Overview

Whilst Whisperer Enterprise explicitly provides all the key fields typically expected for a given trading model and message type, there is still a need to support the exchange of custom fields as defined by individual venues.

Message Structure

MarketFactory 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:


MessageParent GroupName
MarketDataIncrementalRefresh-NoBodyPassthruFields
NoMDEntriesNoEntryPassthruFields
QuoteRequest-NoBodyPassthruFields
NoLegsNoLegPassthruFields
NoLegAllocsNoAllocPassthruFields
Quote-NoBodyPassthruFields
NoLegsNoLegPassthruFields
MassQuote-NoBodyPassthruFields
NoQuoteEntriesNoEntryPassthruFields
NewOrderMultileg-NoBodyPassthruFields
NoLegsNoLegPassthruFields
NoLegAllocsNoAllocPassthruFields
ExecutionReport


-NoBodyPassthruFields
NoLegsNoLegPassthruFields
NoLegAllocsNoAllocPassthruFields
ExecutionAcknowledgement-NoBodyPassthruFields
NoLegsNoLegPassthruFields


For more detail reference the SBE Schema.


Venue-Specific Details

The table below sets out what Passthru keys are supported by Venue and Message.



VenueMessageParent Group

Passthru Key

Venue CommentMarketFactory Comment
Standard CharteredQuoteRequestNoBodyPassthruFieldsReference1Optionally supplied notes for this request.-
Standard CharteredQuoteRequestNoBodyPassthruFieldsReference2Optionally supplied notes for this request.-
Standard CharteredQuoteRequestNoBodyPassthruFieldsReference3Optionally supplied notes for this request.-
Standard CharteredQuoteRequestNoBodyPassthruFieldsNDFCurrency

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.
Standard CharteredQuoteNoBodyPassthruFieldsNDFCurrencyOptional 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.
Standard CharteredQuoteNoBodyPassthruFieldsMaturityTime

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.
Standard CharteredQuoteNoBodyPassthruFieldsBidSwapPointsBid combined points (aka LHS points) for a SWAP/NDS. Points are scaled.

SWP, NDS only.

Standard CharteredQuoteNoBodyPassthruFieldsOfferSwapPoints

Offer Combined points (aka RHS points) for a SWAP/NDS. Points are scaled.

SWP, NDS only.
Standard CharteredQuoteNoBodyPassthruFieldsMidSwapPoints

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.
Standard CharteredQuoteNoLegPassthruFieldsLegMaturityTime

Optional maturity time for this leg if this is an NDF SSP.

NDS, NDB only.
Standard CharteredMassQuoteNoBodyPassthruFieldsNDFCurrencyOptional tag which can be used to specify the NDF currency if there is ambiguity as to which currency is non deliverable.NDF only.
Standard CharteredMassQuoteNoBodyPassthruFieldsMaturityTimeFixing 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.
Standard CharteredNewOrderMultilegNoBodyPassthruFieldsTradingReference1An optional trading reference (will be returned in the execution).-
Standard CharteredNewOrderMultilegNoBodyPassthruFieldsTradingReference2An optional trading reference (will be returned in the execution).-
Standard CharteredNewOrderMultilegNoBodyPassthruFieldsTradingReference3An optional trading reference (will be returned in the execution).-
Standard CharteredNewOrderMultilegNoBodyPassthruFieldsNDFCurrencyOptional 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.
Standard CharteredNewOrderMultilegNoLegPassthruFieldsLegMaturityTimeOptional maturity time for this leg if this is an NDFSSP/NDS. If supplied this will be validated.NDS, NDB only.
Standard CharteredExecutionReportNoBodyPassthruFieldsTradingReference1

Optional trading reference returned if supplied on the NewOrderSingle (35=D).

-
Standard CharteredExecutionReportNoBodyPassthruFieldsTradingReference2Optional trading reference returned if supplied on the NewOrderSingle (35=D).-
Standard CharteredExecutionReportNoBodyPassthruFieldsTradingReference3Optional trading reference returned if supplied on the NewOrderSingle (35=D).-
Standard CharteredExecutionReportNoBodyPassthruFieldsNDFCurrencyFor NDFs this is the NDF Currency.NDF, NDS, NDB only.
Standard CharteredExecutionReportNoBodyPassthruFieldsMaturityTimeFixing 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.
Standard CharteredExecutionReportNoBodyPassthruFieldsMidSwapPoints

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.
Standard CharteredExecutionReportNoLegPassthruFieldsLegMaturityTime

Optional maturity time for this leg if this is an NDFSSP/NDS.

NDS, NDB only.
FXall QuickTradeQuoteRequestNoBodyPassthruFieldsMakerGroupNameThe group handling the order at the Maker.-
FXall QuickTradeQuoteRequestNoBodyPassthruFieldsTakerGroupNameThe name of the group which the Taker that submitted the Order for trading belongs to.-
FXall QuickTradeQuoteRequestNoLegPassthruFieldsSpotDateThe Spot Date of all requirements within this leg.-
FXall QuickTradeQuoteRequestNoAllocPassthruFieldsTakerCustomA field for custom-use by the Taker.-
FXall QuickTradeQuoteRequestNoAllocPassthruFieldsTakerAccountNameThe Taker's name for the account being traded against.-
FXall QuickTradeQuoteRequestNoAllocPassthruFieldsMakerCustomA field for custom-use by the Maker.-
FXall QuickTradeQuoteRequestNoAllocPassthruFieldsSettlementTypeIndicates whether the settlement instructions to be used for this trade are "Standard" or "Special" .-
FXall QuickTradeQuoteNoBodyPassthruFieldsMakerOrderCustomA field for custom-use by the Maker. FXall will store this field on receipt and acceptance by FXall's system and return it to the Maker every subsequent time the DefaultCOrder is sent to the Maker.-
FXall QuickTradeQuoteNoLegPassthruFieldsMakerLegCustomA field for custom-use by the Maker. FXall will store this field on receipt and acceptance by FXall's system and return it to the Maker every subsequent time the DefaultCOrder is sent to the Maker.-
FXall QuickTradeNewOrderMultilegNoBodyPassthruFieldsMakerGroupNameThe group handling the order at the Maker-
FXall QuickTradeNewOrderMultilegNoBodyPassthruFieldsTakerGroupNameThe name of the group which the Taker that submitted the Order for trading belongs to.-
FXall QuickTradeNewOrderMultilegNoBodyPassthruFieldsMakerOrderCustomA field for custom-use by the Maker. FXall will store this field on receipt and acceptance by FXall's system and return it to the Maker every subsequent time the DefaultCOrder is sent to the Maker.-
FXall QuickTradeNewOrderMultilegNoLegPassthruFieldsSpotDateThe Spot Date of all requirements within this leg.-
FXall QuickTradeNewOrderMultilegNoLegPassthruFieldsMakerLegCustomA field for custom-use by the Maker. FXall will store this field on receipt and acceptance by FXall's system and return it to the Maker every subsequent time the DefaultCOrder is sent to the Maker.-
FXall QuickTradeNewOrderMultilegNoAllocPassthruFieldsSettlementTypeIndicates whether the settlement instructions to be used for this trade are "Standard" or "Special" .-
FXall QuickTradeExecutionAcknowledgementNoBodyPassthruFieldsMakerGroupNameThe group handling the order at the Maker-
FXall QuickTradeExecutionAcknowledgementNoBodyPassthruFieldsTakerGroupNameThe name of the group which the Taker that submitted the Order for trading belongs to.-
FXall QuickTradeExecutionAcknowledgementNoBodyPassthruFieldsMakerOrderCustomA field for custom-use by the Maker. FXall will store this field on receipt and acceptance by FXall's system and return it to the Maker every subsequent time the DefaultCOrder is sent to the Maker.-
FXall QuickTradeExecutionAcknowledgementNoLegPassthruFieldsSpotDateThe Spot Date of all requirements within this leg.-
FXall QuickTradeExecutionAcknowledgementNoLegPassthruFieldsMakerLegCustomA field for custom-use by the Maker. FXall will store this field on receipt and acceptance by FXall's system and return it to the Maker every subsequent time the DefaultCOrder is sent to the Maker.-
Currenex RFSQuoteRequestNoLegPassthruFieldsPrevClosePxReference rate.Optionally provided by the Currenex GUI user.
Currenex RFSQuoteRequestNoLegPassthruFieldsFixingDateFixing date for NDF, or near leg fixing date for NDF swaps.The Currenex GUI allows the user to submit an 'NDF' request for SPT. This results in a vanilla spot quote request, but with the additional FixingDate field populated which is passed through by MarketFactory.
Currenex RFSQuoteRequestNoLegPassthruFieldsFixingDate2Far leg fixing date for NDF swaps.The Currenex GUI allows the user to submit an 'NDS' request TOD/SPT or TOM/SPT. This results in a vanilla SWP quote request, but with the additional FixingDate2 field populated which is passed through by MarketFactory.
Currenex RFSNewOrderMultilegNoBodyPassthruFieldsMTFMTF MICThis is in addition to the Parties Block  ExecutionVenue, which is populated from another source in the message. Not required and passed through for transparency only.
Currenex RFSExecutionAcknowledgementNoBodyPassthruFieldsMTFMTF MICEchoed here if previously provided in the NewOrderMultileg.
360T_TEXQuoteRequestNoBodyPassthruFieldsRefSpotDateDefines the spot date in the 360T Financial Calendar. This value is always delivered to clarify if both sides have the same definition for a spot - the date is in the form YYYYMMDD.-
360T_TEXQuoteRequestNoBodyPassthruFieldsExpireTimeThe time when this QuoteRequest will expire.-
360T_TEXQuoteRequestNoBodyPassthruFieldsProlongedDealIDFor FX Prolongations: Request ID of prolonged deal.-
360T_TEXQuoteRequestNoBodyPassthruFieldsProlongationNumberProlongation number of request.-
360T_TEXQuoteRequestNoBodyPassthruFieldsSpotRatePrecisionSupported precision for Spot-
360T_TEXQuoteRequestNoBodyPassthruFieldsForwardRatePrecisionSupported precision for Forward-
360T_TEXQuoteRequestNoBodyPassthruFieldsForwardPointsPrecisionSupported precision for Forward points-
360T_TEXQuoteRequestNoLegPassthruFieldsMaturityDateDefines the Fixing Date, for an NDF and NDS. For NDS defines the near leg Fixing Date.Delivered as a passthru field in the scenario that the near leg of NDS is Spot or pre-Spot.
360T_TEXQuoteRequestNoLegPassthruFieldsLegMaturityDateRepresents the Fixing Date for Blocktrade NDF legs. Delivered as a passthru field in the scenario that the near leg of NDB is Spot or pre-Spot.
360T_TEXNewOrderMultilegNoBodyPassthruFieldsTrdRegPublicationReason-

360T defines the following values in their API which are NOT used, but captured here as a precaution:

  • NoBookOrderDueToAverageSpreadPrice - No preceding order in book as transaction price set within average spread of a liquid instrument.
  • NoBookOrderDueToRefPrice - No preceding order in book as transaction price depends on system-set reference price for an illiquid instrument.
  • NoBookOrderDueToOtherConditions - No preceding order in book as transaction price is for transaction subject to conditions other than current market price.
  • NoPublicPriceDueToRefPrice - No public price for preceding order as public reference price was used for matching orders.
360T_TEXNewOrderMultilegNoLegPassthruFieldsMaturityDateDefines the Fixing Date, for an NDF and NDS. For NDS defines the near leg Fixing Date.Delivered as a passthru field in the scenario that the near leg of NDS is Spot or pre-Spot.
360T_TEXNewOrderMultilegNoLegPassthruFieldsLegMaturityDateRepresents the Fixing Date for Blocktrade NDF legs. Delivered as a passthru field in the scenario that the near leg of NDB is Spot or pre-Spot.