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changes.mady.by.user Matthew Whitaker

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changes.mady.by.user Chandana Varsha

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Comment: Published by Scroll Versions from this space and version 1.5.75

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Note

Background

To provide a normalised view of the ExecutionReport received by Clients, changes are being made to the quantity fields listed below. Currently these values are taken directly from the Venue messages.  

For the venues where these values are not as per Whisperer standard, improvements are being made to bring them inline with the schema definition.

Field

Schema definitionNormalisation IssueAffected VenuesRelease Version
LegCumQtyTotal quantity filled so far on this Leg of the Order.

LegCumQty is populated inconsistently by some venues across different OrderStatuses.

autobahnfx_rapid, baml, barx, citi_colo, rbc_trading, standardchartered_s2bx, statestreet_efx, t360_tex.

2025.11.19.WE.RHEL9

 bnpparibas_efx_algo, fxspotstream_algo, precision_algo, ubs_algo, autobahnfx_rapid, baml, bgc_midfx, broadridge_orders, bnpparibas_efx_streaming 

LegLeavesQtyQuantity remaining to execute on this Leg of the Order.LegLeavesQty is populated inconsistently by all venues across different OrderStatuses.All taker APIs

 2025.11.19.WE.RHEL9

 bnpparibas_efx_algo, fxspotstream_algo, precision_algo, ubs_algo, autobahnfx_rapid, baml, bgc_midfx, broadridge_orders, bnpparibas_efx_streaming 

LegAllocQty

If ExecType=Calculated/Trade then ABS (SUM (LegAllocQty))=LegLastQty, otherwise ABS (SUM (LegAllocQty))=LegOrderQty

LegAllocQty is is populated inconsistently across different ExecTypes.

LegAllocQty issent as 0 for Cancelled ExecutionReports.

All taker APIs2025.08.29.WE.RHEL9
LegAllocCalculatedCcyQty

If LegCurrency is LHS then=-LegAllocQty*LegLastPx;

if LegCurrency is RHS then=-LegAllocQty/LegLastPx (rounded to the precision of LegAllocQty, half-up)

Allocation side is not taken into account for some venues and thus LegAllocCalculatedCcyQty is always sent as positive.autobahnfx_algo, baml, exchange24, fxspotstream_algo, precision_algo, xtx_euthenia 2025.09.04.WE.RHEL9

Change

This change will ensure that the above quantity fields are normalised consistently across all venues OrdStatus/ExecType combinations. These fields will never be null in the ExecutionReport.

Timeline

  • Phased rollout starting August 2025.

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This will be populated as a negative value if LegSide matches with the allocation Side, and a positive if LegSide does not match with the allocation Side. 

Documentation

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