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CLOB MarketData

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

refinitiv_eta is available for Refinitiv Spot Matching only, Forwards Matching (Swaps) instruments are not currently supported.

Session Management

Both Screened and Unscreened session types are supported. Unscreened prices are not checked for credit and as such they could involve orders which cannot be matched by a particular counterparty. These may also be referred to as the "market best" prices.

Please contact MarketFactory Contact in order to configure your session(s) correctly.

This interface must be associated with a refinitiv_mapi session in order to operate.

The Refinitiv FX Matching Real Time Data servers use a token for authentication rather than managing a separate set of usernames and passwords. The token is provided when the client successfully logs into the refinitiv_mapi FIX Gateway with an appropriate user.

The permissions granted will be directly linked to the credit code (aka TCID) of the FIX session from which it came:

The token will only allow a client to view instruments that the TCID is allowed to trade and subscription attempts to other instruments will be denied.
Similarly it will prevent access to screened prices for all other TCIDs except the one to which the token is linked.

Clients who have multiple TCIDs will therefore need to make multiple RFA connections. Each one would use a different token obtained from the appropriate FIX session. This will ensure that they can access the relevant instruments and screened prices for each TCID.

Spot Dates

The following instruments are reported by Refinitiv as T+1, so Whisperer explicitly normalises these to Spot:

CNHRUB
USDRUB
USDTRY

Conflation

This market data feed has a conflation interval of 50ms.

Regular Amount

The Regular Amount puts an upper limit on the quantity (and therefore the number of orders) that will be published for a particular price.
If the quantity actually available exceeds the Regular Amount then market data will not show the full total but instead show only the Regular Amount.

This condition is reported to the client via the "RegularAmountExceeded" NoEntryPassthruFields flag.

Worst Price/Aggregate Price

The Worst Price (aka Aggregate Price) takes into account the various prices and quantities available and reports the price that would need to be submitted in order to match a pre-defined quantity the Standard Amount. I.e. it is the lowest bid or highest offer that would need to be specified as the Price of a limit order for it to match the full Standard Quantity.

The Worst Price will only be calculated if all of the following are true:

It is a Screened subscription.
The instrument has a Standard Quantity defined and it is more than the minimum order size.
There is at least the Standard Quantity available …
… and that quantity is within the Worst Price Threshold from the top of the book.

This information is provided to the client via Passthru fields, as follows:

Standard Quantity - provided as StdQty in the SecurityStatus and initial snapshot MarketDataIncrementalRefresh for any subsequent subscription.
Worst Price Threshold - provided as WPT in the SecurityStatus message.
Worst Price - calculated for each side separately and is provided as WorstBid and WorstAsk in MarketDataIncrementalRefresh messages.

Trade Ticker

This API provides the last trade price, side, date & time. It does not provide the last traded quantity.

Because this feed is conflated, only the very last trade within the conflation period will be reported, rather than every trade.