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Market Data Handling

test required for order modification

Subscription Requests

Step

Action

Expected Result

Result (if different
from expected)

Sign Off

1

Client subscribes to market data on
EUR/USD from one feed any feed

Client receives a subscription enabled
snapshot, followed by incremental market
data.

Client is able to compare top of book prices
with MF

2

Client subscribes to a set of currencies
(EUR/JPY, USD/JPY, GBP/USD)

Client is able to handle (subscription enabled
snapshot, followed by market data) for multiple
currency pairs

the client is able to compare the top of book
prices with MF.

MF confirms active subscriptions in the API
server

3

Client subscribes to trading for one feed
any feed

Client receives trading subscription enabled.

MF confirms client is subscribed for trading

Snapshot Updates

Incremental Updates (Insert/Update/Delete through the book)

It is up to the subscriber to discard any order-book entries that get implicitly deleted due to insertion of new “better” levels that pushes entries outside the desired MarketDepth level. Such pushed out entries will not be explicitly deleted by MarketFactory.

Order Management

Step

Action

Expected Result

Result (if different
from expected)

Sign Off

1

Client Places LIMIT IOC (far from top of book)

Client is able to process IOC with no fill
(trade cancelled)

2

Client places LIMIT IOC

Client is able to process IOC fills

Because this is run against labs, the test may have to be repeated multiple times

3

Client places LIMIT IOC at top of book

Client is able to process a partial fill

4

Client places LIMIT GTC (far from top of book)
Client cancells GTC order

Client is able to cancel GTC order

5

Client places LIMIT GTC at top of book

Client is able to process GTC fill

Because this is run against labs, the test may have to be repeated multiple times

6

Client places LIMIT GTC at top of book for large
amount

Client cancels remainder of order

Client is able to process a partial fill for
GTC order

Client is able to cancel GTC order

Client Order ID Uniqueness Constraints

These need to be unique for a full trading week rather than a single trading day:

MF does the uniqueness validation of these, in preference to allowing the possibility of random production issues with random venues.
Whisperer is bounced on a weekly basis and new ClOrdIDs are added to an in-memory hash
NOTE: This means that validation will FAIL after a Whisperer bounce. JIRA required.

Feed Down/Replay

Step

Action

Expected Result

Result (if different
from expected)

Sign Off

1

Client places LIMIT GTC far from top of book

MF forces customer to disconnect

Client receives subscription ERROR for
market data trading

2

Client reconnects, re-subscription to trading
and request replay

Client is able to re-subscribe to trading

Client is able to request replay for the
order that was cancelled on disconnect

The Client will need to know the sequence number in order to call for a replay. The number could be retrieved by calling
getSequenceID(feedID) once the Customer Application has been successfully subscribed.

The client can then request a replay for missed messages beginning with last sequence number stored. This can be done
by calling replay(X, n+1, -1), where n is the last sequence number that the Customer Application received from feed X