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titleMandatory Change

Background

To provide a normalised view of the liquidity misses and last look rejection in the PreviouslyQuoted workflow. Currently there is a mixture of ExecutionReport Rejects and Cancels being delivered in these scenarios. Differentiating the liquidity miss/last look rejections from the bad messages will allow clients transparency of why the order might have been rejected.

Changes

PreviouslyQuoted orders (TimeInForce in IOC, FOK) will be canceled if not filled due to liquidity miss/ lastlook rejects.

Bad orders (eg, account, set up issues, credit etc) will be rejected.


Note

Few venue do not provide enough information to distinguish between these rejects, in which case, all the rejects will be delivered to Clients as ExecutionReport Rejects. These venues include 

    1. baml
    2. t360_tex
    3. natwest_markets
    4. statestreet_efx
Note

The Text on the rejects will be used to make differentiation between these rejects as per their description and/or as per the Standardisation of Reject Codes by the Investment Association and FIX Recommended Practices where the venue provides this level of detail.

Timeline

TBD

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Change Details

Documentation

Attachments

The Investment Association on Standardisation of Reject Codes in FX Trading.

View file
name20200205-standardisationofrejectcodes.pdf
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Fix Recommended Practices - Standardisation of FX Reject Codes.

View file
nameFIX-Recommended-Practices-FX-Reject-Codes-v1.0.pdf
height250