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Comment: Published by Scroll Versions from this space and version 1.5.30

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Curex Migration to LMAX

LMAX is migrating Curex clients trading on the legacy platform to a new liquidity pool in the LMAX platform. The Curex technology will be decommissioned on the 31st of December 2024.

LMAX has upgraded the API to incorporate Curex functionalities to help Curex clients transition to trading on LMAX.

LMAX will maintain the Curex liquidity separately and will not consolidate with LMAX to form a single liquidity pool.

Pricing

Sweepable vs FullAmount

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Info
titleConfiguration

The trade feed is free of charge only for those the trading clients that who meet the monthly eligibility criteria.

By default, the trade - ticker is disabled and must be enabled by LMAX on a per-session basis.

Warning
titleTrade Data subscription on Curex liquidity pool

Clients trading on the Curex liquidity pool cannot subscribe to the trade ticker. MF gateway handles the subscription of trade data based on the session config.

When configured, all trade events are delivered with a 60-second delay - there . There is no option to receive these in real-time.

In the event where when a trade is cancelled/busted on the LMAX Exchange, LMAX will publish a a MarketDataIncrementalRefresh message with MDUpdateAction=Delete where the MDEntryID references the original trade now being cancelled.

Non-aggregated MarketData

Warning
titleLMAX does not support non-aggregated MarketData

Please note that Curex clients cannot subscribe to non-aggregated MarketData as LMAX does not support the feature.

Maker ESP

Whisperer will send the client a synthetic spot quote request for each instrument. The client will send MassQuotes in response, and LMAX will respond with fills (no last - look).

MassQuote
Publication

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  • Aggressive full match for 1st price level submitted in the MassQuote.
  • Aggressive partial match against 2nd price level submitted in the MassQuote.
  • Passive match that fully fills the 2nd price level submitted in the MassQuote.

Orders

VWAP Orders

LMAX supports VWAP execution by default for clients trading on the Curex liquidity pool. Irrespective of the liquidity pool clients are trading on, clients can request the VWAP execution enabled on their trading session.

Info
titleVWAP Executions
  • VWAP execution is a session-level setup. Clients do not have to subscribe to VWAP MD or send additional order attributes/ StrategyParameters in NewOrderSingle when they submit orders for VWAP execution.
  • VWAP execution applies only to Limit orders.
  • VWAP executions occur only on aggressive orders (orders placed with TIF=FOK/ IOC). Passive orders (TIF=DAY) are executed as conventional Limit orders.
  • Although partial executions of the VWAP order fill at a price worse than the target Limit price on the order, the average price of the entire execution will be at the target Limit price or better.


Algorithmic Execution

LMAX supports Pegged and TWAP execution models.

Note
titleNoStrategyParameters

Refer to Supported Order Types (Algo Orders) for details on how to use the NoStrategyParameters block to send the details of the TargetStrategy, along with the corresponding strategy parameters.


The table below sets out the Algo parameters and combinations currently supported.

StrategyParameterName

TargetStrategy
PeggedTWAP
PegMoveType✓
TWAPIncrementQty
✓
TWAPIncrementInterval
✓
  1. PegMoveType - Supported values are 0 and 1.
  2. TWAPIncrementInterval - The minimum interval is 10ms.
  3. TWAPIncrementQty - Quantity that adheres to the minimum order increment for the instrument you are trading.


The table below sets out the standard Order field that may need to be used to further define the algo.

HasExtendedOrderFields

TargetStrategy
PeggedTWAP
EffectiveTime
✓
PegPriceType✓
PegOffsetValue✓
  1. PegPriceType - MidPricePeg is the only supported value.


Iceberg Orders

Info
titleSupported LMAX platforms
Iceberg orders are supported on both LMAX Echange and LMAX InterbankExchange.

Iceberg orders are single orders where only a portion of the order, defined by MaxShow, is processed and displayed by the exchange until fully executed.

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  • A minimum ratio of 1:50 is imposed for visible Quantity to Total Quantity of an order.
  • When the visible Quantity is fully filled, the next available peak will be added to the order book on price/time basis, using the time the new peak is added.
  • ExecutionReports for Iceberg orders behave in the same way as ExecutionReports for non-Iceberg orders, with the addition of the MaxShow tag. The breakdown between the current visible Quantity and hidden Quantity will not be shown.
  • A new ExecutionReport is not sent when a new peak is added to the order book.
  • The visible Quantity is disseminated on the MarketData stream, not the Total Quantity.
  • Orders without the MaxShow tag will be treated as a normal Limit order.

Dark Limit Orders

Infowarning
titleSupported LMAX platforms
Dark Limit orders are only  supported on LMAX Interbank. However, the LMAX Interbank session was decommissioned in 2023.

Dark orders are orders that are processed by the exchange that do not appear on the Market Data stream.

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Warning
titleMTS restrictions

For Takers, only Limit/Market IOC and FOK orders are supported with MTS; orders with a TimeInForce of DAY or GTC will be rejected.

MTS is not supported for Makers.

Full Amount
Warning
titleFA Pricing

For Takers, the FullAmount price subscription (MDBookType=FullAmount) is yet to be supported.

The LMAX gateway allows for PriceDepth subscription only.

In an FA market data session, the volume bands are bilaterally agreed upon by the client and LMAX and are pre-configured per session. Clients should be aware that multiple volume bands can have the same price, unlike a PriceDepth book where the orders are aggregated based on the price.

Full Amount trading, where orders are executed in whole, without partial fills, and against only one counterparty is available on LMAX through two methods, outlined below.

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