Change Summary

Background

To provide a normalised view of the ExecutionReport received by Clients, changes are being made to the quantity fields listed below. Currently these values are taken directly from the Venue messages.

For the venues where these values are not as per Whisperer standard, improvements are being made to bring them inline with the schema definition.

Field	Schema definition	Normalisation Issue	Affected Venues	Release Version
LegCumQty	Total quantity filled so far on this Leg of the Order.	LegCumQty is populated inconsistently by some venues across different OrderStatuses.	autobahnfx_rapid, baml, barx, citi_colo, rbc_trading, standardchartered_s2bx, statestreet_efx, t360_tex.	2025.11.19.WE.RHEL9 bnpparibas_efx_algo, fxspotstream_algo, precision_algo, ubs_algo, autobahnfx_rapid, baml, bgc_midfx, broadridge_orders, bnpparibas_efx_streaming
LegLeavesQty	Quantity remaining to execute on this Leg of the Order.	LegLeavesQty is populated inconsistently by all venues across different OrderStatuses.	All taker APIs	2025.11.19.WE.RHEL9 bnpparibas_efx_algo, fxspotstream_algo, precision_algo, ubs_algo, autobahnfx_rapid, baml, bgc_midfx, broadridge_orders, bnpparibas_efx_streaming
LegAllocQty	If ExecType=Calculated/Trade then ABS (SUM (LegAllocQty))=LegLastQty, otherwise ABS (SUM (LegAllocQty))=LegOrderQty	LegAllocQty is is populated inconsistently across different ExecTypes. LegAllocQty is sent as 0 for Cancelled ExecutionReports.	All taker APIs	2025.08.29.WE.RHEL9
LegAllocCalculatedCcyQty	If LegCurrency is LHS then=-LegAllocQty*LegLastPx; if LegCurrency is RHS then=-LegAllocQty/LegLastPx (rounded to the precision of LegAllocQty, half-up)	Allocation side is not taken into account for some venues and thus LegAllocCalculatedCcyQty is always sent as positive.	autobahnfx_algo, baml, exchange24, fxspotstream_algo, precision_algo, xtx_euthenia	2025.09.04.WE.RHEL9

Change

This change will ensure that the above quantity fields are normalised consistently across all venues OrdStatus/ExecType combinations. These fields will never be null in the ExecutionReport.

Timeline

Phased rollout starting August 2025.

Whisperer Client Impact

Clients should consider the impact if they are reliant on these fields of the ExecutionReport. These fields will never be populated as null.

Change Details

LegCumQty and LegLeavesQty:

Quantity received from the Venue will be evaluated/corrected to match the expected behaviour below:

OrdStatus	CumQty	LeavesQty
New	0	LegOrderQty
PendingNew	0	LegOrderQty
Rejected	0	0
Partially Filled	Total quantity filled so far on this Leg of the Order.	LegOrderQty-LegCumQty
Filled	LegOrderQty.	0
Pending Cancel	Total quantity filled so far on this Leg of the Order. 0 if there are no PartialFills. Total quantity filled	LegOrderQty-LegCumQty
Canceled	Total quantity filled so far on this Leg of the Order. 0 if there are no PartialFills.	0
Pending Replace	Total quantity filled so far on this Leg of the Order.	LegOrderQty-LegCumQty
Expired	Total quantity filled so far on this Leg of the Order. 0 if there are no PartialFills.	0

LegAllocQty:

This will be populated with LegOrderQty except for the ExecType Trade and Calculated, where this will be LegLastQty.

LegAllocCalculatedCcyQty:

This will be populated as a negative value if LegSide matches with the allocation Side, and a positive if LegSide does not match with the allocation Side.