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Workflow and
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Supported Messages
The gateway will accept MarketDataRequest and send MarketDataIncrementalRefresh and EndMarker messsages.
After logon and any time after the gateway will send SecurityStatus messages as they are received from the venue.
The gateway will send an EndMarket message at the end of the initial batch of SecurityStatus messages to indicate all instruments known at logon time have been sent. Further SecurityStatus messages should be expected during the week for various reasons, including trade date rolls or trading halts.
The MarketDataRequest MDBookType should always be PriceDepth.
The EBS symbol is unique to each security on the EBS venue. The EBS symbol, eg "EUR/USD BFIX 2030 LN", is not the same as the MarketFactory symbol which in this example would be only "EUR/USD".
accept MarketDataRequest and send MarketDataIncrementalRefresh and EndMarker (U3).EBS market data subscriptions are keyed by the EBS symbol. To determine the EBS symbol the gateway uses the Symbol, SecurityType, LegSettlType and NoBodyPassthruFields.BodyPassthruValue with BodyPassthruKey "SEFRegulated". The SecurityGroup SecurityType, LegSettlType and RegulatoryBodies.SEF flag from the MarketDataRequest message for spots and NDFs.
The MarketDataRequest SecurityGroup field, if populated, overrides the former mapping this and is used directly as the EBS symbol. All mentioned fields expected in the MarketDataRequest are received published in the SecurityStatus message.
The subscription type should be PriceDepth.
MarketDataIncrementalRefresh
The MarketDataIncrementalRefresh may have various MDEntryType , based on the message received from the venue:
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the SecurityStatus message corresponding to the given instrument and may be copied from there.
Examples:
| MarketFactory→ Client: SecurityStatus | Client→MarketFactory: MarketDataRequest | corresponding EBS symbol | Notes |
|---|---|---|---|
55=EUR/USD 167=SPT 587=SPT 20021=N N N N N | 55=EUR/USD 167=SPT 587=SPT 20021=N N N N N | EUR/USD | simple spot, the EBS symbol matches the MF symbol |
55=USD/PHP 167=NDF 587=M1 20021=N N N N N | 55=USD/PHP 167=NDF 587=M1 20021=N N N N N | PHP 1M | off-SEF NDF |
55=USD/INR 167=NDF 587=M1 20021=Y N Y N N | 55=USD/INR 167=NDF 587=M1 20021=Y N Y N N | INR 1M SEF | on-SEF NDF (note the MiFID flag is also set based on the information received from EBS however this is not used at the moment) |
55=EUR/USD 167=SPT 587=SPT 20021=N N N N N 1151=EUR/USD WMR 0955 TK | 55=EUR/USD 167=SPT 587=SPT 20021=N N N N N 1151=EUR/USD WMR 0955 TK | EUR/USD WMR 0955 TK | MarketDataRequest with SecurityGroup (1151) this is used to override the EBS symbol irrespective of other fields however other fields may be validated, eg 55=EUR/USD |
The gateway will publish MarketDataIncrementalRefresh messages with multiple MDEntry-s with the following MDEntryTypes:
- Bid
- Offer
- BestBid
- BestOffer
- Trade
- TradePaid
- TradeGiven
Regulatory Fields
The RegulatoryBodies.SEF flag is used to signal SEF vs non-SEF instruments in SecurityStatus and MarketDataRequest, see examples above. Although the MiFID flag is populated in SecurityStatus messages this flag is currently ignored in MarketDataRequest messages as there are no MiFID exclusive EBS symbols.
PartyIDs
Not applicable for this venue.
Passthru Fields
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