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The table below sets out the Iceberg order Strategy parameters and combinations currently supported.
| StrategyParameterName | StrategyParameterType | StrategyParameterValue | |
|---|---|---|---|
TargetStrategy | String | Iceberg | |
TipSpecificationType | String | Defined | Random |
FirstTip | Qty | Mandatory | - |
SecondTip | Qty | Optional | - |
ThirdTip | Qty | Optional | - |
MinimumRandomTip | Qty | - | Mandatory |
MaximumRandomTip | Qty | - | Mandatory |
Delay | Int | Optional | Optional |
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Trade Correct/Cancel
LSEG supports a standard TradeCancel and TradeCorrect workflow for SPOT trades and an offset Trade Correct/Cancel workflow for NDFs.
SPOT
For Spot trades, Clients will be notified of these in a separate ExecutionReport with ExecType = TradeCorrect or TradeCancel as appropriate.
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Features not yet supported by LSEG FX:
Features not required by Whisperer Enterprise:
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| Info | ||
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| Trade Correction/Cancellation may occur up to two trading days after the trade execution. |
Depending on the scenario, possible fields to be modified are listed below:
- If the Trade correction is to update the
LegLastPxor LegSettlDate, then a singleExecutionReportis sent with anExecTypeTradeCorrectandOrdStatusFilledorPartiallyFilleddepending on the quantity remaining on the order. - If Trade cancellation or correction is to reduce the
LegLastQty, then the cancelled or reduced quantity will not be added to the order book. In this case, the Client will receive two ExecutionReports with variations outlined below:Order Status
TradeCorrect (Quantity reduction) | Inactive order | Active order | ||
|---|---|---|---|---|
| ExecType | OrdStatus | ExecType | OrdStatus | |
| First ExecutionReport | TradeCorrect | PartiallyFilled | TradeCorrect | PartiallyFilled |
| Second ExecutionReport | Restated | Filled | Restated | PartiallyFilled |
| TradeCancel | Inactive order | Active order | ||
|---|---|---|---|---|
| ExecType | OrdStatus | ExecType | OrdStatus | |
| First ExecutionReport | TradeCancel | New | TradeCancel | PartiallyFilled |
| Second ExecutionReport | Canceled | Canceled | Restated | Filled |
Quantities
First ExecutionReport will indicate the canceled or reduced qty in LegLeavesQty.
Second ExecutionReport is sent to reflect the reduced or cancelled quantity in LegOrderQty.
The LegLeavesQty and LegCumQty of an active order will always add up to its LegOrderQty.
Trade Identifiers
ExecRefID - Trade Correct/Cancel ExecutionReports ExecRefID matches with the ExecID of the trade that is being cancelled or corrected.
BodyPassThruKey TrdMatchID - TrdMatchID of the Trade Correct/Cancel ExecutionReport matches with TrdMatchID of the trade that is being cancelled or corrected.
SecondaryExecID - SecondaryExecID of the Trade Correct/Cancel ExecutionReport matches with the SecondaryExecID of the trade that is being cancelled or corrected.
NDF
For NDFs, as opposed to standard Trade Correct/Cancel workflow, LSEG will deliver new offset trades to adjust the positions as necessary. This is due to the fact that
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NDFs are always Cleared and LSEG cannot amend or cancel an already
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Cleared trade.
Offset TradeCancel
Clients will be notified of Trade cancellation in an ExecutionReport with:
ClOrdIDandOrigClOrdIDof the offset trade will match with the original trade.ExecTypeandOrdStatuswill beTradeandFilledrespectively.ExecRefIDof the offset trade will match theExecIDof the original trade.SecondaryExecIDof the offset trade will match theBodyPassThruKeyTrdMatchIDof the original trade.LegSideof the offset trade will be the reverse of the original trade.BodyPassthruKey ClearedIndicatorwill be set to "Submitted".BodyPassthruKey ClearingIntentionwill be set to "IntendToClear".Textfield of the offset trade is populated with "Offset Trade".
Offset TradeCorrect
In case of Offset Trade correction, Clients will receive two ExecutionReports:
- First one will be as per the above Offset TradeCancel workflow.
- Second with amended trade attributes.
Additional Information
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Features not yet supported by LSEG FX:
Features not required by Whisperer Enterprise:
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| Info | ||
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Clients must populate TradeCancellation is supported by instigating an offset trade identical to original trade with the exception of trade directions. (Side =Buy in the original trade will be Side =Sell in offset trade). TradeAmendment has two new independent trades where first one is offset trade identical to original trade with the exception of trade directions (similar to offset trade cancel above). Second trade will contain the amended trade attributes (Price/Qty(reduction only)/Valuedate/FixingDate).Client can identify and link Offset trades with original trade as below:
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