Page History
...
- Currenex makes a separate subscription request for each Tier - each of these will be forwarded to the API client. Key Currenex IDs are mapped as follows:
...
MFAPI-Out.QuoteRequestMessage.contents.mdStreamID
...
=
...
FIX-In.QuoteRequest.StreamReference[7533]
...
#
...
Tier
...
name
...
e.g.
...
"PS1"
...
MFAPI-Out.QuoteRequestMessage.contents.quoteReqID
...
=
...
FIX-In.QuoteRequest.QuoteReqID[131]
- The API client must of course respond to each individual subscription request with a stream of MassQuote messages in the normal manner. Key Currenex IDs are mapped as follows:
...
FIX-Out.MassQuote.QuoteSetID[302]
...
=
...
MFAPI-In.MassQuote.contents.quoteReqID
...
FIX-Out.MassQuote.NoQuoteSets{*}.NoQuoteEntries{*}.QuoteEntryID[299]
...
=
...
MFAPI-In.MassQuote.contents.quotes{*}.quoteID
- However: It must be understood that each MassQuote is destined for a single, single-rung tier. It follows therefore that each MassQuote message must comprise a single rung. Either a single Bid or a single Offer or both sides may be quoted. Each side may specify independent amounts.
...
| Info | ||
|---|---|---|
| ||
MarketFactory has done the necessary business analysis to define a model to allow the Maker customer to deliver a MassQuote Ladder as per other venues. This model necessarily requires additional MarketFactory configuration to map between multiple Currenex Tiers (agreed between Currenex and Maker) and custom pricing Scheme names (agreed between Maker and MarketFactory). In addition the solution is necessarily brittle - for example, Whisperer cannot know what to domust accumulate the necessary Currenex subscription requests before sending a single QuoteRequestMessage to the Maker and cannot be guaranteed to correctly handle scenarios when there is a mismatch of configuration between Maker and Currenex. For these reasons we have, to date, elected not to implement this feature. However should a customer have a strong interest in this featurethe detail additional information is available, on request. |
Overview
Content Tools