Pricing

Supported Book Types

The Market Data feed will supports subscriptions to PriceDepth and TradeTicker  MDBookTypes.

TradeTicker

By default LMAX trade notifications are delivered with a 60 second delay, at no charge. The delay may be removed on a per-session basis, for an additional LMAX fee,  if the client wishes.

In the event where a trade is cancelled/busted on the LMAX Exchange, LMAX will publish a MarketDataIncrementalRefresh message with MDUpdateAction=Delete where the MDEntryID references the original trade now being cancelled.

Orders

Supported Products, OrderTypes and TimeInForce

Varies by region and session. LMAX will publish the security list on the FIX session after logon, please see attached CSV-s below for reference.  MF will send the client a SecurityStatus message for each FX currency pair from this list. The client will request market data and send orders.

Iceberg Orders

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• A minimum ratio of 1:50 is imposed for visible Quantity to Total Quantity of an order.
• When the visible Quantity is fully filled, the next available peak will be added to the order book on price/time basis, using the time the new peak is added.
• ExecutionReports for Iceberg orders behave in the same way as ExecutionReports for non-Iceberg orders, with the addition of the MaxShow tag. The breakdown between the current visible Quantity and hidden Quantity will not be shown.
• A new ExecutionReport is not sent when a new peak is added to the order book.
• The visible Quantity is disseminated on the MarketData stream, not the Total Quantity.
• Orders without the MaxShow tag will be treated as a normal Limit order.

Dark Limit Orders

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• ExecutionReports for Dark orders behave in the same way as ExecutionReports for non-Dark orders, with the addition of the MaxShow tag.
• ExecutionReports for MassQuotes made up of Dark and non-Dark orders will include the MaxShow tag for executions against Dark Orders only. MaxShow will be omitted on ExecutionReports for executions against non-Dark orders.
• Dark orders will not be disseminated on the MarketData stream.
• Orders without the MaxShow tag will be treated as a normal Limit order.

Trade Sizes

Minimum Trade Size

The option to control trade sizes, using the LMAX Minimum Trade Size (MTS) functionality, is available through two methods, outlined below. The functionality is to ensure orders match, in full or partial, in a size equal to or larger than a pre-set minimum trade size.

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Full Amount

Full Amount trading, where orders are executed in whole, without partial fills, and against only one counterparty is available on LMAX through two methods, outlined below.

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Maker ESP

Maker ESP is supported by LMAX with no Last-Look.

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MF will send the client a synthetic spot quote request for each, as per the Instruments lists below (cryptocurrencies on LMAX Digital are also included in the FX currency pair list). The client will send MassQuotes in response, and LMAX will respond with fills.

MassQuote

Publication

A subsequent MassQuote, if accepted, will replace the previous MassQuote and will cancel all the unmatched liquidity associated with the replaced MassQuote.

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In the event that a MassQuote is sent to replace a previous MassQuote, but is rejected (e.g. due to incorrect IDs, incorrect formatting, incorrect levels of depth), the initial MassQuote will still be active on the LMAX platform. It is advised that if a MassQuote is rejected, for any reason, and there is an existing MassQuote on the platform, a QuoteCancel or “empty” MassQuote is sent to remove the existing MassQuote.

Matching

Once the MassQuote message is submitted to a market, the individual Quote Entries are treated as single orders. The trades generated for each of the Quote Entries in the MassQuote order will be reported with an ExecutionReport Message.

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• Aggressive full match for 1st price level submitted in the MassQuote.
• Aggressive partial match against 2nd price level submitted in the MassQuote.
• Passive match that fully fills the 2nd price level submitted in the MassQuote.

Venue Checks

Throttling

Volatility Bands

In order to protect Clients from pricing errors Volatility Bands are set per order book on LMAX. If the price difference between the previous accepted price and the new price is outside the volatility limit, LMAX will reject the order with an OUTSIDE_VOLATILITY_BAND message.

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For Makers, If the Maker has not yet input an order during that Trading Day, the price will be compared to the last price accepted on the order book by other Makers.

Regulatory fields

Please refer to or Regulatory Fields for the full Enterprise table across all venues.

PartyIDs

Please refer to Whisperer Enterprise - PartyIDs for the full Enterprise table across all venues.

Instruments

LMAX-Exchange-TY3-Instruments.csv

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