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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.
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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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