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Table of Contents

Workflow

CLOB: MarketData

Note
titleTCP vs UDP

Please make sure you confirm with Support whether or not you wish to utilise TCP or UDP connectivity.

UDP sessions have lower latency, but are potentially subject to message loss. Subscriptions therefore utilise additional gap detection/recovery logic. Please refer to UDP/Multicast Market Data Feeds for additional detail. 

Tip
titleUAT vs PROD
  • PROD sessions are typically via cross connect, which should support UDP connections with minimal problems. Clients should consider disconnection/escalation if they see any ErrorReport or GapDetected events.
  • UAT sessions may be via public Internet, which will lead to frequent message gaps over UDP. This is useful if you want to observe/validate this behaviour. Otherwise please consider TCP if you want stability. 


UDP Gap Detection

Whilst gap-detection and recovery is reliable for individual subscriptions, the currenex API has the following additional characteristics:

Warning
titleTradeTicker

The Currenex TradeTicker message is unsequenced.  On a UDP session, it is not possible to detect the failed delivery of a ticker message and therefore gaps may potentially exist.


Warning
titleSecurityStatus
Whilst delivery of a complete list of Security Status messages is guaranteed during session establishment, this is not the case for IntraDay (date roll) SecurityStatus messages.


Supported Instruments

SecurityTypeLegSettlType

MDBookType

MDEntryType

SPTSPT

PriceDepth *

OrderDepth

Bid

Offer

TradePaid

TradeGiven

* Native Currenex market data via this API is full book, non-aggregated (OrderDepth). Whisperer Enterprise additionally supports provision of a synthetic PriceDepth view.

PartyIDs

Expand


Table Filter
hideControlstrue
inversefalse
sparkNameSparkline
hidePanetrue
isNewfalse
separatorPoint (.)
ddSeparatorstrue
defaultcurrenex_itch
isFirstTimeEnterfalse
userfilterVenue
datepatterndd M yy
id1649331238065_494767029
worklog5|8|w d h m|w d h m
isORAND
order0

Table Excerpt Include
copytabletrue
namePartyIDs
pagePartyIDs
typepage


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

Regulatory Fields

Expand


Table Filter
hideControlstrue
inversefalse
sparkNameSparkline
hidePanetrue
isNewfalse
separatorPoint (.)
ddSeparatorstrue
defaultcurrenex_itch
isFirstTimeEnterfalse
userfilterVenue
datepatterndd M yy
id1649331256291_-254867899
worklog5|8|w d h m|w d h m
isORAND
order0

Table Excerpt Include
copytabletrue
nameRegulatoryFields
pageRegulatory Fields
typepage


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

Passthru Fields

Expand


Table Filter
hideControlstrue
inversefalse
sparkNameSparkline
hidePanetrue
isNewfalse
separatorPoint (.)
ddSeparatorstrue
defaultcurrenex_itch
isFirstTimeEnterfalse
userfilterVenue
datepatterndd M yy
id1649331269234_-538994280
worklog5|8|w d h m|w d h m
isORAND
order0

Table Excerpt Include
copytabletrue
namePassthruFields
pagePassthru Fields
typepage


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