Edgewater supports FullAmount and Sweepable market data. Please contact Market Factory support to set up the sessions as required.

FullAmount sessions must subscribe with MDBookType=OrderDepth (Non Aggregated).

Sweepable sessions can either have MDBookType=OrderDepth (Non Aggregated) or MDBookType=PriceDepth (Aggregated).

For PriceDepth subscriptions, this venue associates the MDEntryID with a given price level - not the price.

As such, an individual ID will have a much longer lifetime than the subscriber may otherwise expect.

For example, an ID associated with the Top of Book Bid will only be deleted in the unlikely scenario that Bid liquidity should be completely removed for that instrument.

It should be noted that some Edgewater instruments may be subject to calendar issues. These will be reported by Whisperer by means of ErrorReport messages.

Issues may occur when:

• Instruments no longer supported by Edgewater may still be published as available, but with value date calendar updates disabled. E.g. AUDSGD, GBPPLN, GBPSGD, SGDJPY.
• Transient calendar issues may affect individual instruments. 

Please contact Support for further information.

LastSpotRate or LegLastForwardPoints are not available for FWD and NDF.