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Comment: Published by Scroll Versions from this space and version 1.5.14

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CategoryOrdStatusExecTypeDescription
TransitionalPendingNewPendingNewVenue acknowledgement of receipt of Order.
ActiveNewNewVenue notification of acceptance of Order.
ReplacedVenue notification of acceptance of a replacement Order (including client-initiated Order release).
RestatedVenue notification of venue-initiated Order release.
ActivePartiallyFilledPendingMatchVenue notification of a potential match. E.g. EBS eFix.
TradeVenue notification of a done trade.
Replaced

Venue notification of acceptance of a replacement Order (including client-initiated Order release).

Note: Order Suspend/Release should not be combined with other parameter changes.

RestatedVenue notification of venue-initiated Order release.
ActiveSuspendedReplacedVenue notification of acceptance of client-initiated Order suspension. NOTE: 

Note: Order Suspend/Release should not be combined with other parameter changes.

TerminalFilledPendingMatchVenue notification of a potential match. E.g. EBS eFix.
TradeVenue notification of a done trade.
TransitionalPendingCancelPendingCancelVenue acknowledgement of receipt of OrderCancelRequest.
TerminalCanceledCanceled

Venue notification of Order cancellation.

TransitionalPendingReplacePendingReplaceVenue acknowledgement of receipt of OrderCancelReplaceRequest.
TerminalRejectedRejectedVenue rejection of order.
TerminalCalculatedTradeVenue notification of Fixing Order rate confirmations (EBS eFix), and notification of individual legs for spread instruments (CME).
TerminalExpiredExpiredVenue notification of the expiry of specified TimeInForce.

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Other strategy parameters must be populated as per LP requirements for the specific Algo. The Client will need to reference the venue-provided API documentation for this detail.


Spread Orders

Overview

A calendar spread is a futures strategy with simultaneous long and short positions on the same underlying asset but with different expiry dates. 

  • Bull spread: When a trader buys the nearby month and sells the deferred month.
  • Bear spread: When a trader sells the nearby month and buys the deferred month. 

Whisperer currently only supports Bull Calendar Spreads which are defined with Buy near and Sell far legs.

Order Submission

Side: The LegSide of the first Leg on the client message to Whisperer will represent the Side of the Spread. 

Leg1

Leg2

Action on Spread

Buy

Sell

Buys the spread - buys leg1, sells leg2

Sell

Buy

Sells the spread - sells leg1, buys leg2

Price: The Price on the order will be the spread price. The LegPrice mustnot be populated on the request.

ExecutionReport

The following ExecutionReport messages are published for Fills:

  • 1 Notional Fill: Trade information for the overall Spread, followed by
  • 2 Leg Fills: Trade information for each of the legs. 

The Notional fill and Leg fills for a given trade will all have the same SecondaryExecID

The legs on Notional fill will have the overall Notional fill information with 

  • OrdStatus: Calculated
  • ExecType: Calculated