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In this context a small number of Schemes are bilaterally agreed between the venue and the Maker. Each Maker client is associated with a single Scheme. The Maker uses each Scheme to provide a custom combination of currency pairs, available liquidity (no. of rungs, and associated quantities), spread, granularity of pricing and so on. Each volume ladder update is complete and self-contained.
Currenex does not operate like this. Instead a larger set of "Tiers" are agreed between the Venue and the Maker. Each Tier is essentially a single bid-offer rung (i.e. not a Ladder), for an arbitrary set of currencies. Currenex can be configured to associate each Tier with a specific quantity which will be specified in the associated subscription request. If not configured, the maker may provide whatever volume they wish, from update to update.
Maker clients are associated with a arbitrary sets of Tiers, rather than a single Scheme. This has a great deal of inherent flexibility, but means that a substantial number of tiers are required in order to exactly replicate a 'standard' model on another venue. For example to deliver 5-rung Gold, Sliver, Bronze pricing across all pairs in Currenex you would need 15 separate Tiers.
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- Currenex makes a separate subscription request for each Tier - each of these will be forwarded to the API client. Key Currenex IDs are mapped as follows:
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MFAPI-Out.QuoteRequestMessage.contents.mdStreamID
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=
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FIX-In.QuoteRequest.StreamReference[7533]
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#
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Tier
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name
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e.g.
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"PS1"
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MFAPI-Out.QuoteRequestMessage.contents.quoteReqID
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=
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FIX-In.QuoteRequest.QuoteReqID[131]
- The API client must of course respond to each individual subscription request with a stream of MassQuote messages in the normal manner. Key Currenex IDs are mapped as follows:
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FIX-Out.MassQuote.QuoteSetID[302]
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=
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MFAPI-In.MassQuote.contents.quoteReqID
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FIX-Out.MassQuote.NoQuoteSets{*}.NoQuoteEntries{*}.QuoteEntryID[299]
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=
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MFAPI-In.MassQuote.contents.quotes{*}.quoteID
- However: It must be understood that each MassQuote is destined for a single, single-rung tier. It follows therefore that each MassQuote message must comprise a single rung. Either a single Bid or a single Offer or both sides may be quoted. Each side may specify independent amounts.
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Unlike other venues, the Maker is thus responsible for the fan-out of their standard volume-laddered quotes across individual Currenex Tiers.
| Info | ||
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MarketFactory has done the necessary business analysis to defineconsidered the feasibility of offering a model to allow the Maker customer to deliver a MassQuote Ladder as per other venues .This model necessarily requires additional:
For these reasons we have, to date, elected not to implement this feature. However should a customer have a strong interest in this featurethe detail additional information is available, on request. |
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