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Comment: Published by Scroll Versions from this space and version 1.5.94

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LMAX will maintain the Curex liquidity separately and will not consolidate with LMAX to form a single liquidity pool.

Please note that NDF market data is not offered for clients subscribing to Curex liquidity pool.

Pricing

Sweepable vs FullAmount

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  • "old" configuration model - client will simply receive the maximum quantity available at each price level, i.e. reflecting the per-order MinQty Minimum Trade Size information.
  • "new" configuration model - LMAX will configure Full Amount Volume bands as bilaterally agreed with the client, e.g. 1m, 3m, 5m, 10m, 20m.
  • Client-specified, at run-time - Whisperer clients may specify up to 30 UnderlyingQty values in the MarketDataRequest NoUnderlyings group.

TradeTicker

Info
titleConfiguration

The trade feed is free of charge only for the trading clients who meet the monthly eligibility criteria.

By default, the trade ticker is disabled and must be enabled by LMAX on a per-session basis.

Warning
titleTrade Data subscription on Curex liquidity pool

Clients trading on the Curex liquidity pool cannot subscribe to the trade ticker. MF gateway handles the subscription of trade data based on the session config.

When configured, all trade events are delivered with a 60-second delay. There is no option to receive these in real-time.

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Warning
titleLMAX does not support non-aggregated MarketData

Please note that Curex clients cannot subscribe to non-aggregated MarketData as LMAX does not support the feature.

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SecurityGroup

Whisperer Clients will send the client a synthetic spot quote request for each instrument. The client will send MassQuotes in response, and LMAX will respond with fills (no last look).

MassQuote
Publication

A subsequent MassQuote, if accepted, will replace the previous MassQuote and will cancel all the unmatched liquidity associated with the replaced MassQuote.

If an order within the new MassQuote equals the price and size of an unmatched order within the previous MassQuote, the previous order will keep priority on the order book and will adopt the new QuoteID.

start to receive the SecurityGroup field in the SecurityStatus, QuoteRequest, and ExecutionReport published for NDF instruments.

MarketFactory gateway will accept the SecurityGroup in MarketDateRequest when clients subscribe to NDF market data and NewOrderMultileg when trading an NDF instrument.

LMAX offers 1M rolling contracts for APAC NDFs and EOM contracts for LATAM NDFs (currently BRL only).

Sample SecurityGroup:

USDKRW1M (1M rolling contracts for APAC NDFs)

USDBRL012025 (Jan 2025 EOM contracts for LATAM NDFs)

SettlDate

Info
titleSettlDate (Optional field in SecurityStatus)

Clients have the option to consume SettlDate in SecurityStatus. LMAX will enable the SettlDate field per session upon client request.

Clients can contact the MarketFactory Delivery Team to enable SettlDate in their LMAX session.

Maker ESP

Whisperer will send the client a synthetic spot and NDF quote request for each instrument. The client will send MassQuotes in response, and LMAX will respond with fills (no last look).

MassQuote
Publication

A subsequent MassQuote, if accepted, will replace the previous MassQuote and will cancel all the unmatched liquidity associated with the replaced MassQuote.

If an order within the new MassQuote equals the price and size of an unmatched order within the previous MassQuote, the previous order will keep priority on the order book and will adopt the new QuoteID.

A MassQuote A MassQuote supports a maximum of 6 quote entries for each side of the order book. A MassQuote will be rejected if the number of quote entries is greater than 6 on either/both side(s).

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  1. PegPriceType - MidPricePeg is the only supported value.

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Warning
Info
titleSupported LMAX platformsAmend/ Cancel Orders

Please note that the orders for Algo execution cannot be amended or cancelled.

Iceberg Orders

Info
titleSupported LMAX platforms
Iceberg orders Iceberg orders are supported on LMAX Exchange.

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  • The client can utilise the Minimum Trade Size functionality outlined above, by sending a MinQty value equal to their Order Quantity. This will determine the order as Full Amount and will set the order to be filled in full against a single counterparty.
  • LMAX can enforce a FIX session to be Full Amount trading only. The client will not be required to send MinQty on order messages.
  • the order to be filled in full against a single counterparty.
  • LMAX can enforce a FIX session to be Full Amount trading only. The client will not be required to send MinQty on order messages.
Warning
titleFA restrictions

For Takers, only Limit/Market IOC and FOK orders are supported for FA orders; orders with a Time in Force of DAY or GTC will be rejected.

For Makers, DAY and GTC orders are supported.

PB selection

Warning
titleGive-up trades to multiple PBs in a single LMAX session

PB selection is an LMAX feature that allows give-up trades to multiple PBs in a single LMAX session.

When PB selection is enabled, clients are required to populate LegAllocAccount with the LMAX provided PB code in the NoLegAllocs group in NewOrderMultileg.

Clients are advised to contact the MarketFactory Delivery Team to enable PB selection in their UAT and Prod sessions

Warning
titleFA restrictions

For Takers, only Limit/Market IOC and FOK orders are supported for FA orders; orders with a Time in Force of DAY or GTC will be rejected.

For Makers, DAY and GTC orders are supported.

Venue Checks

Self-Match

Info
titleSelf-Match Prevention
Self-match scenarios (where two Client orders matched against each other) are possible, but may be disabled by the venue on a per-session basis. Please contact MarketFactory SUP to organise this, if required.

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