Both sides want transparency to be the default.
Speaking alongside EU chief Brexit negotiator Michel Barnier as they arrived for talks at the European Commission, Mr Davis said he expected "challenging times ahead" in talks expected to stretch for around 16-18 months ahead of the UK's withdrawal from the EU in 2019.
Mr Davis also brushed off the idea Britain's negotiating stance could change given political instability in the UK.
"Britain says it will approach the talks in good faith".
Frenchman Barnier struck a firm tone as he said the timetable for Britain's divorce after four troubled decades of membership made sense.
The UK side is led by Brexit Secretary David Davis, the self-described "charming bastard" and committed Leaver who is spearheading the British negotiating effort.
While Barnier insists on the "sequencing" of talks, so that trade negotiations can not start until probably January, finding a way to avoid a "hard" customs border for troubled Northern Ireland may well involve some earlier discussion of the matter.
"So it's in this acrimonious environment that the process begins and that is going to make it tough going for investors looking for clues about whether we get a soft or hard Brexit, something that is between the two, or no Brexit".
While Brexit supporters have strongly backed May's proposed clean break with the single market and customs union, finance minister Philip Hammond and others have this month echoed calls by businesses for less of a "hard Brexit" and retaining closer customs ties. Britain wants to leave the common market and abjure free movement of European citizens across borders, yet still enjoy privileged market access.
Anxious by mass immigration and loss of sovereignty, Britain previous year voted to end its decades-old membership of the 28-nation bloc in a shock referendum result.
Europe's leaders are equally resolute that Britain can not enjoy the benefits of European Union membership from outside the bloc.
After the Conservatives lost their majority in the House of Commons in the 8 June general election, prompting calls for May to soften her line on Brexit, Davis made clear on Monday that the United Kingdom would leave the EU, but also the single market and the custom unions - the so-called hard Brexit.
Nearly a year after the vote for Brexit, detailed talks have started in Brussels over the form of Britain's departure from the European Union.
The priorities for Brussels will be the rights of the 3 million European Union citizens in Britain as well as the tens of billions of Euros it says London will owe on its departure. We also have to find solutions to maintaining all the commitments of the Good Friday Agreement.
"My clear view - and I believe the view of the majority of people in Britain - is that we should prioritize protecting jobs, protecting economic growth and protecting prosperity as we enter those negotiations and take them forward", he said last week. Davis said she will tell them about plans to guarantee rights for some 3 million European Union citizens in Britain under a proposal to be made next week.
The other priorities will be to agree a method to calculate the UK's financial and European Union budget commitments, and finding a solution that would avoid a hard border between the Republic of Ireland and Northern Ireland. In practice that is likely to mean the negotiations will need to be wrapped up by the autumn of 2018 in order to allow time for the deal to be ratified.