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Taker Counterparties

Synopsis

If configured to do so, Whisperer will populate the counterparty field of the TradeCapture message with a JSON string containing any known counterparties submitted in the execution report. The full set of counterparties is configured on a per-instance basis and applies to all venues in the instance.

Info
titleNote

As counterparty is set per Whisperer basis the feature is either on or off for all venues in an instance.

Any string-type FIX tag and any partyRole, as well as partySubIDType, can be included.

The intention is to normalise the MarketFactory presentation of counterparties to allow customers to pick and choose the details they're interested in for order processing.

Operational Use

The table below lists examples of Trading Venues and the counterparty information they provide, alongside a JSON extract of how the resulting information would be transported by Whisperer to the customer application.

Number
Description
FIX Fragment
Resulting JSON
1LastMkt tag30=Hotspot{"LastMkt":{"ID":"Hotspot"}}
2LastMkt tag, 2 parties: Acceptable Counterparty and Executing Firm453=2 448=BAML 452=1 448=Citadel 452=56 30=Hotspot

{"AcceptableCounterparty":{"ID":"Citadel"},"ExecutingFirm":{"ID":"BAML"},"LastMkt":{"ID":"Hotspot"}}

3LastMkt tag, 2 parties: Acceptable Counterparty and Executing Firm; ExecutingFirm BAML has 2 subparties, Application and Firm

453=2 448=BAML 452=1 802=2 523=UBS 803=1 523=Whisperer 803=4 448=Citadel 452=56 30=Hotspot

{"AcceptableCounterparty":{"ID":"Citadel"},"ExecutingFirm":{"Application":"Whisperer","Firm":"UBS","ID":"BAML"},
"LastMkt":{"ID":"Hotspot"}}

4Corner case: LastMkt tag with hypothetical LastMkt party (duplicate counterparty), Executing Firm party453=2 448=BAML 452=1 448=Citadel 452=56 30=Hotspot

{"ExecutingFirm":{"ID":"BAML"},"LastMkt":[{"ID":"Hotspot"},{"ID":"Citadel"}]}

5Corner case: AcceptableCounterparty party, ExecutingFirm party=BAML with duplicate subparty (Application) and subparty Firm, and LastMkt tag453=2 448=BAML 452=1 802=3 523=UBS 803=1 523=Whisperer 803=4 523=Reuters2000 803=444 8=Citadel 452=56 30=Hotspot

{"AcceptableCounterparty":{"ID":"Citadel"},"ExecutingFirm":{"Application":["Whisperer","Reuters2000"],"Firm":"UBS",
"ID":"BAML"},"LastMkt":{"ID":"Hotspot"}}

This example shows counterparty information as received in the FIX messages and presented in the TradeCapture message. The counterparty information is highlighted in red.

FIX Message (execution report):

TradeCapture message: 

FIX Message (trade capture report):

TradeCapture Message:

Maker Counterparties

 

To be continued...