Background

To provide a normalised view of the ExecutionReport, there are corrections being made to the quantity fields to be inline with the schema.

LegAllocCalculatedCcyQty - As per the schema, ABS (SUM (LegAllocCalculatedCcyQty))=LegCalculatedCcyLastQty. For the affected venues listed below the calculation does not match.

LegAllocQty - As per the schema, If ExecType=Calculated/Trade then ABS (SUM (LegAllocQty))=LegLastQty, otherwise ABS (SUM (LegAllocQty))=LegOrderQty. There are inconsistencies across the venues where the value is sent as 0 for certain order statuses.

Changes

1) LegAllocCalculatedCcyQty - ExecutionReport now reflects the signed value and the calculation is inline with the schema.

Affected Venues:

autobahnfx_algo, baml, fxspotstream_algo, precision_algo, xtx_euthenia

1) LegAllocQty - ExecutionReport now reflects the signed value and the calculation is inline with the schema.

Affected Venues - autobahnfx_algo, baml, fxspotstream_algo, precision_algo, xtx_euthenia

Timeline

At the client's discretion.

Clients are advised to contact the MarketFactory Delivery Team to enable this feature in UAT for testing and subsequently deploy the changes in production.