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Taker Considerations - Orders

In PreviouslyQuoted sessions, it is important that the client takes care to provide both of the following in their NewOrderMultileg messages:

• Spot rate - tag 44/Price

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• All-In rate for each leg - tag 566/LegPrice

Maker Considerations - Prices

There is a surprising amount of variation across Venues regarding Maker pricing - not just the required precisions that prices must be published to, but also how much looseness they allow across individual components. In order to guarantee a uniform interface, MarketFactory essentially has to adopt, and enforce, the strictest rules.  

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In the context of the SBE schema, this means that attention must paid to the Exponent of the individual PriceNULL fields, since when necessary, Pip location is determined by reference to the difference between All-in and Fwd Pts exponents.  In particular, it is very important to ensure that quoted all-in rates are to the correct all-in precision.

Worked Example for EUR/USD - Pip location is the fourth decimal place:

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