Whilst the SBE Schema defines all the key fields typically expected for a given message type, there is still a need to support custom fields defined and used by individual venues.
Market Factory allows clients to reference or populate these custom fields for appropriate messages via the use of dedicated repeating groups containing key/value pairs, at the appropriate level within the message structure:
| Message | Parent Group | Name |
|---|---|---|
| MarketDataIncrementalRefresh | - | NoBodyPassthruFields |
| NoMDEntries | NoEntryPassthruFields | |
| QuoteRequest | - | NoBodyPassthruFields |
| NoLegs | NoLegPassthruFields | |
| NoLegAllocs | NoAllocPassthruFields | |
| Quote | - | NoBodyPassthruFields |
| NoLegs | NoLegPassthruFields | |
| MassQuote | - | NoBodyPassthruFields |
| NoQuoteEntries | NoEntryPassthruFields | |
| NewOrderMultileg | - | NoBodyPassthruFields |
| NoLegs | NoLegPassthruFields | |
| NoLegAllocs | NoAllocPassthruFields | |
| ExecutionReport | - | NoBodyPassthruFields |
| NoLegs | NoLegPassthruFields | |
| NoLegAllocs | NoAllocPassthruFields |
For more detail reference the SBE Schema.
The table below sets out what Passthru keys are supported by Venue and Message.
| Venue | Message | Parent Group | Passthru Key | Venue Comment | MarketFactory Comment |
|---|---|---|---|---|---|
| Standard Chartered | QuoteRequest | NoBodyPassthruFields | Reference1 | Optionally supplied notes for this request. | - |
| Reference2 | Optionally supplied notes for this request. | - | |||
| Reference3 | Optionally supplied notes for this request. | - | |||
| NDFCurrency | Optional tag which can be used to specify the NDF currency if there is ambiguity as to which currency is non deliverable. | NDF, NDS, NDB only. | |||
| Quote | NoBodyPassthruFields | NDFCurrency | Optional tag which can be used to specify the NDF currency if there is ambiguity as to which currency is non deliverable. | NDF, NDS, NDB only. | |
| MaturityTime | Fixing time on the fixing date for the NDF contract. This is an optional field but must be expressed in local time with offset to UTC specified. | NDF only. | |||
| BidSwapPoints | Bid combined points (aka LHS points) for a SWAP/NDS. Points are scaled. | SWP, NDS only. | |||
| OfferSwapPoints | Offer Combined points (aka RHS points) for a SWAP/NDS. Points are scaled. | SWP, NDS only. | |||
| MidSwapPoints | The mid points for the (SWAP/NDS) quote. Only provided where the client is in scope for Dodd Frank regulations. As the scope is subject to change all clients must be capable of accepting this tag. Points are scaled. | SWP, NDS only. | |||
| NoLegPassthruFields | LegMaturityTime | Optional maturity time for this leg if this is an NDF SSP. | NDS, NDB only. | ||
| MassQuote | NoBodyPassthruFields | NDFCurrency | Optional tag which can be used to specify the NDF currency if there is ambiguity as to which currency is non deliverable. | NDF only. | |
| MaturityTime | Fixing time on the fixing date for the NDF contract. This is an optional field but must be expressed in local time with offset to UTC specified. | NDF only. | |||
| NewOrderMultileg | NoBodyPassthruFields | TradingReference1 | An optional trading reference (will be returned in the execution). | - | |
| TradingReference2 | An optional trading reference (will be returned in the execution). | - | |||
| TradingReference3 | An optional trading reference (will be returned in the execution). | - | |||
| NDFCurrency | Optional tag which can be used to specify the NDF currency if there is ambiguity as to which currency is non deliverable. | NDF, NDS, NDB only. | |||
| NoLegPassthruFields | LegMaturityTime | Optional maturity time for this leg if this is an NDFSSP/NDS. If supplied this will be validated. | NDS, NDB only. | ||
| ExecutionReport | NoBodyPassthruFields | TradingReference1 | Optional trading reference returned if supplied on the NewOrderSingle (35=D). | - | |
| TradingReference2 | Optional trading reference returned if supplied on the NewOrderSingle (35=D). | - | |||
| TradingReference3 | Optional trading reference returned if supplied on the NewOrderSingle (35=D). | - | |||
| NDFCurrency | For NDFs this is the NDF Currency. | NDF, NDS, NDB only. | |||
| MaturityTime | Fixing time on the fixing date for the NDF contract. This is an optional field but must be expressed in local time with offset to UTC specified. | NDF only. | |||
| MidSwapPoints | The mid swap points at execution for SWAP/NDS. This is only supplied for where compliance is required for Dodd-Frank regulations. Points are scaled. | SWP, NDS only. | |||
| NoLegPassthruFields | LegMaturityTime | Optional maturity time for this leg if this is an NDFSSP/NDS. | NDS, NDB only. |