Background

To provide a normalised view of the ExecutionReport, there are corrections being made to the quantity fields to be inline with the schema.

LegAllocCalculatedCcyQty - As per the schema, ABS (SUM (LegAllocCalculatedCcyQty))=LegCalculatedCcyLastQty. For the affected venues listed below the calculation does not match.

LegAllocQty - As per the schema, If ExecType=Calculated/Trade then ABS (SUM (LegAllocQty))=LegLastQty, otherwise ABS (SUM (LegAllocQty))=LegOrderQty. There are inconsistencies across the venues where the value is sent as 0 for certain order statuses.

Changes

1) LegAllocCalculatedCcyQty - ExecutionReport now reflects the signed value and the calculation is inline with the schema.

Affected Venues:

autobahnfx_algo, baml, fxspotstream_algo, precision_algo, xtx_euthenia

1) LegAllocQty - ExecutionReport now reflects the signed value and the calculation is inline with the schema.

Affected Venues - autobahnfx_algo, baml, fxspotstream_algo, precision_algo, xtx_euthenia

Timeline

At the client's discretion.

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

TODO - Actions required of the Client in order to accommodate the change.