Comment:
Published by Scroll Versions from this space and version 1.5.90
Table of Contents
Change Summary
Tipwarning
title
Discretionary Mandatory Change
Background
As we are rolling out more algo venues, it has become necessary to see the trading strategy information on the ExecutionReport. This will also help with queries/analytics.
As a result, we have introduced HasExtendedOrderFields to ExecutionReport in the Whisperer schema version 19458, and will populate the fields in the repeating group according to the timeline below.
We have introduced HasExtendedOrderFields to ExecutionReport to pass on the trading strategy information to clients. The change will normalise how the information is passed on to the clients without inconsistencies, and the use of BodyPassthruFields.
Warning
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HasExtendedOrderFields and Schema Upgrade
Please note that clients should be prepared to consume HasExtendedOrderFields in ExecutionReport when they upgrade to Whisperer schema version 19458.
Timeline
Phase 1
- UAT - MarketFactory will introduce the HasExtendedOrderFields to ExecutionReport for clients to test the affected venues in UAT.
At client discretion - PROD - Whisperer release 2025.10.XX.WE will be available for clients interested in consuming HasExtendedOrderFields in ExecutionReport.
Phase 2
Introduce the ability to identify the liquidity provider that executed an order in the ESPTaker and RFSTaker workflows.
This feature will help users get a complete view of orders executed by an LP on an ECN + orders dealt directly on a native bank API.
We will enrich ExecutionReport with ExecutionVenuePartyRole and PartyID populated with the MIC of the liquidity provider that Filled/ Rejected/ Cancelled an order.
Timeline
- UAT - The feature will be available for clients to test in UAT if they are trading on the affected venues.
At client's discretion - PROD - Whisperer release 2026.02.18.WE or a later version will be available for clients who are ready to consume ExecutionReport consistently populated with ExecutionVenuePartyRole
- UAT - MarketFactory will introduce the HasExtendedOrderFields to ExecutionReport for clients to test the affected venues in UAT.
At client discretion - PROD - Whisperer release 2025.10.XX.WE will be available for clients interested in consuming HasExtendedOrderFields in ExecutionReport.
Whisperer Client Impact
Change Details
Whisperer clients trading on the Affected Venues will start to receive the following fields in the HasExtendedOrderFields group in ExecutionReport:consistently receive ExecutionVenuePartyRole and PartyID populated with the MIC of the liquidity provider in ExecutionReport.
The ExecutionVenue enrichment applies to ExecutionReport with IsSynthetic flag set to Y and N.
Note
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ExecutionVenue in t360_tex
Please note that the ExecutionVenue mappings exist only for the MIC of LPs configured for our clients at the time of this implementation.
As we do not have the visibility of all the LPs that 360T supports, clients starting to trade on t360_texwith new LPs will receive XXXX as the PartyID for ExecutionVenue.
MarketFactory adapter will send an ErrorReport to notify the client when 360T sends an LP that is not recognised by MarketFactory as a valid LP for ExecutionVenue enrichment.
Note
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ISO MIC for undefined market
For the following technology platforms that does not have an ISO MIC, clients will receive XXXX (the ISO MIC for undefined market) as the PartyID for ExecutionVenue: