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Table of Contents

Workflow

FXSpotStream (FSS) is a connectivity provider multi-bank portal with access to multiple bank liquidity providers (LPs), supporting RFS (spot, forward, swap, NDF, NDS) and ESP (spot, forward, NDF). Multi-allocations and blocks are not supported.

LP selection

. Liquidity may be aggregated according to the following workflows and modes:

  • Taker ESP, Taker RFS - FSS offers Full Amount and Passthrough modes
  • Market Data, Orders - FSS offers a Limit mode 

Supported Instruments

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Please refer to Supported Instruments to view across all venues.

NOTE: FSS does support Term currency limit orders.

PartyIDs

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Table Excerpt Include
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Please refer to PartyIDs to view across all venues.

Regulatory Fields

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Please refer to Regulatory Fields to view across all venues.

Passthru Fields

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Please refer to Passthru Fields to view across all venues.

Details

Warning
titleFSS SIM vs UAT environments

Formal certification testing should only be performed in the FSS UAT environment, which is integrated with the individual LP's own UAT systems and accurately reflects PROD.

The FSS SIM environment is intended for technical integration only and uses mock/simulator implementations which do not necessarily reflect real-world LP functionality. Problems may occasionally be observed in SIM, including:

  • Not all LPs supported
  • Sweepable vs FullAmount liquidity styles for a given LP may not match availability in UAT/PROD (see below)
  • Prices and quantities may not be rounded correctly
  • Edge-cases, such as uneven swaps may not function correctly
  • Instruments may not be supported
  • Value dates may be incorrect
Note
titleSweepable vs FullAmount

Both Sweepable and FullAmount trading is supported:

  • Sweepable - "Stacked". VWAP orders are supported on a per-LP basis in Passthrough mode.
  • FullAmount - "Tiered"

In the FSS SIM environment, this is configured using the Account field as follows.

Sweepable:

  • Citi
  • HSBC
  • JPMorgan Chase
  • Morgan Stanley
  • Standard Chartered
  • UBS 

FullAmount:

  • Bank of America
  • CommerzBank
  • Goldman Sachs

LP selection

FSS supports both Bilateral Quote negotiation and Basket functionality where Quote messages are received from multiple providers. 

The client can The client is required to specify which LPs to receive quotes from by populating the NoPartyIDs repeating group in the MF QuoteRequest – use PartyRole (452) = ExecutionVenue (73). Multiple QuoteRequest NoPartyIDs with PartyRole ExecutionVenue. Multiple LPs are supported for ESP requests but only a single LP is supported for RFS requestsboth ESP and RFS. 

For ESP, Clients will always receive MassQuotes. NoQuoteEntries will only have BidPx or OfferPx per QuoteEntry and sorted by best price.

For RFS, Clients will either receive Quotes or MassQuotes depending on the number of LP's:

  • Single LP (Bilateral) - QuoteRequest contains NoPartyIDs group with single PartyRole ExecutionVenue with PartyID populated with a LP. Clients will receive Quote message from requested LP.
  • Multiple LPs (Basket) - QuoteRequest contains NoPartyIDs group with multiple PartyRole ExecutionVenues with PartyIDs populated with LPs. Clients will receive MassQuote messages with each LP as a QuoteEntry.
  • All LPs  (Basket) - QuoteRequest does not contain PartyRole ExecutionVenue in NoPartyIDs. Clients will subscribe to all available LPs and they will receive MassQuote messages with each LP as a QuoteEntry.

The supported LPs are:

LP
MF
PartyID (MIC)FSS ID
ANZ BankANZLANZA
Bank of AmericaBAMLBAML
BarclaysBARXBARX
BNP ParibasBNPSBNP
MUFG Bank
BNY
MUTI
BKLF
BTMU
BNYM
CitiCGMICITI
CommerzBankCBKACOBA
Credit Suisse
Deutsche Bank
CSAG
DBAG
CS
DBES
Goldman SachsGSCOGS
HSBCHSBCHSBC
JPMorgan ChaseJPSIJPMC
Morgan StanleyMSAXMS
Standard CharteredSTANSCB
MUFG BankMUTIBTMU
NatWest MarketsNWMSNWM
Societe GeneraleXSGASGSP
Standard CharteredSTANSCB
State StreetSSBISTS
UBSUBSGUBS
Wells Fargo*WFLBWFNA

* Wells Fargo currently offer ESP only.


Example: 

Code Block
8=FIXT.1.1|9=423|35=R|1129=5 18444 1179469389 189|34=603|49=CL_dev-fxspotstream-pricing|56=MF_dev-fxspotstream-pricing|52=20200723-17:30:50.905000000|20003=N N|20004=N|60=20200723-18:30:50.905000000|131=qr_2/ftY4_1595525350490|2115=101|55=EUR/USD|167=1|20021=N N N N|453=2|452=11|448=testTrader|452=73|448=CGMI|555=1|609=1|624=1|556=EUR|685=1000000|587=28|670=1|671=testAccount|672=1|673=1000000|58=testText|10=000|

Note not all LPs are supported in the FSS simulator environment.

Regulatory fields

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 Note
titleAllocation are supported
Multi Allocations are supported by FSS for ESP, RFS and Orders:
  • ESP/Orders - Multi Allocations are only supported for full amount orders
  • RFS - QuoteRequest and NewOrderMultileg must have exactly the same allocations, otherwise the order will be rejected.
Regulatory Detail
 Info
titleLP-specific Regulatory Detail
 Anchor
RegulatorySpreadSheet
RegulatorySpreadSheet
The values required by FSS are dependent on the target ExecutionVenue. 
FxSpotStream Regulatory fields.xlsx describes all regulatory fields that are supported, and which ExecutionVenue requires the field. "Other" column means that this field is used by no ExecutionVenue in particular.
NOTE: FSS supports both MiFID and EMIR regulatory regimes.
 Warning
Given that LPs have changing requirements, we recommend that you implement sending this data regardless of the LP.
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 Table Excerpt Include
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nameRegulatoryFields
pageRegulatory Fields
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Please refer to or Regulatory Fields for the full Enterprise table across all venues.
PartyIDs
...
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 Table Excerpt Include
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Please refer to Whisperer Enterprise - PartyIDs for the full Enterprise table across all venues.
LP specific regulatory fields / PartyIDs
Required by HSBC for MIFID trading clients when trading MIFID covered products
NewOrderMultiLeg.NoPartyIDs.PartyRole = OrderOriginationFirmLEI
ExecutionReport.NoPartyIDs.PartyRole = ExecutingFirmLEI
NewOrderMultileg.NoLegs.NoLegRegulatoryFields.LegRegulatoryKey = LegMiFIDISIN
Required by UBS for MIFID trading clients when trading MIFID covered products
...