TODO

• Venue "AlwaysOn" Flag

Business Changes

Organisational

• Maker/Taker-agnostic: The Venue always dictates the supported message flow, the API does not make any assumptions about counterparty roles, eliminating the need for separate Maker and Taker Whisperer APIs/builds/installations.

Market Data

• Explicit identification of "Pre-Open" status (to assist allowing for backwardated prices)
• LotSize

Product Types

All FX product types supported:

• FX Spot
• FX Forward
• FX Non-Deliverable Forward - Fixing date and reference now supported.
• FX Swap
• FX Non-Deliverable Swap
• FX Block
• Future

Full Regulatory field pass-through - all explicitly supported at Body, Leg and Allocation levels, for all message types through the trade lifecycle. Market Mid Price, LEIs, flags, regulatory trade IDs etc for:

• SEF
• EMIR
• MiFID II

Counterparties

• Counterparty Firm/LEI/Trader details now provided via Parties block.

Quotation Trading Models

Full support for ESP and RFQ/RFS models:

• Pre-trade allocations.
• Order messages linked with QuoteReqID to assist supportability.
• Indicative/Tradeable QuoteType (aka Quote condition) now supported, to allow Maker ESP/RFS quote withdrawal.

Orders

Additional Time In Force support:

• GTD (Good 'til Date) - timestamp of desired order expiry (within current trading day).
• GFT (Good For Time) - number of seconds before order expiry

Additional Order types:

• Iceberg
• Pegged
• Discretion
• Trailing Stop (to double check).

Cancel/replace now allows for provision of MinQty and StopPx.

REMOVED

Software Limit Monitor

Whilst the SLM remains a component of Whisperer 3.13/14, in MFSBE4 SLM API support is now deprecated in favour of our clients using Reflector, or at least using the same notification interface as used by Reflector (WHSPRR-1676):

• TradeLimitDataMessage 
• LockUserMessage
• LockResponseMessage

Sticky Subscriptions

Sticky Subscriptions are no longer supported. in MFSBE4, we no longer make instrument subscriptions on the Client's behalf - the API client is now responsible for managing it's own subscriptions. This means:

• If a venue goes down with active subscriptions then these are implicitly terminated and will need to be re-established when the connection is back up.
• Clients cannot assume that connections have been made on their behalf, should their FH connection be down.

Historic Tick Streamer 

The pages below set out the key changes introduced with Whisperer Enterprise: