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Comment: Published by Scroll Versions from this space and version 1.1.21

2021.11.11.WE

New API(s):

  • gsfx (ESP) - Prod-ready

Other Changes

  • VEN-1631 - cboefx_bookfeed - cboefx_fixproxy - Add EOM1 (BMF2) tenor
  • VEN-1617 - ebs_market_mdp3_sbe - better support of test instruments
  • VEN-1614 - ebs_market_mdp3_sbe - support new broken-dated instruments

2021.11.04.WE

New API(s):

  • barx (ESP) - Prod-ready
  • t360_gtx  - Prod-ready

Venue Changes To Support Previous Schema Release 18656:

UnderlyingQty :  NoUnderlyings group is introduced to the schema to allow clients to specify custom VWAP ladders in their subscriptions. Venues currently supporting "MDEntrySize"  via BodyPassThruField  should use this group.

    • VEN-1446 - Global Validation - NoUnderlyings
    • VEN-1447 - lmax - Allow client to populate NoUnderlyingQty group in MarketData Request
    • VEN-1442 - fastmatch_autoex - Allow client to populate NoUnderlyingQty group
    • VEN-1434 - creditsuisse_ser - Replace MDEntrySize in BodyPassThru with UnderlyingQty group
    • VEN-1432 - jpmorgan_fx - Replace MDEntrySize in BodyPassThru with UnderlyingQty group
    • VEN-1431 - curex_marketdata - Replace MDEntrySize in BodyPassThru with UnderlyingQty group
    • VEN-1430 - cboefx_fixproxy - Replace MDEntrySize in BodyPassThru with NoUnderlyings group
    • VEN-1436 - hsbc_fx_mds - Replace MDEntrySize in BodyPassThru with UnderlyingQty group

Sweepable vs FullAmount:  Clients will now be notified by MF if VWAP is not supported with U2 message containing "QuoteID: VWAP is not supported ..."

    • VEN-1420 - citi_colo - Sweepable vs FullAmount clarification
    • VEN-1419 - hsbc_fx_mds - Sweepable vs FullAmount clarification
    • VEN-1418 - jpmorgan_fx - Sweepable vs FullAmount clarification
    • VEN-1417 - fxspotstream - Sweepable vs FullAmount clarification
    • VEN-1416 - exchange24 - Sweepable vs FullAmount clarification

EndMarkers:  EndMarker messages indicate End of SecurityStatus messages so that the client is given a definitive boundary to the list of supported instruments. This is now available where venue provides a SecurityList.

    • VEN-1445 - EndMarker : ebs_market_mdp3_sbe
    • VEN-1444 - EndMarker : cboefx_bookfeed
    • VEN-1443 - EndMarker : curex_marketdata
    • VEN-1441 - EndMarker : t360_gtx
    • VEN-1440 - EndMarker : fastmatch_autoex
    • VEN-1439 - EndMarker : edgewater_markets

Other Changes

  • VEN-1575    - cboefx_bookfeed - Mkt data messages with MDEntrySize of 0 and unqiue MDEntryID on TradeTicker messages
  • VEN-1572    - Global Validation to check price populated on StopLimit Orders
  • VEN-1410    - Support LinkID to implement schema v18656
  • PHNX-2803 - Send channel ready on each connection.
  • PHNX-2809 - Handle SecurityID not found in snapshot recovery loop.
  • PHNX-2810 - Venue initialise used to be run on gateway Startup, now delayed to Open.
  • PHNX-2806 - Reduce socket buffer size used in replay service with slow consumers

2021.10.08.WE

New API(s):

  • morganstanleyfx_esp

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