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Details
| Info |
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| title | Streaming SWP Pricing is now supported on ESP and CLOB |
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Streaming SWP Pricing is now supported on ESP and CLOB sessions. Please refer to Supported Instruments for the supported tenor combinations. |
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| title | Streaming SWP Pricing Notes |
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Common Notes - Even Swap - supported
- Uneven Swap - not supported.
- Standard Tenors - TOD/TOM (ON), TOM/SPT (TN), SPT/D1 (SN) and SPT/XXX type tenor combinations are supported for SWP. Please refer to Supported Instruments for the supported tenor combinations.
- Short dated Swap tenors - ON, TN, SN should be requested directly as FWD to MF
ESP Specific Notes - MassQuote: Will have SecurityType SWP with a single QuoteSet, as opposed to 2 for SWP as advertised in the whisperer schema.
- MassQuote QuoteEntry BidPx and OfferPx: Will contain swap points instead of the All-in prices as advertised in the whisperer schema.
- MassQuote QuoteEntry Spot Rate and Forward Points: Will not be populated.
- MassQuote QuoteSet SettlDate: Will contain the far leg date, with the near leg date populated in the BodyPassThru.
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| Info |
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| title | SecurityStatus Messages now supported |
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SecurityStatus messages are now set prior to the EndMarker message |
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