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Client is notified when Venue connectivity is terminated.
Maker
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Maker certification should focus primarily on outbound (Client > MF) message correctness.
RFS Workflow
QuoteRequest
Client is able to receive and correctly identify all flavours of RFS requests, i.e. permutations and combinations of the following:
- SecurityType: SPT, FWD, NDF, SWP, NDS, BLK (FXall), NDB (FXall)
- Allocations: Single and Multiple (including zero net allocs).
- Side: Buy/Sell/Two-Way
- Dealt Currency: Base/Term ccy qtys
- Regulatory framework: OFF/SEF/MTF
QuoteResponse
Ensure Client handles all RFS termination modes.
Outbound Client > Venue
Quote Request Rejection
Client should be able to send different rejection reasons, e.g. Credit check failure vs unsupported pair.
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- FXall QuickTrade
- Currenex RFS (TODO: Create page on TheSauce).
Quote Request Timeout
Client should terminate RFSs after a period of time (e.g. 3-5m). The Client timeout may, or may not, match the Venue setting.
Inbound Venue > Client
Client must be able to handle Venue-termination of active RFS - either due to the Venue stream timeout, or because the counterparty dealt away, or because the counterparty canceled the request.
Quote
Quote messages must be generated for all the permutations and combinations of QuoteRequest above.
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- QuoteIDs - Uniqueness is verified. The following characters are not allowed: ¬~`_!*,-:=[]/#<>
- QuoteType - various combinations of Indicative/Tradeable for Bid and/or Offer.
- Price precision - very important for Fwds. Refer to Whisperer Enterprise - Prices and Quantities.
- Regulatory - All regulatory regimes must be explicitly declared as in or out of scope. In scope regimes must be demonstrated to populate the required reg. fields correctly:
- MTF - EDM/IDM - missing, wrong, correct - Client must observe and understand the Venue behaviour for each scenario. Refer to Regulatory Fields FAQ.
- SEF
- OFF
QuoteCancel
The Client can explicitly withdraw a previously issued Quote.
NewOrderMultileg
Client must be able to receive orders for all the permutations and combinations of QuoteRequest above.
ExecutionReport
Ensure that Client handles both deal acceptance and deal rejection.
Deal Acceptance
Regulatory - All regulatory regimes must be explicitly declared as in or out of scope. In scope regimes must be demonstrated to populate the required reg. fields correctly:
- MTF
- SEF
- OFF
Deal Rejection
Client should be able to send different rejection reasons, e.g. Credit check failure vs stale quote.
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- FXall QuickTrade
- Currenex RFS (TODO: Create page on TheSauce).
ExecutionAcknowledgement
Client must be able to receive acknowledgements of all fills, and possibly rejections, for all the permutations and combinations of QuoteRequest above.
Venue-Specific Certification
Venue-specific scenarios should be exercised, to ensure that there are no surprises when Client/Venue conformance tests are performed:
ESP Workflow
TODO
Taker
RFS
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Workflow
TODO
ESP Workflow
TODO
CLOB
Market Data
TODO
Orders
TODO
ExecutionAcknowledgement
Client must be able to receive acknowledgements of all fills, and possibly rejections, for all the permutations and combinations of QuoteRequest above.
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