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This also applies when calculating the limit price for VWAP orders. I.e. orders for lesser amounts will trade through this level.

FullAmount Ladder

For Venues supporting the specification of custom FullAmount volume bands in the initiating MarketDataRequest, the NoUnderlyings group is used to provide a list of UnderlyingQty values.

• If supported, MarketDataIncrementalRefresh messages are sent with prices for for the requested ladder.
• If not supported the client will receive an ErrorReport with the Text "NoUnderlyings: not supported on this Venue."

Trading

Client trades may aggress (Taking) resting orders published in the orderbook. These orders should not be directly visible in the MarketData feed, but the resultant fills may be observed via the TradeTicker (if available). Depending on the venue, the client may achieve this by:

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• Trading is expected to be an explicit sweep of the published quote, with successive individual orders at each rung, in sequence.

• Each order is executed individually, when the client has utilised a rung, it cannot be re-used and subsequent trades need to utilise the liquidity from the remaining rungs.

• Depending on the LP, Clients may also be able to submit a VWAP order in order to combine multiple individual clips into a single trade and reduce per-ticket trading costs.

• The client is typically expected to provide their calculated VWAP rounded bank favour, but some LPs mandate different rounding rules. Rounding modes are as follows:

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• , for example SEB requires normal fair rounding.

FullAmount

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Whisperer uses MassQuote messages for ESP pricing, and trade requests are submitted via the NewOrderMultileg message. OrdType=PreviouslyQuoted is always supported, other order types may also be available, depending on the LP.

FullAmount Ladder

For Venues supporting the specification of custom FullAmount volume bands in the initiating QuoteRequest, the NoUnderlyings group is used to provide a list of UnderlyingQty values.

• If supported, a MassQuote message is sent with prices for for the requested ladder.
• If not supported the client will receive an ErrorReport with the Text "NoUnderlyings: not supported on this Venue."

PreviouslyQuoted Orders

The NewOrderMultileg.QuoteID field should be used as follows:

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