Supported Instruments

Please refer to Supported Instruments to view across all venues.

PartyIDs

Please refer to PartyIDs to view across all venues.

Regulatory Fields

Please refer to Regulatory Fields to view across all venues.

Passthru Fields

Please refer to Passthru Fields to view across all venues.

Details

Tenors

• For Swaps,  the Far leg tenor is relative to the Near leg, rather than representing a date WRT Spot as per market convention:

20200202-13:34:17.022155046 RX 8=FIX.4.4|9=555|35=R|34=118|49=360T_RFQ_TEST|52=20200202-13:34:16.959|56=MF_RFQ_TEST|131=35490095-MarketFactory.TEST|828=65| 6215=6M|6216=1M|7070=20200205|7611=2|14001=5|14003=3|146=1|55=EUR/USD|48=EZHPPZCSQSC8|22=4|454=2|455=EZ0HL6Y6WL59|456=4|455=EZMBWZSKXQJ2|456=4|461=SFCXXP|167=FOR|537=1|54=1|38=1000000| 64=20200805|193=20200908|192=1000000|15=EUR|1=MarketFactory Comp1.TEST|40=D|126=20200202-13:36:28.943|453=3|448=MarketFactory.TEST|447=D|452=35|448=MarketFactory Comp1.TEST|447=D|452=1|448=MFCOMP1.Treasurer1|447=D|452=11|553=MFCOMP1.Treasurer1|7071=FX-STD|7074=Y|10=089|

• FWD, NDF, SWP, NDS requests with allocations (360T "Trade on Behalf", TOB) never include tenor codes, Whisperer will always pass such requests through as Broken-dated.
• In the "Classic" applet, User IMM dates (March, June, September and December) are passed through as specific tenors. In the Bridge UI however, the same selections are delivered as broken dates.
• Note also that in UAT at least, 360T Tenors via the Bridge are currently subject to change.

Block Pricing

When Whisperer receives a Block QuoteRequest from 360T, it needs to identify and net all allocations per value date leg, in order to determine and provide the overall LegSide in the Client QuoteRequest. All 360T Block requests are one-way.

The Client needs to take the following steps in order to price the Quote correctly:

1. Net all legs to determine overall trade side.
2. Use the trade side to determine the side (and thus value) of Spot to Quote. 
3. Reference LegSide to determine the side (and thus value) of Forward Points to Quote for each leg.
4. The sum of the above (spot +fwd pts) is the all-in price for Client to Quote for each leg.

Whisperer will use the resultant quote and the the allocation side of the original QuoteRequest to determine the field to populate (either LegBidPx or LegOfferPx) in the 360T quote message.

Certification 

360T requires that the MTF certification is done with the specific algo-id that is to be used in production.

As a sidenote to this, if a client would like to add an algo id in the future, this will also require a further conformance test for the MTF side to verify the algo id.

Forward Time Options

Clients interested in trading Forward Time Options should be on Whisperer schema version 19457 or later. 

Please take note of the following when trading Forward Time Options:

• SecurityType - Should be FTO in SecurityType and LegSecurityType.
• TimeOptionStartTenor - Conditionally required to specify the start of the settlement period in standard tenor.
• TimeOptionStartDate - Conditionally required when TimeOptionStartTenor = BKN to specify the start date of the settlement period.
• LegSettlType - Specifies a standard tenor for the end of the settlement period. This is a required field when trading Forward Time Options.
• LegSettlDate - Specifies the end date of the settlement period in a Forward Time Option. Conditionally required when LegSettlType = BKN.

Please refer to 2025-02-18 - Whisperer API Upgrade to v19457 for further info.