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Workflow
CLOB MarketData
Supported Instruments
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Please refer to Supported Instruments to view across all venues.
PartyIDs
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Please refer to PartyIDs to view across all venues.
Regulatory Fields
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Please refer to Regulatory Fields to view across all venues.
Passthru Fields
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Please refer to Passthru Fields to view across all venues.
Details
refinitiv_eta is available for Refinitiv Spot Matching only (i.e. both Spot and Pre-Spot instruments, where available).
Forwards Matching (Swaps) instruments are not currently supported.
Session Management
Both Screened and Unscreened session types are supported. Unscreened prices are not checked for credit and as such they could involve orders which cannot be matched by a particular counterparty. These may also be referred to as the "market best" prices.
Please contact MarketFactory Contact Delivery in order to configure your session(s) correctly.
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This interface must be associated with a refinitiv_mapi session in order to operate. The Refinitiv FX Matching Real Time Data servers use a token for authentication rather than managing a separate set of usernames and passwords. The token is provided when the client successfully logs into the refinitiv_mapi FIX Gateway with an appropriate user. The permissions granted will be directly linked to the credit code (aka TCID) of the FIX session from which it came:
Clients who have multiple TCIDs will therefore need to make multiple RFA connections. Each one would use a different token obtained from the appropriate FIX session. This will ensure that they can access the relevant instruments and screened prices for each TCID. |
Subscription Management
MDReqID Constraints
Due to data type constraints in the Refinitiv ETA API, the Whisperer MDReqID has a maximum value of 2147483647 for this venue.
Permissions
Whisperer will report all symbols in the SecurityStatus messages, regardless of whether or not the client is permissioned to actually subscribe to that symbol. The list is not customized for each client. Currency restrictions and an organisation’s own business rules mean that it is normal for there to be some entries in the list which are not accessible.
Applications which take this list and simply iterate through trying to subscribe to each one in turn will generate a large number of rejections, which could make it harder for support teams to tell the difference between a genuine problem and an expected failure that occurs all the time.
Therefore Refinitiv strongly recommend that client applications maintain configuration of the particular symbols needed and only attempts to subscribe to those ones (after verifying they exist in the Symbol List).
Instruments
Spot Dates
The following instruments are reported by Refinitiv as T+1, so Whisperer explicitly normalises these to Spot:
- CNHRUB
- USDRUB
- USDTRY
Trading Region
On Refinitiv Matching, Instruments are classified as one of the following Trading Regions:
- Domestic
- International
- Test
If desired clients can obtain this information from the latest Matching Spot Instrument Definition File - it is not published via the ETA.
In general a given currency pair is associated with only one Region.
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Spot EUR/ISK is an exception and is available as both Domestic and International:
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Conflation
This market data feed has a conflation interval of 50ms.
Regular Amount
The Regular Amount puts an upper limit on the quantity (and therefore the number of orders) that will be published for a particular price.
If the quantity actually available exceeds the Regular Amount then market data will not show the full total but instead show only the Regular Amount.
This condition is reported to the client via the "RegularAmountExceeded" NoEntryPassthruFields flag.
Worst Price/Aggregate Price
The Worst Price (aka Aggregate Price) takes into account the various prices and quantities available and reports the price that would need to be submitted in order to match a pre-defined quantity the Standard Amount. I.e. it is the lowest bid or highest offer that would need to be specified as the Price of a limit order for it to match the full Standard Quantity.
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- Standard Quantity - provided as
StdQtyin theSecurityStatusand initial snapshotMarketDataIncrementalRefreshfor any subsequent subscription. - Worst Price Threshold - provided as
WPTin theSecurityStatusmessage. - Worst Price - calculated for each side separately and is provided as
WorstBidandWorstAskinMarketDataIncrementalRefreshmessages.
Trade Ticker
This API provides the last trade price, side, date & time. It does not provide the last traded quantity.
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