synopsis
The counterparty is defined within FX as the opposite party in a currency transaction. Therefore if a participant is consuming liquidity and entering bids on quotes (the participant will often be referred to as a buyer), within the MarketFactory framework such a participant is identified as a 'Taker'. The counterparty to the example given would be a participant providing liquidity to the consumer (referred to commonly as the seller) known as a within the MarketFactory Framework 'Market Maker'.
Configuration
If configured to do so, Whisperer will populate the counterparty field of the TradeCapture message with a JSON string containing any known counterparties contained in the execution report. The set of all counterparties is configured on a per-instance basis and applies to all venues in the instance. The feature is either on or off for all venues in an instance.
Any string-type FIX tag and any partyRole, as well as partySubIDType, can be included.
The intention is to normalise presentation of counterparties to allow customers to pick and choose the information they're interested in.
Examples of the field information that can be included withinTradeCapturemessage are below. The table below is not exhaustive as many venues use custom Fix Tags to convey a significant amount of counterparty information
| Number | Fix Tag | Name | Description |
|---|---|---|---|
| 1 | "17" | "ExecID" | Unique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType (50) =I (Order Status)). Uniqueness must be guaranteed within a single trading day or the life of a multi-day order. |
| 2 | "30" | "LastMkt" | Market of execution for the last fill, or an indication of the market where an order was routed. |
| 3 | "375" | "ContraBroker" | Identifies the contra broker. |
| 4 | "1" | "Account" | Account mnemonic as agreed between buy and sell sides |
Caution
Where Counterparty handling is employed, the feature operates across all Feeds/Connections, and cannot be isolated to individual sessions.
Overview
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