Whisperer Enterprise honours the implied precision of all prices and quantities passed between Client and Venue.

This is achieved by setting mantissa and exponent values for the relevant SBE datatypes  (DecimalQtyNULL and PriceNULL) such that the original value is preserved.

Note that DecimalQtyNULL and PriceNULL may both be used to represent negative values:

  • Negative quantities are used in pre-trade allocations to denote the opposite allocation direction vs the net direction for the leg as a whole).
  • Negative prices are used to represent negative Forward Points, where appropriate.

Examples below:


ValueMantissaExponent
1.234512345-4
1.23123-2
1.230012300-4
123.0012300-2
0.00012341234-7
100000010000000
1567234.56156723456-2
-0.01-1-2
-500000-5000000
000



These datatypes differ from the equivalents defined in The Whisperer Classic SBE3 Schema, which defines fixed scalings for each.