Change Summary

Background

To provide a normalised view of the OrdStatus and ExecTypes across the workflows.

PreviouslyQuoted - Normalised view of the liquidity misses and last look rejection. Currently there is a mixture of ExecutionReport Rejects and Cancels being delivered in these scenarios. Differentiating between liquidity misses and last-look rejections will allow clients transparency of why the order might have been rejected.
CLOB and Algo - Currently there is a mixture of ExecutionReport Expires and Cancels being delivered in these scenarios.

Affected Venues

All Venues

Changes

Previously Quoted Orders

1. (TimeInForce in IOC, FOK) will be canceled if not filled due to liquidity miss / last-look rejects.
2. Incorrect orders requests (eg, account, set up issues, credit etc) will be rejected.

A few venues 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. t360_tex
2. natwest_markets
3. statestreet_efx

The text contained within the reject messages will serve as a key mechanism for distinguishing between various types of rejections. This differentiation will be based on two primary factors:

Message Description – The descriptive content provided within the reject message will be analyzed to identify the specific reason for rejection, ensuring clarity and transparency for clients.
Industry Standards and Best Practices – Where applicable, the differentiation process will align with:
- The Investment Association’s Standardisation of Reject Codes, which provides a consistent framework for categorizing rejection reasons across venues.
- The FIX Recommended Practices for FX Rejects Codes.

This approach will be applied in cases where the trading venue supplies sufficient detail within the reject message to support accurate classification. By adhering to these standards, we aim to enhance transparency, improve interoperability, and deliver a normalised view of rejection reasons across workflows.

CLOB, Algo, Market orders

1. Orders with TimeInForce IOC,FOK will be cancelled if not filled.
2. Orders which expire at a given time i.e, TimeInForce in DAY, GTD, GFT, GFA, AMO, AMC will be expired if not filled.
3. The CancelOnDisconnect, SelfMatchPrevention, Pegged MidMatch Orders after PartialFills, will all remain Cancelled.
4. The venue initiated unsolicited cancels and replaces will have ExecType=Restated, ExecRestatementReason populated with appropriate reason.

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 normalised OrdStatus, ExecType as detailed above.

Change Details

Previously Quoted workflow - Clients will start to recieve ExecutionReport with OrdStatus.Canceled for scenarios indicating liquidity miss and last-look rejects. The remainder of the rejects will continue to be sent as ExecutionReport OrdStatus.Rejected.
Orders workflow -
- Orders with TimeInForce IOC,FOK will be cancelled if not filled.
- Orders which expire at a given time i.e, TimeInForce in DAY, GTD, GFT, GFA, AMO, AMC will be expired if not filled.
- The CancelOnDisconnect, SelfMatchPrevention, Pegged MidMatch Orders after PartialFills, will all remain Cancelled.
- The venue initiated unsolicited cancels and replaces will have ExecType=Restated, ExecRestatementReason populated with appropriate reason.

Note: The stamping of ExecType=Restated and ExecRestatementReason is on best effort basis where there is enough information from the venue.

It is now possible to receive an ExecutionReport with terminal state of OrdStatus=Canceled and ExecType=Restated when the venue initiates unsolicited cancels (Algo orders).

Venue	TimeInForce	OrdStatus Change	ExecType Change	Comment
bgc_midfx	Day	Canceled → Expired	Canceled → Expired	N/A
broadridge_orders	Day, GTD, GFT, GFA, AMO, AMC	Canceled → Expired	Canceled → Expired	Additional Change: SelfMatchPrevention canceled Execution Reports will be sent with OrdStatus=Canceled, ExecType=Restated, ExecRestatementReason= CxldSMP
cboefx_fixproxy	Day	Canceled → Expired	Canceled → Expired	Additional Change: MidMatched pegged Orders that are canceled after partial match, will be sent with OrdStatus=Canceled, ExecType=Restated, ExecRestatementReason=BrokerOption
cboefx_fixproxy	IOC, FOK	Expired → Canceled	Expired → Canceled
cme_ilink3_sbe	IOC, FOK	Expired → Canceled	Expired → Canceled	N/A
ebs_market_ilink3_sbe	IOC, FOK	Expired → Canceled	Expired → Canceled	N/A
fastmatch_autoex	Day	Canceled → Expired	Canceled → Expired	N/A
fidessa_orders	GTD, GFT, GFA, AMO, AMC	Canceled → Expired	Canceled → Expired	N/A
fxall_activetrading	Day	Canceled → Expired	Canceled → Expired	N/A
lmax	Day	Canceled → Expired	Canceled → Expired	N/A
lseg_ftg	Day, GFT	Canceled → Expired	Canceled → Expired	Additional Change: Unsolicited Order Cancel following a TradeBust will be sent with OrdStatus=Canceled, ExecType=Restated, ExecRestatementReason=BrokerOption
lucera_lumefx	Day	Canceled → Expired	Canceled → Expired	N/A
parfx_orders	Day	Canceled → Expired	Canceled → Expired	N/A
t360_gtx	Day	Canceled → Expired	Canceled → Expired	N/A
xenfin_liquiditypool	IOC, FOK	Expired → Canceled	Expired → Canceled	N/A
autobahnfx_algo	Day	Canceled → Expired	Canceled → Expired	Additional Change: Unsolicited Algo amends and cancels will be sent with ExecType=Restated, ExecRestatementReason populated appropriately.
bnpparibas_efx_algo	Day, GTD, GFA, GFT	Canceled → Expired	Canceled → Expired	Additional Change: Unsolicited Algo amends and cancels will be sent with ExecType=Restated, ExecRestatementReason populated appropriately.
fxspotstream_algo	Day, GTD, GFA	Canceled → Expired	Canceled → Expired	Additional Change: Unsolicited Algo amends will be sent with ExecType=Restated, ExecRestatementReason populated appropriately.
fxspotstream_algo	IOC, FOK	Expired → Canceled	Expired → Canceled
jpmorgan_fx_algo	-	-	-	Additional Change: Unsolicited Algo amends and cancels will be sent with ExecType=Restated, ExecRestatementReason populated appropriately.
precision_algo	-	-	-	Additional Change: Unsolicited Algo amends and cancels will be sent with ExecType=Restated, ExecRestatementReason populated appropriately.
ubs_algo	-	-	-	Additional Change: Unsolicited Algo amends and cancels will be sent with ExecType=Restated, ExecRestatementReason populated appropriately.