Pricing

Supported Book Types

The Market Data feed will supports subscriptions to PriceDepth and TradeTicker  MDBookTypes.

TradeTicker

By default LMAX trade notifications are delivered with a 60 second delay, at no charge. The delay may be removed on a per-session basis, for an additional LMAX fee,  if the client wishes.

Supported Instruments

Please refer to Supported Instruments to view across all venues.

PartyIDs

Please refer to PartyIDs to view across all venues.

Regulatory fields

Please refer to Regulatory Fields to view across all venues.

Passthru Fields

Please refer to Passthru Fields to view across all venues.

Details

Instrument Availability

Varies by region and session, please see attached CSV-s below for reference:

• LMAX-Exchange-TY3-Instruments.csv
• LMAX-Exchange-NY4-Instruments.csv
• LMAX-Exchange-LD4-Instruments.csv
• LMAX-Exchange-Interbank-Instruments.csv
• LMAX-Digital-Instruments.csv

Curex Migration to LMAX

LMAX is migrating Curex clients trading on the legacy platform to a new liquidity pool in the LMAX platform. The Curex technology will be decommissioned on the 31st of December 2024.

LMAX has upgraded the API to incorporate Curex functionalities to help Curex clients transition to trading on LMAX.

LMAX will maintain the Curex liquidity separately and will not consolidate with LMAX to form a single liquidity pool.

Please note that NDF market data is not offered for clients subscribing to Curex liquidity pool.

Pricing

Sweepable vs FullAmount

LMAX offers three options for FullAmount pricing:

• "old" configuration model - client will simply receive the maximum quantity available at each price level, i.e. reflecting the per-order MinQty Minimum Trade Size information.
• "new" configuration model - LMAX will configure Full Amount Volume bands as bilaterally agreed with the client, e.g. 1m, 3m, 5m, 10m, 20m.
• Client-specified, at run-time - Whisperer clients may specify up to 30 UnderlyingQty values in the MarketDataRequest NoUnderlyings group.

TradeTicker

In the event when In the event where a trade is cancelled/busted on the LMAX Exchange, LMAX will publish a a MarketDataIncrementalRefresh message with MDUpdateAction=Delete where the MDEntryID references the original trade now being cancelled.

Orders

Supported Products, OrderTypes and TimeInForce

Varies by region and session. LMAX will publish the security list on the FIX session after logon, please see attached CSV-s below for reference.  MF will send the client a SecurityStatus message for each FX currency pair from this list. The client will request market data and send orders.

Non-aggregated MarketData

SecurityGroup

Clients will start to receive the SecurityGroup field in the SecurityStatus, QuoteRequest, and ExecutionReport published for NDF instruments.

MarketFactory gateway will accept the SecurityGroup in MarketDateRequest when clients subscribe to NDF market data and NewOrderMultileg when trading an NDF instrument.

LMAX offers 1M rolling contracts for APAC NDFs and EOM contracts for LATAM NDFs (currently BRL only).

Sample SecurityGroup:

USDKRW1M (1M rolling contracts for APAC NDFs)

USDBRL012025 (Jan 2025 EOM contracts for LATAM NDFs)

SettlDate

Maker ESP

Whisperer will send the client a synthetic spot and NDF quote request for each instrument. The client will send MassQuotes in response, and LMAX will respond with fills (no last look).

MassQuote

Publication

A subsequent MassQuote, if accepted, will replace the previous MassQuote and will cancel all the unmatched liquidity associated with the replaced MassQuote.

If an order within the new MassQuote equals the price and size of an unmatched order within the previous MassQuote, the previous order will keep priority on the order book and will adopt the new QuoteID.

A MassQuote supports a maximum of 6 quote entries for each side of the order book. A MassQuote will be rejected if the number of quote entries is greater than 6 on either/both side(s).

In order to withdraw a previous MassQuote, the client may either send an explicit QuoteCancel or send an “empty” MassQuote (with no prices and quantities).

In the event that a MassQuote is sent to replace a previous MassQuote, but is rejected (e.g. due to incorrect IDs, incorrect formatting, incorrect levels of depth), the initial MassQuote will still be active on the LMAX platform. It is advised that if a MassQuote is rejected, for any reason, and there is an existing MassQuote on the platform, a QuoteCancel or “empty” MassQuote is sent to remove the existing MassQuote.

Matching

Once the MassQuote message is submitted to a market, the individual Quote Entries are treated as single orders. The trades generated for each of the Quote Entries in the MassQuote order will be reported with an ExecutionReport Message.

The MassQuote is uniquely identified in the ExecutionReport by  the pairing of Price and ClOrdID fields:

• MassQuote and QuoteCancel messages contain the QuoteID field that is used to uniquely identify the message. This field will be mapped to the corresponding ExecutionReport as ClOrdID (I.e. the QuoteEntryID is not used).
• The Price field contains the price of a quote entry reported by this execution. 

Two types of MassQuote matches are possible:

• Aggressive – when the MassQuote matches retail orders immediately;
• Passive – MassQuote is applied to a market and waiting to be matched on the Order Book.

During trading, a given MassQuote may result in a combination of the two, e.g. The following ExecutionReports in sequence:

• Aggressive full match for 1st price level submitted in the MassQuote.
• Aggressive partial match against 2nd price level submitted in the MassQuote.
• Passive match that fully fills the 2nd price level submitted in the MassQuote.

Orders

VWAP Orders

LMAX supports VWAP execution by default for clients trading on the Curex liquidity pool. Irrespective of the liquidity pool clients are trading on, clients can request the VWAP execution enabled on their trading session.

Algorithmic Execution

LMAX supports Pegged and TWAP execution models.

The table below sets out the Algo parameters and combinations currently supported.

1. PegMoveType - Supported values are 0 and 1.
2. TWAPIncrementInterval - The minimum interval is 10ms.
3. TWAPIncrementQty - Quantity that adheres to the minimum order increment for the instrument you are trading.

The table below sets out the standard Order field that may need to be used to further define the algo.

1. PegPriceType - MidPricePeg is the only supported value.

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Iceberg Orders

Iceberg orders are single orders where only a portion of the order, defined by MaxShow, is processed and displayed by the exchange until fully executed.

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• A minimum ratio of 1:50 is imposed for visible Quantity to Total Quantity of an order.
• When the visible Quantity is fully filled, the next available peak will be added to the order book on price/time basis, using the time the new peak is added.
• ExecutionReports for Iceberg orders behave in the same way as ExecutionReports for non-Iceberg orders, with the addition of the MaxShow tag. The breakdown between the current visible Quantity and hidden Quantity will not be shown.
• A new ExecutionReport is not sent when a new peak is added to the order book.
• The visible Quantity is disseminated on the MarketData stream, not the Total Quantity.
• Orders without the MaxShow tag will be treated as a normal Limit order.

Dark Limit Orders

Dark orders are orders that are processed by the exchange that do not appear on the Market Data stream.

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• ExecutionReports for Dark orders behave in the same way as ExecutionReports for non-Dark orders, with the addition of the MaxShow tag.
• ExecutionReports for MassQuotes made up of Dark and non-Dark orders will include the MaxShow tag for executions against Dark Orders only. MaxShow will be omitted on ExecutionReports for executions against non-Dark orders.
• Dark orders will not be disseminated on the MarketData stream.
• Orders without the MaxShow tag will be treated as a normal Limit order.

Trade Sizes

Minimum Trade Size

The option to control trade sizes, using the LMAX Minimum Trade Size (MTS) functionality, is available through two methods, outlined below. The functionality is to ensure orders match, in full or partial, in a size equal to or larger than a pre-set minimum trade size.

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Full Amount

Full Amount trading, where orders are executed in whole, without partial fills, and against only one counterparty is available on LMAX through two methods, outlined below.

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Maker ESP

Maker ESP is supported by LMAX with no Last-Look.

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Supported instruments vary by region and session.

MF will send the client a synthetic spot quote request for each, as per the Instruments lists below (cryptocurrencies on LMAX Digital are also included in the FX currency pair list). The client will send MassQuotes in response, and LMAX will respond with fills.

MassQuote

Publication

A subsequent MassQuote, if accepted, will replace the previous MassQuote and will cancel all the unmatched liquidity associated with the replaced MassQuote.

If an order within the new MassQuote equals the price and size of an unmatched order within the previous MassQuote, the previous order will keep priority on the order book and will adopt the new QuoteID.

A MassQuote supports a maximum of 6 quote entries for each side of the order book. A MassQuote will be rejected if the number of quote entries is greater than 6 on either/both side(s).

In order to withdraw a previous MassQuote, the client may either send an explicit QuoteCancel or send an “empty” MassQuote (with no prices and quantities).

In the event that a MassQuote is sent to replace a previous MassQuote, but is rejected (e.g. due to incorrect IDs, incorrect formatting, incorrect levels of depth), the initial MassQuote will still be active on the LMAX platform. It is advised that if a MassQuote is rejected, for any reason, and there is an existing MassQuote on the platform, a QuoteCancel or “empty” MassQuote is sent to remove the existing MassQuote.

Matching

Once the MassQuote message is submitted to a market, the individual Quote Entries are treated as single orders. The trades generated for each of the Quote Entries in the MassQuote order will be reported with an ExecutionReport Message.

The MassQuote is uniquely identified in the ExecutionReport by  the pairing of Price and ClOrdID fields:

• MassQuote and QuoteCancel messages contain the QuoteID field that is used to uniquely identify the message. This field will be mapped to the corresponding ExecutionReport as ClOrdID (I.e. the QuoteEntryID is not used).
• The Price field contains the price of a quote entry reported by this execution. 

Two types of MassQuote matches are possible:

• Aggressive – when the MassQuote matches retail orders immediately;
• Passive – MassQuote is applied to a market and waiting to be matched on the Order Book.

During trading, a given MassQuote may result in a combination of the two, e.g. The following ExecutionReports in sequence:

• Aggressive full match for 1st price level submitted in the MassQuote.
• Aggressive partial match against 2nd price level submitted in the MassQuote.
• Passive match that fully fills the 2nd price level submitted in the MassQuote.

Venue Checks

PB selection

Venue Checks

Self-Match

Throttling

Volatility Bands

In order to protect Clients from pricing errors Volatility Bands are set per order book on LMAX. If the price difference between the previous accepted price and the new price is outside the volatility limit, LMAX will reject the order with an OUTSIDE_VOLATILITY_BAND message.

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For Makers, If the Maker has not yet input an order during that Trading Day, the price will be compared to the last price accepted on the order book by other Makers.

Regulatory fields

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

PartyIDs

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Please refer to Whisperer Enterprise - PartyIDs for the full Enterprise table across all venues.

Instruments

LMAX-Exchange-TY3-Instruments.csv

LMAX-Exchange-NY4-Instruments.csv

LMAX-Exchange-LD4-Instruments.csv

LMAX-Exchange-Interbank-Instruments.csv

LMAX-Digital-Instruments.csv