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The table below lists examples of Trading Venues and the counterparty information they provide, alongside a JSON extract of how the resulting information would be transported by Whisperer to the customer application.
Number | Description | FIX Fragment | Resulting JSON |
|---|---|---|---|
| 1 | LastMkt tag | 30=Hotspot | {"LastMkt":{"ID":"Hotspot"}} |
| 2 | LastMkt tag, 2 parties: Acceptable Counterparty and Executing Firm | 453=2 448=BAML 452=1 448=Citadel 452=56 30=Hotspot | {"AcceptableCounterparty":{"ID":"Citadel"},"ExecutingFirm":{"ID":"BAML"},"LastMkt":{"ID":"Hotspot"}} |
| 3 | LastMkt tag, 2 parties: Acceptable Counterparty and Executing Firm; ExecutingFirm BAML has 2 subparties, Application and Firm | 453=2 448=BAML 452=1 802=2 523=UBS 803=1 523=Whisperer 803=4 448=Citadel 452=56 30=Hotspot | {"AcceptableCounterparty":{"ID":"Citadel"},"ExecutingFirm":{"Application":"Whisperer","Firm":"UBS","ID":"BAML"}, |
| 4 | Corner case: LastMkt tag with hypothetical LastMkt party (duplicate counterparty), Executing Firm party | 453=2 448=BAML 452=1 448=Citadel 452=56 30=Hotspot | {"ExecutingFirm":{"ID":"BAML"},"LastMkt":[{"ID":"Hotspot"},{"ID":"Citadel"}]} |
| 5 | Corner case: AcceptableCounterparty party, ExecutingFirm party=BAML with duplicate subparty (Application) and subparty Firm, and LastMkt tag | 453=2 448=BAML 452=1 802=3 523=UBS 803=1 523=Whisperer 803=4 523=Reuters2000 803=444 8=Citadel 452=56 30=Hotspot | {"AcceptableCounterparty":{"ID":"Citadel"},"ExecutingFirm":{"Application":["Whisperer","Reuters2000"],"Firm":"UBS", |
This example shows counterparty information as received in the FIX messages and presented in the TradeCapture message. The counterparty information is highlighted in red.
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For the NewOrderMessage.detail (contained within the details field of the message where JSON counterparty information is held) the field is populated using data obtained from the venue containing the counterparty details an example is below:
Prototype:
Example:
| Trading Venue | AcountID (FIX tag 1) | PartyID (FIX tag 448) | ExecutingFirm (FIX tag 448) | Time in Force (FIX tag 59) | ContraTraderID (FIX tag 337) | ExecutingTrader | Broker of Credit |
|---|---|---|---|---|---|---|---|
| CURRENEX (RFQ) | - | onAppMsg | onAppMsg | - | - | - | - |
CURRENEX (ESP) | - | onAppMsg | onAppMsg | - | - | - | - |
| CURRENEX (OUCH) | - | onAppMsg | onAppMsg | - | - | - | - |
| EBS DIRECT | onAppMsg | onAppMsg | onAppMsg | onAppMsg | - | onAppMsg | onAppMsg |
| FASTMATCH | onAppMsg | - | - | onAppMsg | - | - | - |
| HOTSPOT | ExecutionReport | - | - | - | ExecutionReport | ExecutionReport | - |
| HOTSPOT (RFS) | - | onAppMsg | onAppMsg | - | - | - | - |
| INTEGRAL | - | - | - | onAppMsg | - | - | - |
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SET FLAG
<!-- legacy="true" means all feeds use the legacy counterparty field by default --><!-- legacy="false" means all feeds use the new counterparty JSON by default --><CounterpartyReporting legacy="false">
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