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Workflow

ESP Maker

Supported Instruments

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Table Filter

totalrow	,,,,,,,,,,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
sparkline	false
default	currenex_esp_maker,ExecutionVenue&&Products&&OrdType (SessionType == Orders)&&TimeInForce (SessionType == Orders)&&client_role&&target_platform&&MDBookType&&MDEntryType
isFirstTimeEnter	false
cell-width	250,712
hideColumns	true
customNoTableMsg	false
disabled	false
enabledInEditor	false
globalFilter	false
id	1688375796110_1797105023
order	0,1
hideControls	false
inverse	false,false
column	Venue
disableSave	false
separator	Point (.)
labels	Venue‚Hide columns
ddOperator	OR
datepattern	dd M yy
updateSelectOptions	false
worklog	365\|5\|8\|y w d h m\|y w d h m
isOR	AND

Table Excerpt Include

name	SupportedInstruments
merge-tables	true
page	Supported Instruments
type	page

Please refer to Supported Instruments to view across all venues.

PartyIDs

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Table Filter

hideControls	true
inverse	false
totalrow	,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
disableSave	false
separator	Point (.)
sparkline	false
labels	Venue
default	currenex_esp_maker
isFirstTimeEnter	false
cell-width	150
hideColumns	false
userfilter	Venue
datepattern	dd M yy
disabled	false
enabledInEditor	false
globalFilter	false
id	1687345878831_993188771
updateSelectOptions	false
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	PartyIDs
page	PartyIDs
type	page

Please refer to PartyIDs to view across all venues.

Regulatory Fields

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Table Filter

hideControls	true
inverse	false
totalrow	,,,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
disableSave	false
separator	Point (.)
sparkline	false
labels	Venue
default	currenex_esp_maker
isFirstTimeEnter	false
cell-width	150
hideColumns	false
userfilter	Venue
datepattern	dd M yy
disabled	false
enabledInEditor	false
globalFilter	false
id	1687345885469_-2073577401
updateSelectOptions	false
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	RegulatoryFields
page	Regulatory Fields
type	page

Please refer to Regulatory Fields to view across all venues.

Passthru Fields

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Table Filter

hideControls	true
inverse	false
totalrow	,,,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
disableSave	false
separator	Point (.)
sparkline	false
labels	Venue
default	currenex_esp_maker
isFirstTimeEnter	false
cell-width	150
hideColumns	false
userfilter	Venue
datepattern	dd M yy
disabled	false
enabledInEditor	false
globalFilter	false
id	1687345898043_-447384896
updateSelectOptions	false
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	PassthruFields
page	Passthru Fields
type	page

Please refer to Passthru Fields to view across all venues.

Details

Warning

title	Logon Retry Interval

On receiving a logout, it is recommended that clients wait for a minimum of 15 seconds before retrying the logon. A faster logon attempt will be treated as spam by the venue and blocked.

Note
In case of Maker receiving orders with OrdQty having decimal value, Trade will timeout if the OrderQty (38) has been changed or rounded to the nearest dollar. Execution Report sent with price/qty/etc different from order, the ExecutionReport will not be accepted and will result in Business Reject.

Quoting Model

Most Market-making venues expect the liquidity provider to provide a complete volume ladder per subscription, typically via MassQuote or MarketDataSnapshotFullRefresh messages.

For a given instrument, there may be multiple subscriptions, in order for the maker clients to be associated with a particular pricing "Scheme" (e.g. separate subscriptions requests for Gold, Silver, Bronze pricing in EUR/USD).

In this context a small number of Schemes are bilaterally agreed between the venue and the Maker. Each Maker client is associated with a single Scheme. The Maker uses each Scheme to provide a custom combination of currency pairs, available liquidity (no. of rungs, and associated quantities), spread, granularity of pricing and so on. Each volume ladder update is complete and self-contained.

Currenex does not operate like this. Instead a larger set of "Tiers" are agreed between the Venue and the Maker. Each Tier is essentially a single bid-offer rung (i.e. not a Ladder), for an arbitrary set of currencies. Currenex can be configured to associate each Tier with a specific quantity which will be specified in the associated subscription request. If not configured, the maker may provide whatever volume they wish, from update to update.

Maker clients are associated with arbitrary sets of Tiers, rather than a single Scheme. This has a great deal of inherent flexibility, but means that a substantial number of tiers are required in order to exactly replicate a 'standard' model on another venue. For example to deliver 5-rung Gold, Sliver, Bronze pricing across all pairs in Currenex you would need 15 separate Tiers.

In the context of Whisperer Enterprise, this means the following:

Currenex makes a separate subscription request for each Tier - each of these will be forwarded to the API client. Key Currenex IDs are mapped as follows:

MFAPI-Out.QuoteRequest.SecurityGroup = FIX-In.QuoteRequest.StreamReference[7533] # Tier name e.g. "PS1"

MFAPI-Out.QuoteRequest.QuoteReqID = FIX-In.QuoteRequest.QuoteReqID[131]

The API clients must respond to the subscription requests with MassQuote messages. These MassQuote messages must be for a single ccy pair for single "Tier" as per the QuoteRequest. The gateway allows NoQuoteSets = 1 and NoQuoteEntries = 1. The quoting ladder is not currently supported.
Quote Cancels - API clients quoting a single "Tier" per MassQuote can either use MassQuote and set the QuoteType to Indicative or send a QuoteCancel message to withdraw the Quote.

Unlike other venues, the Maker is thus responsible for the fan-out of their standard volume-laddered quotes across individual Currenex Tiers.

Info

title	Why Can't Whisperer 'Normalisation' Support Currenex Stacked Pricing?

MarketFactory has considered the feasibility of offering a model to allow the Maker customer to deliver a MassQuote Ladder as per other venues:

- Additional MarketFactory configuration would be required to map between multiple Currenex Tiers (agreed between Currenex and Maker) and custom pricing Scheme names (agreed between Maker and MarketFactory).
- The current pass-thru of Tier names and QuoteRequest IDs from Currenex to the Maker would most likely not be possible to retain - leading to increased opacity when Support team interaction is required.
- Whisperer must accumulate the necessary Currenex subscription requests before sending a single QuoteRequestMessage to the Maker for the full Ladder. It cannot be guaranteed to correctly handle scenarios when there is a mismatch of configuration between Maker and Currenex, or the maker MassQuote contains more rungs than expected, and so on.

For these reasons we have, to date, elected not to implement this feature. However should a customer have a strong interest in the detail additional information is available, on request.

Note: Enterprise mirrors Classic implementation.

Date Roll

For NZD pairs, Currenex rolls value date forward at 7 a.m (NZST/NZDT). For all other currency pairs (except those containing NZD), Currenex rolls value date forward at 5:00 pm (EDT/EST).

Versions Compared

Old Version 1

New Version Current

Key

Workflow

Supported Instruments

PartyIDs

Regulatory Fields

Passthru Fields

Details

Quoting Model

Date Roll