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Table of Contents

Workflow

CLOB Orders.

Algo Orders.

Supported Instruments

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Table Filter

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Table Excerpt Include

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name	SupportedInstruments
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page	Supported Instruments
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...

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Please refer to Passthru Fields for the full Enterprise table across all venues.

Details

SPOT Support

Warning

title	SPT UAT Only

Whisperer Enterprise has LSEG SPT implementation but LSEG is not ready to certify SPT product. So strictly SPT support is for UAT only and not for PROD.

Latest Email confirmation from LSEG:

Dear valued customer,

We are writing to provide an update on LSEG’s FX venues and our long-term strategy to best meet your needs in the coming years.

Since our last communication, we have reviewed our ongoing technology programmes and determined that we will deliver better outcomes for you by making some modifications to our approach.

To outline: -

We will retain our existing Matching technology for Spot and Swaps. API users can continue to use their current API protocols. GUI customers will no longer need to carry out a mandatory upgrade, however, please do continue to migrate to Workspace for FX Trading which is the evolution of all of our FX Trading workflows.
Our FX Swaps Venue (Forwards Matching) will be enhanced via the introduction of a new credit engine and GUI capabilities. We will provide more information about these enhancements in due course.
We will continue to work with customers to grow our new NDF Matching Venue. Our Customer Development Service (CDS) environment remains available to conform APIs as part of the onboarding pathway.

Through these changes, our intention is to focus on delivering faster, incremental change in the areas most important to our customers. As always, if you have any questions regarding the changes, please contact your account manager.

Best regards,
James Pearson
Head of FX, LSEG

Algo Selection

Note

title	Unsupported Functionality

LSEG Price stream(Quote Handling)

Mass Cancellations

WorkUp Negotiation.

	NoStrategyParameters

Refer to Supported Order Types (Algo Orders) for details on how to use the NoStrategyParameters block to send the details of the TargetStrategy, along with the corresponding strategy parameters.

In addition to standard Iceberg orders, LSEG FX also supports the specification of Iceberg orders with more complex attributes, which are offered as a standard Algo strategy.

The table below sets out the Iceberg order Strategy parameters and combinations currently supported.

StrategyParameterName	StrategyParameterType	StrategyParameterValue
`TargetStrategy`	`String`	Iceberg
`TipSpecificationType`	`String`	Defined	Random
`FirstTip`	`Qty`	Mandatory	-
`SecondTip`	`Qty`	Optional	-
`ThirdTip`	`Qty`	Optional	-
`MinimumRandomTip`	`Qty`	-	Mandatory
`MaximumRandomTip`	`Qty`	-	Mandatory
`Delay`	`Int`	Optional	Optional

Trade Correct/Cancel

LSEG supports a standard TradeCancel and TradeCorrect workflow for SPOT trades and an offset Trade Correct/Cancel workflow for NDFs.

SPOT

For Spot trades, Clients will be notified of these in a separate ExecutionReport with ExecType = TradeCorrect or TradeCancel as appropriate.

Note

title	Time Window

Trade Correction/Cancellation may occur up to two trading days after the trade execution.

Depending on the scenario, possible fields to be modified are listed below:

If the Trade correction is to update the LegLastPx or LegSettlDate, then a single ExecutionReport is sent with an ExecType TradeCorrect and OrdStatus Filled or PartiallyFilled depending on the quantity remaining on the order.
If Trade cancellation or correction is to reduce the LegLastQty, then the cancelled or reduced quantity will not be added to the order book. In this case, the Client will receive two ExecutionReports with variations outlined below:
- Order Status

TradeCorrect

(Quantity reduction)

Inactive order

Active order

ExecType

OrdStatus

ExecType

OrdStatus

First ExecutionReport

TradeCorrect

PartiallyFilled

TradeCorrect

PartiallyFilled

Second ExecutionReport

Restated

Filled

Restated

PartiallyFilled

TradeCancel	Inactive order		Active order
TradeCancel	ExecType	OrdStatus	ExecType	OrdStatus
First ExecutionReport	TradeCancel	New	TradeCancel	PartiallyFilled
Second ExecutionReport	Canceled	Canceled	Restated	Filled

- Quantities

First ExecutionReport will indicate the canceled or reduced qty in LegLeavesQty.

Second ExecutionReport is sent to reflect the reduced or cancelled quantity in LegOrderQty.

The LegLeavesQty and LegCumQty of an active order will always add up to its LegOrderQty.

- Trade Identifiers

ExecRefID - Trade Correct/Cancel ExecutionReports ExecRefID matches with the ExecID of the trade that is being cancelled or corrected.

BodyPassThruKey TrdMatchID - TrdMatchID of the Trade Correct/Cancel ExecutionReport matches with TrdMatchID of the trade that is being cancelled or corrected.

SecondaryExecID - SecondaryExecID of the Trade Correct/Cancel ExecutionReport matches with the SecondaryExecID of the trade that is being cancelled or corrected.

NDF

For NDFs, as opposed to standard Trade Correct/Cancel workflow, LSEG will deliver new offset trades to adjust the positions as necessary. This is due to the fact that NDFs are always Cleared and LSEG cannot amend or cancel an already Cleared trade.

Offset TradeCancel

Clients will be notified of Trade cancellation in an ExecutionReport with:

ClOrdID and OrigClOrdID of the offset trade will match with the original trade.
ExecType and OrdStatus will be Trade and Filled respectively.
ExecRefID of the offset trade will match the ExecID of the original trade.
SecondaryExecID of the offset trade will match the BodyPassThruKey TrdMatchID of the original trade.
LegSide of the offset trade will be the reverse of the original trade.
BodyPassthruKey ClearedIndicator will be set to "Submitted".
BodyPassthruKey ClearingIntention will be set to "IntendToClear".
Text field of the offset trade is populated with "Offset Trade".

Offset TradeCorrect

In case of Offset Trade correction, Clients will receive two ExecutionReports:

First one will be as per the above Offset TradeCancel workflow.
Second with amended trade attributes.

Additional Information

Note

title	Unsupported Venue Functionality

Features not yet supported by LSEG FX:

FXSWAPs matching including Work-Up and Client credit check workflow.
LSEG PriceStream.
Order Cancel/Replace Request.
Prime Broker Workflow.
Smaller lot size Instruments.

Features not required by Whisperer Enterprise:

Open Order Download

QuoteNegotiation

Info

title	SecurityGroup

Clients must populate SecurityGroup field in NewOrderMultiLeg message as "Domestic" to place an order for instruments where the Trading Region is "Domestic".

Info

title

Versions Compared

Old Version 2

New Version Current

Key

Workflow

Supported Instruments

Details

SPOT Support

Algo Selection

Trade Correct/Cancel

SPOT

Order Status

Quantities

Trade Identifiers

NDF

Offset TradeCancel

Offset TradeCorrect

Additional Information