Page History
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CLOB: MarketData
Supported Instruments
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MDBookType
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MDEntryType
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YYYYMM,
YYYYMMDD
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PriceDepth
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Bid
Offer
ImpliedBid
ImpliedOffer
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Bid
Offer
ImpliedBid
ImpliedOffer
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Please refer to Whisperer Enterprise - Supported Instruments for the full Enterprise table across all venues.
SecurityGroup
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The SecurityGroup field is used for symbols where
If the SecurityGroup is populated on SecurityStatus messages, it will be expected to be populated back on all the client requests (Pricing and Orders session). The full list of products with securityGroup populated will be available on the SecurityStatus message on the Pricing Channel. |
ImpliedLiquidity
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If Implied Liquidity is available for the subscribed instrument, then it will be delivered as as separate MDEntries to regular Bids and Offers. The book update message for a Market by Price (MBP) multiple-depth book reports modifications to prices, quantities, and order count; the data block for an implied prices book reports modifications to prices and quantities only. The MBP multiple-depth book should be used in conjunction with the implied prices book to create an accurate book for all contracts with implied functionality. To create a consolidated book, the multiple-depth book and the implied book must be built and managed separately, then consolidated to reflect the current state of the market. On subscription to new symbol supporting the implied liquidity, there will be only one snapshot. The implied Bids and implied offers just come in as individual MDEntries. When clients recieve MarketDataIncrementals with EmptyBook, It applies to both the implied and regular bids and offers. Implied Liquidity may or may notbe not be available during the day, depending on market activities. If no Implied updades are delivered, it implies that no Implied Book is currently available for the security. More information on CME Implied liquidity available at https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Implied+Book https://www.cmegroup.com/confluence/display/EPICSANDBOX/Implied+Orders |
TradeDate
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TradeDate may or may not be published on the initial SecurityStatus messages, however it will be updated as it becomes available. |
FX Products
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Clients can chose the CCY pair format eg EUR/USD or the CME Globex Symbols eg, 6E for FX products including Single Leg Futures, Spreads, FXLink. Please contact MarketFactory Support to set up the preference on the sessions. |
Spread Representation
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Whilst vanilla FX legs are ordered by value date, our supported CME spread legs typically represent trade side. Whisperer honours the CME convention, with Calendar Spreads (SP, EQ, FX, SD, EC) and FXLink are supported. supported as per the table below:
Note: EQ Calendar Spread [ EX] | Buy leg | Sell Leg | Buying an EC Calendar Spread buys leg1, sells leg2 | Selling an EC Calendar Spread sells leg1, buys leg2
PartyIDs
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