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Comment: Published by Scroll Versions from this space and version 1.5.37

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

Details

SPOT Support

Warning
titleSPT 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
titleNoStrategyParameters

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.

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

StrategyParameterNameStrategyParameterTypeStrategyParameterValue
TargetStrategyStringIceberg

TipSpecificationTypeStringDefined

Random

FirstTipQtyMandatory-


SecondTipQtyOptional-


ThirdTipQtyOptional-


MinimumRandomTipQty-

Mandatory

MaximumRandomTipQty-

Mandatory

DelayIntOptional

Optional

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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.

As opposed to regular TradeCancel and TradeAmend, venue supports offset trade cancel and offset trade amend for Cleared instruments.
Note
titleUnsupported 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.

Features not required by Whisperer Enterprise:

  • Open Order Download
Info
titleTradeCancel/TradeCorrect
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 orderActive order
ExecTypeOrdStatusExecTypeOrdStatus
First ExecutionReportTradeCorrectPartiallyFilledTradeCorrectPartiallyFilled
Second ExecutionReportRestatedFilledRestatedPartiallyFilled


TradeCancelInactive orderActive order
ExecTypeOrdStatusExecTypeOrdStatus
First ExecutionReportTradeCancelNewTradeCancelPartiallyFilled
Second ExecutionReportCanceledCanceledRestatedFilled
    • 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

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NDFs are always Cleared and LSEG cannot amend or cancel an already

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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
titleUnsupported 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


Any trade cancellation/amendment against a trade executed more than two trading days ago will not trigger any messages on the LSEG FX Trading API

.

Info
titleSecurityGroup

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

TradeCancellation is supported by instigating an offset trade identical to original trade with the exception of trade directions. (Side =Buy in the original trade will be Side =Sell in offset trade).

TradeAmendment has two new independent trades where first one is offset trade identical to original trade with the exception of trade directions (similar to offset trade cancel above). Second trade will contain the amended trade attributes (Price/Qty(reduction only)/Valuedate/FixingDate).Client can identify and link Offset trades with original trade as below: 

  • ExecRefID - ExecID of the original trade in case of offset trade cancel and ExecID of the offset trade cancel in case of offset trade amend.
  • SecondaryExecID - ExecID of the original trade in case of offset trade cancel and offset trade amend.
  • Text - Contains string "Offset Trade" for both offset trade cancel and offset trade amend.
Note
titleTradeCancel/TradeCorrect