Background

To provide a normalised view of the ExecutionReport, there are corrections being made to the quantity fields to be inline with the schema. Details of changes to each field are listed below:

1. LegAllocCalculatedCcyQty - As per the schema, ABS (SUM (LegAllocCalculatedCcyQty))=LegCalculatedCcyLastQty. For the affected venues listed below the calculation does not match.
2. 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 cancelled/rejected orders.
3. LegCumQty - This is a mandatory field to be populated in the ExecutionReport and currently it is based on what venue sends and is not in line with the schema which is "Total quantity filled so far on this Leg of the Order".
4. LegLeavesQty - Expected to be 0 for Rejected/Filled/Cancelled/Expired, but some of the venues sends OrderQty instead. So normalisation is required so clients can expect same behaviour across all venues.

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

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

Affected Venues: All taker APIs

3) LegCumQty - This is now the cumulative qty of all the fills of the order if OrdStatus is PartiallyFilled/Filled/PendingCancel/Cancelled/PendingReplace/Expired and 0 otherwise.

Affected Venues: autobahnfx_rapid, baml, barx, citi_colo, rbc_trading, standardchartered_s2bx, statestreet_efx, t360_tex.

3) LegLeavesQty - Corrected to be 0 for Rejected/Filled/Cancelled/Expired OrdStatus, matches the LegOrderQty for New/PendingNew OrdStatus, otherwise LegOrderQty-LegCumQty.

Affected Venues: All taker APIs

Timeline

Q3/ 2025

Clients are advised to contact the MarketFactory Delivery Team if there are any issues to be discussed further.