Workflow
CLOB: MarketDataOrders
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Supported Instruments
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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.
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- 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.
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| Table Filter |
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| totalrow | ,,,,,,,,,,,, |
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| hidelabels | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| sparkline | false |
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| default | currenex_ouch,ExecutionVenue&&MDBookType(PricingSession)&&MDEntryType(PricingSession)&&Comments&&MDBookType (SessionType == Pricing)&&MDEntryType (SessionType == Pricing)&&Products&&client_role&&MDBookType&&MDEntryType |
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| isFirstTimeEnter | false |
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| cell-width | 250,250 |
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| hideColumns | true |
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| disabled | false |
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| enabledInEditor | false |
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| globalFilter | false |
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| id | 1687963138287_-353571771 |
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| order | 0,1 |
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| hideControls | false |
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| inverse | false,false |
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| column | Venue |
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| disableSave | false |
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| separator | Point (.) |
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| labels | Venue‚Hide columns |
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| ddOperator | OR |
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| datepattern | dd M yy |
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| updateSelectOptions | false |
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| worklog | 365|5|8|y w d h m|y w d h m |
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| isOR | AND |
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| | Table Excerpt Include |
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| name | SupportedInstruments |
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| merge-tables | true |
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| page | Supported Instruments |
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| type | page |
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UDP Gap Detection
Whilst gap-detection and recovery is reliable for individual subscriptions, the currenex API has the following additional characteristics:
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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. |
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| 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
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MDBookType
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MDEntryType
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PriceDepth *
OrderDepth
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Bid
Offer
TradePaid
TradeGiven
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Please refer to Supported Instruments to view across all venues
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PartyIDs
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| hideControls | true |
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| inverse | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| isNew | false |
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| separator | Point (.) |
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| ddSeparators | true |
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| default | currenex_itchouch |
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| isFirstTimeEnter | false |
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| userfilter | Venue |
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| datepattern | dd M yy |
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| id | 16641283255271664129385401_768498270-1335648084 |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| order | 0 |
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| | Table Excerpt Include |
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| copytable | true |
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| name | PartyIDs |
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| page | PartyIDs |
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| type | page |
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Please refer to Whisperer Enterprise - PartyIDs for the full Enterprise table to view across all venues.
Regulatory Fields
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| Table Filter |
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| hideControls | true |
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| inverse | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| isNew | false |
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| separator | Point (.) |
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| ddSeparators | true |
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| default | currenex_itchouch |
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| isFirstTimeEnter | false |
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| userfilter | Venue |
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| datepattern | dd M yy |
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| id | 16641283255291664129437384_2076923696935109534 |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| order | 0 |
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| | Table Excerpt Include |
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| copytable | true |
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| name | RegulatoryFields |
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| page | Regulatory Fields |
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| type | page |
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Please refer to or to Regulatory Fields for the full Enterprise table to view across all venues.
Passthru Fields
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| Table Filter |
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| hideControls | true |
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| inverse | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| isNew | false |
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| separator | Point (.) |
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| ddSeparators | true |
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| default | currenex_itchouch |
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| isFirstTimeEnter | false |
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| userfilter | Venue |
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| datepattern | dd M yy |
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| id | 16641283255301664129451829_258440495-65047280 |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| order | 0 |
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| | Table Excerpt Include |
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| copytable | true |
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| name | PassthruFields |
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| page | Passthru Fields |
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| type | page |
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Please refer to Passthru Fields for the full Enterprise table across all venues to view across all venues.
Details
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OUCH is a binary trading protocol delivered over TCP. |
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| title | Modification of PartiallyFilled Orders is not allowed |
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PartiallyFilled Orders cannot be Replaced.
If MultilegOrderCancelReplaceRequest is sent for PartiallyFilled Order, the new request is Rejected and the original order is Cancelled. |
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By default, the minimum permitted order entry size is 40k in the base currency, but this can be adjusted depending on client requirements. Please contact MarketFactory Contact if you wish to update this. |
Liquidity Configuration
Currenex offers co-mingled anonymous and disclosed execution in a single or multiple order books, depending on client configuration.
- Where trades are executed against disclosed counterparties, the
ExecutingFirm PartyID will be populated with the end-maker ID. - This information is not available for anonymous execution.