This page provides high-level notes outlining the scenarios that the Client must handle correctly when integrating with Whisperer. The MarketFactory Support team will ensure that all applicable scenarios are exercised and passed satisfactorily before moving forward to Production and go-live. The focus of these tests is to ensure that the Client/Whisperer interface is implemented and works correctly. These tests do not short-circuit the need for the Client and Venue to do further tests in order to verify that their specific needs and requirements are met. |
Verify that all Client Timestamps are expressed as UTC in all messages
Client Logon message contains the correct values for:
There are nine possible scenarios as per the table below, all should be verified explicitly:
Client Logon msgSeqNum vs. Gateway-expected | Client Logon NextExpectedMsgSeqNum vs. Gateway-actual | Response | Comment |
|---|---|---|---|
| < | < | Gateway sends Logout to Client and disconnects. | Unrecoverable: Client-actual < Gateway-expected. Gateway to replay. |
| > | < | Gateway sends Logon response to Client. | Logged on to Gateway. Client to replay. Gateway to replay. |
| = | < | Gateway sends Logon response to Client. | Logged on to Gateway. Client synchronised. Gateway to replay. |
| < | > | Gateway sends Logout to Client and disconnects. | Unrecoverable: Client-actual < Gateway-expected. Client expected > Gateway-actual. |
| > | > | Gateway sends Logout to Client and disconnects. | Unrecoverable: Client to replay. Client expected > Gateway-actual. |
| = | > | Gateway sends Logout to Client and disconnects. | Unrecoverable: Client synchronised. Client expected > Gateway-actual. |
| < | = | Gateway sends Logout to Client and disconnects. | Unrecoverable: Client-actual < Gateway-expected. Gateway synchronised. |
| > | = | Gateway sends Logon response to Client. | Logged on to Gateway. Client to replay. Gateway synchronised. |
| = | = | Gateway sends Logon response to Client. | Logged on to Gateway. Client synchronised. Gateway synchronised. |
Client correctly handles resent messages and/or SequenceReset(GapFill) messages.
Client receives TestRequest, correctly sends Heartbeat response.
The Client correctly resends persisted stateful messages.
The Client correctly uses SequenceReset(GapFill) messages to skip over blocks of non-persisted messages. Refer to Client Session Management -MessagePersistence for details.
Client receives TestRequest, correctly sends Heartbeat response.
Client expects disconnect.
Client correctly responds to Gateway TestRequest with Heartbeat.
The Gateway always sends a final TestRequest to mark and check the overall session synchronisation status. The Client correctly sends Heartbeat response.
Thus a minimum of one TestRequest/Hearbeat exchange is initiated by the Gateway, and a maximum of three.
All client sessions must be terminated gracefully in normal circumstances.
The Client may only issue Logoff when no Venue session is active.
The Client waits for the reciprocal LogoffResponse message from MF.
The Client responds to MF-issued Logoff message with a reciprocal LogoffResponse.
Test force disconnect & automatic reconnect of session.
In the absence of sending other messages, the Client publishes Heartbeat messages at their specified interval (Logon HeartBtInt)
In the event that no message has been received from MF after the HeartBtInt, the Client correctly timesout and sends a TestRequest.
In the event that no Heartbeat response to the Client TestRequest has been received from MF after a further HeartBtInt, the Client correctly timesout and sends a Logout.
In the event that no LogoutResponse to the Client Logout has been received from MF after a further HeartBtInt, the Client correctly timesout and disconnects.
The Client sends a Heartbeat message with the correct TestReqID in response to every MF TestRequest message received.
The sequencing matters.
Client instructs MF to connect to Venue.
Message should only be sent when the client is not currently logged on.
Client receives MF notification of any problems and takes the appropriate action.
It is not acceptable to simply ignore these messages. Refer to Error Handling for context. Individual Scenarios that need to be verified:
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Client is notified when Venue connectivity is established.
Client instructs MF to disconnect from Venue.
This message may be sent when:
Client is notified when Venue connectivity is terminated.
Maker certification should focus primarily on outbound (Client > MF) message correctness.
The Client is able to receive and correctly identify all flavours of RFS requests, i.e. permutations and combinations of the following:
The Client must ensure that they handle all RFS termination modes.
The Client should be able to specify different rejection reasons in the QuoteRequestRejectReason field, e.g. Credit check failure vs unsupported pair.
The Client should be able to specify additional detail in the Text field , e.g. "Order breaches daily settlement limit by 2m."
The Client should terminate RFSs after a period of time (e.g. 3-5m). The Client timeout may, or may not, match the Venue setting, or the counterparty-specified duration.
Client must be able to handle Venue-termination of active RFS - either due to the Venue stream timeout, or because the counterparty dealt away, or because the counterparty canceled the request.
Quote messages must be generated for all the permutations and combinations of QuoteRequest above.
The Client must demonstrate correct usage of the following attributes:
If the Client wishes to trade on-MTF or on-SEF, it is essential that the venue has applied the necessary regulatory setup and configuration changes to support this. This is often a problematic process so the Client is advised to declare this as early as possible during the onboarding process. |
The Client can explicitly withdraw a previously issued Quote.
The Client must be able to receive orders for all the permutations and combinations of QuoteRequest above.
The Client must be able to demonstrate both deal acceptance and deal rejection.
Regulatory - All regulatory regimes must be explicitly declared as in or out of scope. In scope regimes must be demonstrated to populate the required reg. fields correctly:
The Client should be able to specify different rejection reasons in the QuoteRequestRejectReason field, e.g. Credit check failure vs stale quote.
The Client should be able to specify additional detail in the Text field , e.g. "Order breaches daily settlement limit by 2m."
Client must be able to receive acknowledgements of all fills, and possibly rejections, for all the permutations and combinations of QuoteRequest above.
In the case that the Client send Bloomberg an ExecutionReport with erroneous regulatory field values (e.g. EDM/IDM values etc), Bloomberg will drop this message silently. No ExecutionAck will be sent. It is the Client's responsibility to ensure that:
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The Client is able to receive and correctly identify all flavours of ESP requests, i.e. permutations and combinations of the following:
The Client must ensure that they handle all ESP termination modes.
The Client should be able to specify different rejection reasons in the QuoteRequestRejectReason field, e.g. unsupported pair.
The Client should be able to specify additional detail in the Text field , e.g. "Instrument not supported".
The Client must be able to handle Venue-termination of active ESP subscriptions - typically due to day roll events.
MassQuote messages must be generated for all the permutations and combinations of QuoteRequest above.
The Client must demonstrate correct usage of the following attributes:
If the Client wishes to trade on-MTF or on-SEF, it is essential that the venue has applied the necessary regulatory setup and configuration changes to support this. This is often a problematic process so the Client is advised to declare this as early as possible during the onboarding process. |
The Client can explicitly withdraw a previously issued MassQuote.
The Client must be able to receive orders for all the permutations and combinations of QuoteRequest above.
The Client must be able to demonstrate both deal acceptance and deal rejection.
Regulatory - All regulatory regimes must be explicitly declared as in or out of scope. In scope regimes must be demonstrated to populate the required reg. fields correctly:
The Client should be able to specify different rejection reasons in the QuoteRequestRejectReason field, e.g. Credit check failure vs stale quote.
The Client should be able to specify additional detail in the Text field , e.g. "Order breaches daily settlement limit by 2m."
Client must be able to receive acknowledgements of all fills, and possibly rejections, for all the permutations and combinations of QuoteRequest above.
The Client must be able to demonstrate receipt of all fill notifications.
The Client is able to submit all flavours of RFS requests, i.e. permutations and combinations of the following:
The the CLient does not wish to
The Client must ensure that they handle all RFS termination modes.
The Client should be able to specify different rejection reasons in the QuoteRequestRejectReason field, e.g. Credit check failure vs unsupported pair.
The Client should be able to specify additional detail in the Text field , e.g. "Order breaches daily settlement limit by 2m."
The Client should terminate RFSs after a period of time (e.g. 3-5m). The Client timeout may, or may not, match the Venue setting, or the counterparty-specified duration.
Client must be able to handle Venue-termination of active RFS - either due to the Venue stream timeout, or because the counterparty dealt away, or because the counterparty canceled the request.
Quote messages must be generated for all the permutations and combinations of QuoteRequest above.
The Client must demonstrate correct usage of the following attributes:
If the Client wishes to trade on-MTF or on-SEF, it is essential that the venue has applied the necessary regulatory setup and configuration changes to support this. This is often a problematic process so the Client is advised to declare this as early as possible during the onboarding process. |
The Client can explicitly withdraw a previously issued Quote.
The Client must be able to receive orders for all the permutations and combinations of QuoteRequest above.
The Client must be able to demonstrate both deal acceptance and deal rejection.
Regulatory - All regulatory regimes must be explicitly declared as in or out of scope. In scope regimes must be demonstrated to populate the required reg. fields correctly:
The Client should be able to specify different rejection reasons in the QuoteRequestRejectReason field, e.g. Credit check failure vs stale quote.
The Client should be able to specify additional detail in the Text field , e.g. "Order breaches daily settlement limit by 2m."
Client must be able to receive acknowledgements of all fills, and possibly rejections, for all the permutations and combinations of QuoteRequest above.
In the case that the Client send Bloomberg an ExecutionReport with erroneous regulatory field values (e.g. EDM/IDM values etc), Bloomberg will drop this message silently. No ExecutionAck will be sent. It is the Client's responsibility to ensure that:
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TODO
The client must be able to demonstrate correct market data processing by provision of their view of a book, after a sequence of MarketDataIncrementalRefresh messages defining:
OrderDepth and PriceDepth books must both be correctly processed by the client.
The Client must correctly handle implicit deletes for entries that drop out of the client's subscribed MDBookDepth.
TODO
Venue-specific scenarios should be exercised, to ensure that there are no surprises when Client/Venue conformance tests are performed: