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Workflow

CLOB MarketData

Supported Instruments

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Table Filter

totalrow	,,,,,,,,,,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
sparkline	false
default	refinitiv_eta,MDBookType(PricingSession)&&MDEntryType(PricingSession)&&ExecutionVenue&&client_role&&MDBookType (SessionType == Pricing)&&MDEntryType (SessionType == Pricing)&&target_platform&&MDBookType&&MDEntryType
isFirstTimeEnter	false
cell-width	250,250
hideColumns	true
customNoTableMsg	false
disabled	false
enabledInEditor	false
globalFilter	false
id	1692912054504_2009980092
order	0,1
hideControls	false
inverse	false,false
column	Venue
disableSave	false
separator	Point (.)
labels	Venue‚Hide columns
ddOperator	OR
datepattern	dd M yy
updateSelectOptions	false
worklog	365\|5\|8\|y w d h m\|y w d h m
isOR	AND

Table Excerpt Include

name	SupportedInstruments
merge-tables	true
page	Supported Instruments
type	page

Please refer to Supported Instruments to view across all venues.

PartyIDs

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Table Filter

totalrow	,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
sparkline	false
default	refinitiv_eta
isFirstTimeEnter	false
cell-width	150
hideColumns	false
customNoTableMsg	false
disabled	false
enabledInEditor	false
globalFilter	false
id	1692912076931_1629980504
order	0
hideControls	true
inverse	false
disableSave	false
separator	Point (.)
labels	Venue
userfilter	Venue
datepattern	dd M yy
updateSelectOptions	false
worklog	5\|8\|w d h m\|w d h m
isOR	AND

Table Excerpt Include

copytable	true
name	PartyIDs
page	PartyIDs
type	page

Please refer to PartyIDs to view across all venues.

Regulatory Fields

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Table Filter

totalrow	,,,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
sparkline	false
default	refinitiv_eta
isFirstTimeEnter	false
cell-width	150
hideColumns	false
customNoTableMsg	false
disabled	false
enabledInEditor	false
globalFilter	false
id	1692912086812_-606346166
order	0
hideControls	true
inverse	false
disableSave	false
separator	Point (.)
labels	Venue
userfilter	Venue
datepattern	dd M yy
updateSelectOptions	false
worklog	5\|8\|w d h m\|w d h m
isOR	AND

Table Excerpt Include

copytable	true
name	RegulatoryFields
page	Regulatory Fields
type	page

Please refer to Regulatory Fields to view across all venues.

Passthru Fields

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Table Filter

totalrow	,,,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
sparkline	false
default	refinitiv_eta
isFirstTimeEnter	false
cell-width	150
hideColumns	false
customNoTableMsg	false
disabled	false
enabledInEditor	false
globalFilter	false
id	1692912097468_1241066821
order	0
hideControls	true
inverse	false
disableSave	false
separator	Point (.)
labels	Venue
userfilter	Venue
datepattern	dd M yy
updateSelectOptions	false
worklog	5\|8\|w d h m\|w d h m
isOR	AND

Table Excerpt Include

copytable	true
name	PassthruFields
page	Passthru Fields
type	page

Please refer to Passthru Fields to view across all venues.

Details

refinitiv_eta is available for Refinitiv Spot Matching only, Forwards Matching (Swaps) instruments are not currently supported.

Session Management

Both Screened and Unscreened session types are supported. Unscreened prices are not checked for credit and as such they could involve orders which cannot be matched by a particular counterparty. These may also be referred to as the "market best" prices.

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Info

title	refinitiv_mapi Required

This interface must be associated with a refinitiv_mapi session in order to operate.

The Refinitiv FX Matching Real Time Data servers use a token for authentication rather than managing a separate set of usernames and passwords. The token is provided when the client successfully logs into the refinitiv_mapi FIX Gateway with an appropriate user.

The permissions granted will be directly linked to the credit code (aka TCID) of the FIX session from which it came:

The token will only allow a client to view instruments that the TCID is allowed to trade and subscription attempts to other instruments will be denied.
Similarly it will prevent access to screened prices for all other TCIDs except the one to which the token is linked.

Clients who have multiple TCIDs will therefore need to make multiple RFA connections. Each one would use a different token obtained from the appropriate FIX session. This will ensure that they can access the relevant instruments and screened prices for each TCID.

Spot Dates

The following instruments are reported by Refinitiv as T+1, so Whisperer explicitly normalises these to Spot:

CNHRUB
USDRUB
USDTRY

Conflation

This market data feed has a conflation interval of 50ms.

Regular Amount

The Regular Amount puts an upper limit on the quantity (and therefore the number of orders) that will be published for a particular price.
If the quantity actually available exceeds the Regular Amount then market data will not show the full total but instead show only the Regular Amount.

This condition is reported to the client via the "RegularAmountExceeded" NoEntryPassthruFields flag.

Worst Price/Aggregate Price

The Worst Price (aka Aggregate Price) takes into account the various prices and quantities available and reports the price that would need to be submitted in order to match a pre-defined quantity the Standard Amount. I.e. it is the lowest bid or highest offer that would need to be specified as the Price of a limit order for it to match the full Standard Quantity.

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Standard Quantity - provided as StdQty in the SecurityStatus and initial snapshot MarketDataIncrementalRefresh for any subsequent subscription.
Worst Price Threshold - provided as WPT in the SecurityStatus message.
Worst Price - calculated for each side separately and is provided as WorstBid and WorstAsk in MarketDataIncrementalRefresh messages.

Trade Ticker

This API provides the last trade price, side, date & time. It does not provide the last traded quantity.

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Versions Compared

Old Version 2

New Version 3

Key

Workflow

Supported Instruments

PartyIDs

Regulatory Fields

Passthru Fields

Details

Session Management

Spot Dates

Conflation

Regular Amount

Worst Price/Aggregate Price

Trade Ticker