Workflow
CLOB: Orders.
Supported Instruments
| SecurityType | LegSettlType | OrdType | TimeInForce |
|---|
| SPT | SPT | Limit
| DAY GTC GTD GFT IOC |
| SPT | SPT | Pegged | DAY GTC GTD GFT IOC |
IOC orders are always VWAP when the SecurityGroup is Index. |
SecurityGroup
Cürex has three liquidity pools that are accessible. These are:
| SecurityGroup | Description |
|---|
| Index | Traditional Curex FX ECN liquidity pool. This is the default market if SecurityGroup not supplied. |
| Large | Large liquidity is for full-amount trading. Only Limit IOC orders are permitted. |
| P2P | Peer to Peer market. This is structured as a venue for algorithmic platforms of participating banks independent of the existing Cürex FX ECN liquidity pool. - Only limit orders are accepted.
- Participants should consider the prevailing Cürex mid‐rate when placing orders as limit order prices will affect the likelihood of matching at the mid‐rate.
- A maximum order size of 100 million (CCY1 only) is enforced.
- Orders are always executed at the mid‐rate available at the time of the match.
- Mid‐rates that require rounding are rounded in favor of the resting order received first.
- Matches occur in a strict time priority order (FIFO).
|
NoStrategyParameters
TWAP Orders are also supported using the NoStrategyParameters. The order becomes a TWAP when any TWAP field is added.
| Venue | Message | NoStrategyParameterName | NoStrategyParameterType | Venue Comment | MarketFactory Comments |
|---|
| curex_orders | NewOrderMultiLeg | PegRoundDirection | String | If the calculated peg price is not a valid price for this market, PegRoundDirection specifies whether to round the price to be more or less aggressive. 'MoreAggressive': on a buy order, round the price up to the nearest tick; on a sell order, round down to the nearest tick. 'MorePassive': on a buy order, round the price down to the nearest tick; on a sell order, round the price up to the nearest tick. | For Peg orders |
|---|
| curex_orders | NewOrderMultiLeg | TWAPSize | Qty | The increments in which the system will attempt to execute the order. | For TWAP order |
|---|
| curex_orders | NewOrderMultiLeg | TWAPSizeVariance | Percentage | The percentage within which the size can vary up or down. Must be expressed as a double. e.g. 0.2 | For TWAP order |
|---|
| curex_orders | NewOrderMultiLeg | TWAPSizeRound | Boolean | Whether or not the size should be rounded to the nearest 1M for each order slice. | For TWAP order |
|---|
| curex_orders | NewOrderMultiLeg | TWAPTimeInterval | Int | Time period during which the system will attempt to execute the order. Must be expressed in milliseconds. | For TWAP order |
|---|
| curex_orders | NewOrderMultiLeg | TWAPTimeVariance | Percentage | The percentage within which the time period can vary up or down. Must be expressed as a double. e.g. 0.30 | For TWAP order |
|---|
|
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.