The Lab

Expand all   Collapse all

Versions Compared

Old Version 2

changes.mady.by.user Renghanath Natarajan

Saved on

compared with

New Version Current

changes.mady.by.user Kamakshi Sachdeva

Saved on

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.
Comment: Published by Scroll Versions from this space and version 1.5.90

Table of Contents

Change Summary

Warning
titleMandatory Change

Background

Introduce the ability to identify the

Liquidity Provider that Filled or Rejected

liquidity provider that executed an order in the

Taker ESP

ESPTaker and

Taker RFS

RFSTaker workflows.

This feature will help users get a complete view of orders

Filled or Rejected by

executed by an LP on an ECN + orders

executed

dealt directly on

the

a native bank API.


Affected Venues

Change

We will enrich ExecutionReport with ExecutionVenue PartyRole and PartyID populated with the MIC of the Liquidity Provider liquidity provider that Filled or / Rejected an / Cancelled an order.

Timeline

  • - UAT - The feature will be available for clients to test in UAT if they are trading on the affected venues.
  • At client's discretion - PROD - Whisperer release 20252026.1102.XX18.WE or a later version will be available for clients who are ready to consume consume ExecutionReport consistently populated with ExecutionVenue PartyRole.

Whisperer Client Impact

Change Details

Whisperer clients trading on the Affected Venues will start to receive the following fields in the HasExtendedOrderFields group in ExecutionReport:consistently receive ExecutionVenue PartyRole and PartyID populated with the MIC of the liquidity provider in ExecutionReport.

The ExecutionVenue enrichment applies to ExecutionReport with IsSynthetic flag set to Y and N.

Note
titleExecutionVenue in t360_tex

Please note that the ExecutionVenue mappings exist only for the MIC of LPs configured for our clients at the time of this implementation.

As we do not have the visibility of all the LPs that 360T supports, clients starting to trade on t360_tex with new LPs will receive XXXX as the PartyID for ExecutionVenue.

MarketFactory adapter will send an ErrorReport to notify the client when 360T sends an LP that is not recognised by MarketFactory as a valid LP for ExecutionVenue enrichment.

Note
titleISO MIC for undefined market

For the following technology platforms that does not have an ISO MIC, clients will receive XXXX (the ISO MIC for undefined market) as the PartyID for ExecutionVenue:


The following table has the MIC of the LP we enrich in ExecutionVenue:

VenuesMIC

autobahnfx_rapid

DBAG

autobahnfx_singleleg

DBAG

baml

BAML

barx

BARX

bnpparibas_efx_streaming

BNPS

celertech

XXXX (No ISO MIC for Celertech. Using the ISO MIC for undefined market)

citi_colo

CGMI

exchange24

24EX

fxspotstream

MIC of the LP.

XXXX when OrdStatus = PendingNew or orders Cancelled by FSS due to connection loss.

gsfx

GSCO

hsbc_fx_mds

HSBC

jpmorgan_fx

JPSI

morganstanley_esp

MSAX

natwest_markets

NWMS

nomura_esp

NMRA

rbc_trading

RBCS

saxo_direct

SXSI

socgen

XSGA

standardchartered_s2bx

STAN

statestreet_efx

SSBI

t360_tex

MIC of the LP.

XXXX for undefined LPs.

ubs_fx2b

UBSG

xenfin_liquiditypool

XXXX (No ISO MIC for Xenfin. Using the ISO MIC for undefined market)

xtx_euthenia

XTXM
Venues / FieldsEffectiveTime

ExpireTime

ExposureDuration

StopPx

MinQty

MaxShow

DiscretionOffsetValue

PegPriceType

PegOffsetValue

PegOffsetType

StrategyParameterType

StrategyParameterName

StrategyParameterValue

autobahnfx_algo

          ✓        ✓     ✓                   ✓                   ✓                   ✓

bnpparibas_efx_algo

          ✓        ✓     ✓       ✓                  ✓                   ✓                   ✓                   ✓

broadridge_orders

          ✓         ✓      ✓      ✓       ✓                   ✓    

cboefx_fixproxy

          ✓     ✓     ✓       ✓                  ✓          ✓            ✓            ✓                   ✓                   ✓                   ✓celertech          ✓     ✓     ✓       ✓                  ✓          ✓            ✓            ✓cme_ilink3_sbe      ✓      ✓        ✓                     ebs_market_ilink3_sbe      ✓      ✓        ✓                   ✓ exchange24       ✓    fastmatch_autoex

          

              ✓     ✓       ✓                  ✓          ✓            ✓            ✓fidessa_orders

          ✓ 

        ✓     ✓     ✓        ✓                   ✓           ✓            ✓            ✓                    ✓                   ✓                   ✓fxall_activetrading

 

      ✓        ✓                    ✓  fxspotstream_algo          ✓        ✓     ✓     ✓       ✓                  ✓          ✓            ✓            ✓                   ✓                   ✓                   ✓fxspotstream         ✓               ✓                     ✓     fxspotstream_midmatch                 ✓      jpmorgan_fx_algo          ✓         ✓      ✓      ✓                    ✓                     ✓                    ✓                    ✓ lmax          ✓             ✓       ✓          ✓            ✓            ✓                   ✓                   ✓                   ✓lseg_ftg        ✓         ✓                   ✓                   ✓                    ✓                    ✓ lucera_lumefx       ✓        ✓    parfx_orders       ✓          ✓            ✓            ✓precision_algo          ✓        ✓     ✓       ✓                   ✓                   ✓                   ✓refinitiv_mapi         ✓               ✓        ✓                    ✓                    ✓                    ✓ t360_gtx          ✓        ✓              ✓     ✓     ✓       ✓                  ✓          ✓            ✓            ✓                   ✓                   ✓                   ✓ubs_algo          ✓        ✓     ✓                   ✓                   ✓                   ✓xenfin_liquiditypool        ✓     ✓     ✓       ✓                  ✓          ✓            ✓            ✓                   ✓                   ✓                   ✓


Documentation

Attachments