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Workflow

Taker ESP or Taker RFS.

FXSpotStream is a connectivity provider FXSpotStream (FSS) is a multi-bank portal with access to multiple bank liquidity providers (LPs). 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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PreviouslyQuoted

Market

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IOC

FOK

...

PreviouslyQuoted

Market

...

IOC

FOK

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default fxspotstream,ExecutionVenue&&MDBookType(PricingSession)&&MDEntryType(PricingSession)&&Comments&&MDBookType (SessionType == Pricing)&&MDEntryType (SessionType == Pricing)&&MDBookType&&MDEntryType
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ddOperator OR
datepattern dd M yy
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worklog 365|5|8|y w d h m|y w d h m
isOR AND
Table Excerpt Include
name SupportedInstruments
merge-tables true
page Supported Instruments
type page

Please refer to Supported Instruments to view across all venues.
NOTE: FSS does support Term currency limit orders.

PartyIDs

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Table Filter

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id	1655720330267_-1542429409
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

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name	PartyIDs
page	PartyIDs
type	page

Please refer to PartyIDs to view across all venues.

Regulatory Fields

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name	RegulatoryFields
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Please refer to Regulatory Fields to view across all venues.

Passthru Fields

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Table Excerpt Include

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name	PassthruFields
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Please refer to Passthru Fields to view across all venues.

Details

Warning

title	FSS 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

title	Sweepable 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

...

BKN
TOD, TOM
D1, D2, D3, D4
W1, W2, W3
M1, M2, M3, M4, M5, M6, M7, M8, M9, M10, M11, M15, M18, M21
Y1, Y2, Y3, Y4, Y5, Y6, Y7, Y8, Y9, Y10, Y15, Y20, Y25, Y30

PreviouslyQuoted

Market

...

IOC

FOK

...

FOK

...

BKN
TOD, TOM
D1, D2, D3, D4
W1, W2, W3
M1, M2, M3, M4, M5, M6, M7, M8, M9, M10, M11, M15, M18, M21
Y1, Y2, Y3, Y4, Y5, Y6, Y7, Y8, Y9, Y10, Y15, Y20, Y25, Y30

...

FOK

...

BKN
TOD, TOM
D1, D2, D3, D4
W1, W2, W3
M1, M2, M3, M4, M5, M6, M7, M8, M9, M10, M11, M15, M18, M21
Y1, Y2, Y3, Y4, Y5, Y6, Y7, Y8, Y9, Y10, Y15, Y20, Y25, Y30

...

FOK

...

BKN
TOD, TOM
D1, D2, D3, D4
W1, W2, W3
M1, M2, M3, M4, M5, M6, M7, M8, M9, M10, M11, M15, M18, M21
Y1, Y2, Y3, Y4, Y5, Y6, Y7, Y8, Y9, Y10, Y15, Y20, Y25, Y30

...

FOK

...

BKN
TOD, TOM
D1, D2, D3, D4
W1, W2, W3
M1, M2, M3, M4, M5, M6, M7, M8, M9, M10, M11, M15, M18, M21
Y1, Y2, Y3, Y4, Y5, Y6, Y7, Y8, Y9, Y10, Y15, Y20, Y25, Y30

...

FOK

LP selection

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:

MUFG BankMUTIBTMUCredit SuisseCSAGCSSCB

LP	MF PartyID (MIC)	FSS ID
ANZ Bank	ANZL	ANZA
Bank of America	BAML	BAML
Barclays	BARX	BARX
BNP Paribas	BNPS	BNP
BNY	BKLF	BNYM
Citi	CGMI	CITI
CommerzBank	CBKA	COBA
Deutsche Bank	DBAG	DBES
Goldman Sachs	GSCO	GS
HSBC	HSBC	HSBC
JPMorgan Chase	JPSI	JPMC
Morgan Stanley	MSAX	MS	Standard Chartered	STAN
MUFG Bank	MUTI	BTMU
NatWest Markets	NWMS	NWM
Societe Generale	XSGA	SGSP
Standard Chartered	STAN	SCB
State Street	SSBI	STS
UBS	UBSG	UBS
Wells Fargo*	WFLB	WFNA

* 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

title	FSS SIM vs UAT environments

Note: not all LPs are supported in the FSS simulator environment, and detailed behaviour may occasionally be incorrect.

PartyIDs

...

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order	0

Table Excerpt Include

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

Regulatory Fields

...

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Table Excerpt Include

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name	RegulatoryFields
page	Regulatory Fields
type	page

...

Allocation 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

Please find the table attached here: FxSpotStream Regulatory fields.xlsxNOTE: FSS supports both MiFID and EMIR regulatory regimes.

Info

title	LP-specific Regulatory Detail

Anchor

	RegulatorySpreadSheet
	RegulatorySpreadSheet

FXSpotStream supports both MiFID and EMIR trades. The values required by FxSpotstream FSS are dependent on the target ExecutionVenue.

FxSpotStream Regulatory fields.xlsx Execution Venue. The Regulatory fields table(attached below) describes all regulatory fields that are supported, and which Execution Venue require ExecutionVenue requires the field. "Other" column means that this field is used by no Execution Venue no ExecutionVenue in particular.

Anchor

RegulatorySpreadSheet RegulatorySpreadSheet

Warning
Given that LPs have changing requirements, we recommend that you implement sending this data regardless of the LP.

Passthru Fields

...

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order	0

Table Excerpt Include

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name	PassthruFields
page	Passthru Fields
type	page

...

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Versions Compared

Old Version 9

New Version Current

Key

Workflow

Supported Instruments

PartyIDs

Regulatory Fields

Passthru Fields

Details

LP selection

LP selection

PartyIDs

Regulatory Fields

Regulatory Detail

Passthru Fields