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

Table of Contents

Change Summary


Warning
titleMandatory Change

Background

To provide a normalised view of the OrdStatus and ExecTypes for Cancels and  Expires in the CLOB and Algo workflow. Currently there is a mixture of ExecutionReport Expires and Cancels being delivered in these scenarios. 

Affected Venues

Changes

Orders with TimeInForce IOC,FOK will be cancelled if not filled.

Orders which expire at a given time i.e, TimeInForce in DAY, GTD, GFT, GFA, AMO, AMC will be expired if not filled.

The unsolicited cancels including CancelOnDisconnect, SelfMatchPrevention, Pegged MidMatch Orders after PartialFills, will all remain cancelled. These unsolicited cancels will have the OrdStatus = remain Cancelled. 

The venue initiated unsolicited cancels and replaces Canceled, ExecType=Restated, ExecRestatementReason populated with appropriate reason.

Timeline

Clients are advised to contact the MarketFactory Delivery Team to enable this feature in UAT to test and subsequently deploy to production.

Whisperer Client Impact

Warning

Whisperer clients will now receive ExecutionReport with normalised OrdStatus, ExecType for the affected venues listed above.

Change Details

Below are the changes in individual venues.

...

VenueTimeInForceOrdStatus ChangeExecType ChangeComment
bgc_midfx

Day

Canceled → Expired

Canceled → Expired

N/A
broadridge_ordersDay, GTD, GFT, GFA, AMO, AMCCanceled → ExpiredCanceled → Expired

Additional Change: SelfMatchPrevention canceled Execution Reports will be sent with 

OrdStatus=Canceled, ExecType=Restated, ExecRestatementReason= CxldSMP

cboefx_fixproxy

Day

Canceled → Expired

Canceled → Expired

Additional Change: MidMatched pegged Orders that are canceled after partial match,  will be sent with 

OrdStatus=Canceled, ExecType=Restated, ExecRestatementReason=BrokerOption

IOC, FOK

Expired → Canceled

Expired → Canceled

cme_ilink3_sbeIOC, FOKExpired → CanceledExpired → CanceledN/A
ebs_market_ilink3_sbeIOC, FOKExpired → CanceledExpired → CanceledN/A
fastmatch_autoexDayCanceled → ExpiredCanceled → ExpiredN/A
fidessa_ordersGTD, GFT, GFA, AMO, AMCCanceled → ExpiredCanceled → ExpiredN/A
fxall_activetradingDayCanceled → ExpiredCanceled → ExpiredN/A
lmaxDayCanceled → ExpiredCanceled → ExpiredN/A
lseg_ftgDay, GFTCanceled → ExpiredCanceled → Expired

Additional Change: Unsolicited Order Cancel following a TradeBust will be sent with

OrdStatus=Canceled, ExecType=Restated, ExecRestatementReason=BrokerOption

lucera_lumefxDayCanceled → ExpiredCanceled → ExpiredN/A
parfx_ordersDayCanceled → ExpiredCanceled → ExpiredN/A
t360_gtxDayCanceled → ExpiredCanceled → ExpiredN/A

autobahnfx_algo

DayCanceled → ExpiredCanceled → ExpiredAdditional Change: Unsolicited Algo amends and cancels will be sent with ExecType=Restated, ExecRestatementReason populated appropriately.

bnpparibas_efx_algo

Day, GTD, GFA, GFTCanceled → ExpiredCanceled → ExpiredAdditional Change: Unsolicited Algo amends and cancels will be sent with ExecType=Restated, ExecRestatementReason populated appropriately.

fxspotstream_algo

Day, GTD, GFACanceled → ExpiredCanceled → ExpiredAdditional Change: Unsolicited Algo amends will be sent with ExecType=Restated, ExecRestatementReason populated appropriately.
IOC, FOKExpired → CanceledExpired → Canceled

jpmorgan_fx_algo

---Additional Change: Unsolicited Algo amends and cancels will be sent with ExecType=Restated, ExecRestatementReason populated appropriately.

precision_algo

---Additional Change: Unsolicited Algo amends and cancels will be sent with ExecType=Restated, ExecRestatementReason populated appropriately.

ubs_algo

---Additional Change: Unsolicited Algo amends and cancels will be sent with ExecType=Restated, ExecRestatementReason populated appropriately.

Note: The stamping of ExecType=Restated and ExecRestatementReason is on best effort basis where there is enough information from the venue.


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