) supervisorRef : string (the FINRA Rule 3110 supervisor; absent in non-US jurisdictions) directElectronicAccessClient: clientId : string (uuidv7) clientLei : string (ISO 17442) accessKind : enum ("direct-electronic-access -dea-mifid-2" | "sponsored- access-sec" | "naked-access- prohibited" | "user-defined") preTradeRiskRef : string (PHASE-1 §6 reference; SEC Rule 15c3-5 mandates broker-dealer pre-trade controls; MiFID II Article 17(5) DEA controls) agreementRef : string (URI of the DEA / SA client agreement) ``` ## §5 Order and Execution Record ``` orderRecord: orderId : string (uuidv7) parentOrderRef : string (uuidv7; absent for parent orders) algorithmRef : string (PHASE-1 §3) registeredPersonRef : string (PHASE-1 §4) clientOrderId : string (FIX ClOrdID 11=) symbolRef : object (ISIN + MIC + FIX SecurityID + venue listing reference) orderSide : enum ("buy" | "sell" | "sell- short" | "buy-cover") orderTimeInForce : enum ("day" | "gtc" | "ioc" | "fok" | "gtd" | "moc" | "loc" | "user-defined") orderType : enum ("market" | "limit" | "stop" | "stop-limit" | "pegged" | "iceberg" | "user-defined") orderQuantity : object (UCUM-equivalent quantified) limitPrice : object (currency-quantified; absent for market orders) submittedAt : string (ISO 8601 with at-least millisecond precision; MiFID II Article 50 / RTS 25 requires UTC and clock-synchronisation on the firm's business clocks) venueRoutedTo : string (ISO 10383 MIC) executionRecord: executionId : string (uuidv7) orderRef : string executedQuantity : object executedPrice : object venueExecutionId : string (the venue's published execution identifier) executedAt : string (ISO 8601 millisecond) liquidityFlag : enum ("added" | "removed" | "auction" | "cross" | "user- defined") feeStructure : array of object (per-fee-line reference; venue maker-taker schedule) ``` ## §6 Pre-Trade and At-Trade Risk-Control Record The risk-control record encodes the SEC Rule 15c3-5 broker-dealer pre-trade controls and the MiFID II RTS 6 Articles 9 to 11 organisational risk-control requirements: ``` riskControlRecord: controlId : string (uuidv7) controlKind : enum ("max-order-size" | "max-order-value" | "fat-finger-price-collar" | "max-aggregate-position" | "max-credit-exposure" | "max-message-rate" | "duplicate-order-check" | "wash-trade-block" | "spoofing-pattern-block" | "self-trade-prevention" | "regulatory-restricted-list- block" | "user-defined") thresholdValue : object (the configured threshold) scope : enum ("per-algorithm" | "per-trader" | "per-client" | "per-firm" | "per-venue" | "per-symbol") activatedAt : string (ISO 8601) lastBreachAt : string (ISO 8601; absent if never breached) breachActionRef : string (the breach-handling record reference) ``` ## §7 Kill-Switch and Circuit-Breaker Engagement Record ``` killSwitchEngagement: engagementId : string (uuidv7) triggerKind : enum ("manual-trader" | "manual-supervisor" | "manual-risk-officer" | "automated-risk-breach" | "venue-suspended-symbol" | "venue-circuit-breaker" | "exchange-trading-halt" | "user-defined") scope : enum ("single-algorithm" | "single-venue-connection" | "single-symbol" | "single- trader" | "firm-wide" | "user-defined") engagedAt : string (ISO 8601) releasedAt : string (ISO 8601; absent until released) rationaleRef : string (URI of the rationale narrative) ``` ## §8 Transaction Report Record (MiFIR Article 26 + US CAT-equivalent) ``` transactionReport: reportId : string (uuidv7) executionRef : string reportingRegime : enum ("eu-mifir-art-26" | "us-sec-rule-613-cat" | "us-finra-trace" | "us-finra-oats-superseded" | "kr-자본시장법-거래보고" | "user-defined") reportedAt : string (ISO 8601; MiFIR Article 26(1) requires reporting "as quickly as possible, and no later than the close of the following working day") arrangedRoutedExecuted : enum ("arranged" | "routed" | "executed") shortSaleIndicator : enum ("short" | "short- exempt" | "long" | "n/a") waiverIndicator : array of string (the MiFID II pre-trade transparency waivers claimed) reportingDestination : string (ARM, APA, or the supervisor's transaction reporting endpoint) ``` ## §9 Market-Abuse Surveillance Alert Record The surveillance discipline aligns with EU MAR Articles 12 (market manipulation), 14 (insider dealing), 15 (market manipulation prohibited), 16 (suspicious-transaction-and-order reporting), and 18 (insider list); FINRA Rule 6140 + Rule 5210; and the KR 자본시장법 시세조종·미공개정보 이용 enforcement. ``` surveillanceAlert: alertId : string (uuidv7) detectedAt : string (ISO 8601) patternKind : enum ("layering-spoofing" | "wash-trading" | "marking- the-close" | "ramping" | "insider-trading-window" | "front-running" | "trade- through" | "quote-stuffing" | "momentum-ignition" | "user-defined") evidenceRef : string (URI of the evidence package — order book reconstruction, message audit, communications review) reviewerRef : string (the surveillance analyst) outcomeKind : enum ("closed-no-action" | "closed-coaching" | "escalated-compliance" | "stor-filed-mar-art-16" | "sar-filed-fincen" | "self-reported-supervisor" | "user-defined") storRef : string (URI of the suspicious-transaction-and- order report filed with the Member-State NCA per MAR Article 16; absent unless filed) ``` ## §10 Conformance-Test and Resilience-Drill Record ``` conformanceTestRecord: testId : string (uuidv7) algorithmRef : string venueRef : string (the venue's conformance-test environment) testKind : enum ("venue-conformance- test" | "self-test-stress" | "regression" | "back-test" | "production-shadow" | "user-defined") startedAt : string (ISO 8601) completedAt : string (ISO 8601) outcomeKind : enum ("passed" | "failed" | "passed-with-conditions") reportRef : string (URI of the test report) resilienceDrill: drillId : string (uuidv7) drillKind : enum ("dr-failover" | "kill-switch-exercise" | "venue-disconnection" | "data-feed-failover" | "circuit-breaker-test" | "tabletop-incident" | "user-defined") conductedAt : string (ISO 8601) rtoMet : boolean (the drill's actual recovery-time matched the firm's documented RTO) rpoMet : boolean reportRef : string ``` ## §11 Conformance Implementations claiming PHASE-1 conformance maintain each of the records defined above for every deployed algorithm and every order, preserve the order-and- execution and transaction-report records under the operating jurisdiction's record-keeping discipline (MiFID II RTS 6 Article 8 + RTS 25 five years; SEC Rule 17a-4 retention; FINRA Rule 4511 retention; KR 자본시장법 보존 의무), exercise venue conformance testing before promoting an algorithm to production, and report market-abuse alerts to the operating jurisdiction's supervisory authority within the statutory window. --- **Document Information:** - **Version:** 1.0 - **Phase:** 1 — DATA-FORMAT - **Status:** Stable - **Standard:** WIA-automated-trading - **Last Updated:** 2026-04-28