Workflow

CLOB: MarketData

Supported Instruments



Please refer to Whisperer Enterprise - Supported Instruments for the full Enterprise table across all venues.

PartyIDs



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

Regulatory Fields



Please refer to or Regulatory Fields for the full Enterprise table across all venues.

Passthru Fields



Please refer to Passthru Fields for the full Enterprise table across all venues.

Details

Configuration

Currenex_NOW_Itch supports UDP network protocol only. UDP sessions have lower latency, but are potentially subject to message loss. Subscriptions therefore utilise additional gap detection/recovery logic. Please refer to UDP/Multicast Market Data Feeds for additional detail. 

  • PROD sessions are typically via cross connect, which should support UDP connections with minimal problems. Clients should consider disconnection/escalation if they see any ErrorReport or GapDetected events.
  • UAT sessions may be via public Internet, which will lead to frequent message gaps over UDP.


Subscription

Please note that Currenex_NOW_Itch allows one subscription per currency pair. Currenex sends a SubscriptionReply with Type=Rejected when multiple subscription requests are made for the same currency pair.


As well as the Depth of Book snapshots, the following Currenex_NOW statistics will be published on successful subscription:

  • Paid/Given With Bucketed Size
  • Weighted Average Mid-Rate (WAMR) With ConfidenceFactor
  • Mid-Activity Indicator

Date Roll

For NZD pairs, Currenex rolls value date forward at 7 a.m (NZST/NZDT). For all other currency pairs (except those containing NZD), Currenex rolls value date forward at 5:00 pm (EDT/EST).

A SecurityStatus for each currency pair will be published with latest SettlDate for that instrument.