Workflow

LP Resting and Algo  Orders.

Supported Instruments



Please refer to Supported Instruments to view across all venues.

PartyIDs



Please refer to PartyIDs to view across all venues.

Regulatory Fields



Please refer to Regulatory Fields to view across all venues.

Passthru Fields



Please refer to Passthru Fields to view across all venues.

Details

Please note the following Whisperer constraints:

  • 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.

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 ProviderExecutionVenueTargetStrategyNotes
BankOfAmericaBAMLBenchmarkOrFixing, VWAP, TWAP, ImplementationShortfall (formerly Decipher), WhisperMarket orders: BAML will set a limit price for the order and return that price to the client. The limit price is set differently depending on which algo is selected by the user. For example, for Whisper, if there’s no limit selected, BAML uses a 3% limit in the money for the currency pair.
BarclaysBARXBenchmarkOrFixing-
CitiCGMIVWAP, TWAP, Peg, VolumeTracker-
GoldmanSachsGSCOBenchmarkOrFixing, VWAP, TWAP, Peg, Dynamic-
JPMorganChaseJPSIBenchmarkOrFixing, VWAP, TWAP, Adaptive, Float

Day orders: known issue with JPMC UAT on Fridays - the default EOD time on their UAT Day orders is 5:00pm NYT, although the platform shuts down around 4:55pm NYT.

This means that submitted orders may be rejected with: Order End time is during weekend shutdown window. 

If you use an expire time, please send before 16:55 EDT (NY local).

MorganStanleyMSAXBenchmarkOrFixing, VWAP, TWAP, ArrivalPrice, Seeker-
UBSUBSGBenchmarkOrFixing-

Algo Control

This venue supports both client and venue -initiated suspension and restoration of order execution:

Client-initiated:

  • MultilegCancelReplaceRequest.ExecInst may be set to either:
    • Suspend - temporarily remove the order from the market.
    • Release - return the order to the market for continued execution.

Venue-initiated:

  • Notification of these events will be via ExecutionReport (Restated) messages.

Please refer to the OrderStateTransitionDiagram for details of the order lifecycle.