Change Summary

Background

To provide a normalised view of the liquidity misses and last look rejection in the PreviouslyQuoted workflow. Currently there is a mixture of ExecutionReport Rejects and Cancels being delivered in these scenarios. Differentiating the liquidity miss/last look rejections from the bad messages will allow clients transparency of why the order might have been rejected.

Affected Venues

Changes

PreviouslyQuoted orders (TimeInForce in IOC, FOK) will be canceled if not filled due to liquidity miss/ lastlook rejects.

Incorrect orders requests (eg, account, set up issues, credit etc) will be rejected.

Few venue do not provide enough information to distinguish between these rejects, in which case, all the rejects will be delivered to Clients as ExecutionReport Rejects. These venues include

1. baml
2. t360_tex
3. natwest_markets
4. statestreet_efx

The Text on the rejects will be used to make differentiation between these rejects as per their description and/or as per the Standardisation of Reject Codes by the Investment Association and FIX Recommended Practices for FX Rejects Codes, where the venue provides this level of detail.

Timeline

Clients are advised to contact the MarketFactory Delivery Team to enable this feature in UAT to test and subsequently deploy to production.

Whisperer Client Impact

Whisperer clients will now receive ExecutionReport with OrdStatus Canceled on last look rejections and liquidity misses for the affected venues listed above.

Change Details

Clients will start to recieve ExecutionReport with OrdStatus.Canceled for scenarios indicating liquidity miss and last look rejects. The rest of the rejects will continue to be sent as ExecutionReport OrdStatus.Rejected.