Workflow

LP Resting and Algo  Orders.

Please note the following Whisperer constraints:

  • Order Suspend/Resume functionality is not yet supported. This will be available with the publication of the next Whisperer schema version.
  • Spot Contingent Forward (Roll Trade) orders are not supported. Please contact MarketFactory support if you require this functionality.
  • Whisperer does not currently support GTC orders remaining open across a weekend.

Supported Instruments

SecurityTypeLegSettlTypeOrdTypeTimeInForce

SPT

NDF

SPT

M1, EOM0, BKN

Market

Limit

Stop

StopLimit

Pegged

IOC

DAY

GTC

GTD

LP/Algo Selection

The client must specify which LP is to receive their Algo order by populating a single 452/PartyRole = ExecutionVenue value in the NoPartyIDs repeating group in their NewOrderMultileg and MultilegOrderCancelReplaceRequest messages.


Refer to Supported Order Types (Algo Orders) for details on how to use the NoStrategyParameters block to send the details of the TargetStrategy, along with the corresponding strategy parameters.


The table below sets out the  LP/Algo combinations currently supported.

Please refer to the individual provider addendums provided by FXSpotStream for specific details.

Liquidity ProviderExecutionVenueTargetStrategy
BankOfAmericaBAMLBenchmarkOrFixing, VWAP, TWAP, ImplementationShortfall (formerly Decipher), Whisper
BarclaysBARXBenchmarkOrFixing
CitiCGMIVWAP, TWAP, Peg, VolumeTracker
GoldmanSachsGSCOBenchmarkOrFixing, VWAP, TWAP, Peg, Dynamic
JPMorganChaseJPSIBenchmarkOrFixing, VWAP, TWAP, Adaptive, Float
MorganStanleyMSAXBenchmarkOrFixing, VWAP, TWAP, ArrivalPrice, Seeker
UBSUBSGBenchmarkOrFixing

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.