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StrategyParameterType:14/StringStrategyParameterName: "TargetStrategy"StrategyParameterValue: "LP-assigned name of desired Algo"
Where appropriate, Whisperer will normalise algos and algo parameters. Other strategy parameters must be populated as per LP requirements for the specific Algo. The ; the Client will need to reference the venue-provided specifiec API documentation for this detail.
Pegged Orders
Pegged Orders are smart Limit Orders that automatically adjust their limit price by tracking the market's BestBidOffer (BBO) or the mid-point price to remain competitive, achieve a fair price, and faster fills.
Clients are required to populate the following fields in the HasExtendedOrderFields repeating group to submit a Pegged order:
PegPriceTypePegOffsetValuePegOffsetType
A brief overview of a couple of Pegged order features offered by ECNs that we are implementing:
Collapse to Mid vs Mid Discretionary
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When a strategy parameter is populated for a venue which does not support it, the order or order modification will be rejected.
BenchmarkOrFixing Order Normalisation
Due to their widespread availability, these orders are supported in NewOrderMultileg and MultilegOrderCancelReplaceRequest as follows:
| StrategyParameterName | StrategyParameterType | StrategyParameterValue |
|---|---|---|
TargetStrategy | String | BenchmarkOrFixing |
FixingSource | String | mandatory. Fixing sources vary by LP, but naming is normalised as follows:
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| FixingDate | LocalMktDate | YYYYMMDD |
| FixingTime | TZTimeOnly | 16:00 |
| FixingTimeZone | String | Mandatory. Fixing timezones vary by LP, but naming is normalised as follows:
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FillNow Normalisation
"Fill Now" is an instruction to immediately fill a pre-existing order at the best price possible, supported by the following algo providers:
FillNow is not supported in NewOrderMultileg - it is applicable to pre-existing orders only.
The following strategy parameters are supported in MultilegOrderCancelReplaceRequest:
| StrategyParameterName | StrategyParameterType | StrategyParamaterValue |
|---|---|---|
FillNow | Boolean |
|
FillNowQty | Qty |
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Pegged Orders
Pegged Orders are smart Limit Orders that automatically adjust their limit price by tracking the market's BestBidOffer (BBO) or the mid-point price to remain competitive, achieve a fair price, and faster fills.
Clients are required to populate the following fields in the HasExtendedOrderFields repeating group to submit a Pegged order:
PegPriceTypePegOffsetValuePegOffsetType
A brief overview of a couple of Pegged order features offered by ECNs:
Collapse to Mid vs Mid Discretionary
Collapse to Mid (CTM) and Mid Discretionary (MDO) are pegged order features offered by ECNs to reduce the time to fill an order by improving the matching opportunity. CTM and MDO allow pegged orders to match at or up to the mid-point price of the BestBidOffer (BBO) when an opposing order arrives with the same entitlements.
| Collapse to Mid | Mid Discretionary | |
|---|---|---|
Description | Collapse to Mid (CTM) pegged orders match at an ECN-defined mid-point price when an opposing order exists with the same entitlements. | Mid Discretionary pegged orders rest as a passive order, with the discretion to move up to the mid-point price of the BBO when an opposing order arrives with the same entitlements. |
Function & Priority | Faster fills compared to MDO. As CTM orders compete to match at the ECN-defined mid-point price from the start, the matching opportunity for CTM pegged orders is greater compared to MDO pegged orders. | When the attempt to match as a passive order fails, MDO orders move up to the mid-point price of the |
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Description
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Collapse to Mid (CTM) pegged orders match at an ECN-defined mid-point price when an opposing order exists with the same entitlements.
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Mid Discretionary pegged orders rest as a passive order, with the discretion to move up to the mid-point price of the BBO when an opposing order arrives with the same entitlements.
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Function & Priority
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Faster fills compared to MDO.
As CTM orders compete to match at the ECN-defined mid-point price from the start, the matching opportunity for CTM pegged orders is greater compared to MDO pegged orders.
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When the attempt to match as a passive order fails, MDO orders move up to the mid-point price of the BBO to improve matching opportunity.
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Resting period
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Aggressive.
As a result of greater matching opportunity, the time that CTM orders rest on the book is shorter compared to MDO orders.
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Passive.
Rests on the book longer compared to CTM orders, as MDO starts as a passive order, and when attempting to match using mid-discretion, it should satisfy the price limitations of the opposing order to match.
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MF API interface
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Clients trading CTM orders should populate the following fields in the NewOrderMultileg -
PegPriceType=MarketPegBodyPassthruKey=CollapseToMidwithBodyPassthruValue=Y.
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Clients trading MDO orders should populate the following fields in the NewOrderMultileg -
PegPriceType=PrimaryPegBodyPassthruKey=MidDiscretionarywithBodyPassthruValue=Y.
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Supported venues
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Offered by the following ECN(s):
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Offered by the following ECN(s):
BBO to improve matching opportunity. | ||
Resting period | Aggressive. As a result of greater matching opportunity, the time that CTM orders rest on the book is shorter compared to MDO orders. | Passive. Rests on the book longer compared to CTM orders, as MDO starts as a passive order, and when attempting to match using mid-discretion, it should satisfy the price limitations of the opposing order to match. |
MF API interface | Clients trading CTM orders should populate the following fields in the
| Clients trading MDO orders should populate the following fields in the
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Supported venues | Offered by the following ECN(s): | Offered by the following ECN(s): |
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: CalculatedExecType: Calculated
Restatements
Restatements are ExecutionReport messages that are sent by the venue to notify the client of unsolicited changes to order status. They are identified with ExecType=Restated, with ExecRestatementReason also populated to specify the reason. MarketFactory categorises these according to the table below:
| Category | ExecRestatementReason |
|---|---|
| Unsolicited pause/resume |
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| Unsolicited cancellation |
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| Unsolicited amendment |
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Order Restatement (no changes - e.g. start of week renewal of GTC order) |
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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 |
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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
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Trade Correct/Cancel
A trade correct/cancel message can be sent on ExecutionReports with ExecType=Trade to notify the clients of any trade amendments or cancellations.
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Overview
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