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Comment: Published by Scroll Versions from this space and version 1.4.30

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  • The API clients must respond to the subscription requests with MassQuote messages. These MassQuote messages can must be for either forA a single ccy pair for single "Tier" as per the QuoteRequest  OR
  • A single ccy pair for multiple "Tiers" as per the QuoteRequests  OR
  • Different ccy pairs belonging to the same "Tiers" OR
  • Different ccy pairs belonging to different "Tiers".

The clients can stamp any of the QuoteReqIDs being quoted as the QuoteReqID of the MassQuote. The key Currenex IDs are mapped as follows

FIX-Out.MassQuote.NoQuoteSets.QuoteSetID[302] = Cached QuoteReqID from QuoteRequest with keys as Symbol and StreamReference.

FIX-Out.MassQuote.NoQuoteSets{*}.NoQuoteEntries{*}.QuoteEntryID[299] = MFAPI-In.MassQuote.NoQuoteSets{*}.NoQuoteEntries.QuoteEntryID

  • However, it must be noted that each of the QuoteSets in the MassQuote represent one "Tier" of QuoteRequest. and is destined for pricing multiple for a single, single-rung tier. It follows therefore that each MassQuote message can have multiple QuoteSets and each must comprise a single rung. Either a single Bid or a single Offer or both sides may be quoted. Each side may specify independent amounts.
  • QuoteRequest. The gateway allows NoQuoteSets = 1 and NoQuoteEntries = 1. The quoting ladder is not currently supported.
  • Quote Cancels - API Quote Cancels:API clients quoting a single "Tier" per MassQuote can either use MassQuote and set the QuoteType to Indicative or send a QuoteCancel message to withdraw the Quote. API clients quoting multiple "Tiers" per MassQuote can MassQuote and set the QuoteType to Indicative to cancel the rung of the Quote. The clients must use QuoteCancel message to withdraw all the quotes for the given ccy pair. The clients can stamp any of the QuoteReqIDs being quoted as the QuoteReqID of the MassQuote. Multiple QuoteCancels - one for each of the QuoteReqID for the given ccy pair will be sent to the venue.

Unlike other venues, the Maker is thus responsible for the fan-out of their standard volume-laddered quotes across individual Currenex Tiers.

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