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
ExecutionAck-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 QuickTradeQuoteRequestNoBodyPassthruFieldsTruncationOrder

Indicates whether or not contra-currency amounts are truncated instead of rounded. Valid values:

  • 'Y' - Truncated.
  • 'N' - Rounded.
-

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 QuickTradeNewOrderMultilegNoBodyPassthruFieldsTruncationOrder

Indicates whether or not contra-currency amounts are truncated instead of rounded. Valid values:

  • 'Y' - Truncated.
  • 'N' - Rounded.
-

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 QuickTradeExecutionAckNoBodyPassthruFieldsMakerGroupNameThe group handling the order at the Maker-

FXall QuickTradeExecutionAckNoBodyPassthruFieldsTakerGroupNameThe name of the group which the Taker that submitted the Order for trading belongs to.-

FXall QuickTradeExecutionAckNoBodyPassthruFieldsMakerOrderCustomA 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 QuickTradeExecutionAckNoBodyPassthruFieldsTruncationOrder

Indicates whether or not contra-currency amounts are truncated instead of rounded. Valid values:

  • 'Y' - Truncated.
  • 'N' - Rounded.
-

FXall QuickTradeExecutionAckNoLegPassthruFieldsSpotDateThe Spot Date of all requirements within this leg.-

FXall QuickTradeExecutionAckNoLegPassthruFieldsMakerLegCustomA 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 RFSExecutionAckNoBodyPassthruFieldsMTFMTF 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.

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsBloombergSEFIDBloomberg SEF ID (Requirement for SEF)RFS, Batch

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsSEFLiquidityTakerLEILegal Entity Identifier (LEI) of the client who initiated this tradeRFS, Batch

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsTradeDateIndication of trade date expressed in YYYYMMDD format.RFS, Batch

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsFXPVID4Counterparty client identifier as defined by Identifier 4 in Bloomberg function FXPV.RFS, Batch

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsFXPVID3Identify specific message originator. Unique Bloomberg Identifier of client (read from user profile identifier 3 in Bloomberg function FXPV).RFS, Batch

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsExecutionVenueLEI

Execution Venue LEI Supported values:

  • “549300ROEJDDAXM6LU05” = Bloomberg Trading Facility Limited (BMTF)
  • “254900QBKK4WBSO3GE51” = Bloomberg Trading Facility Europe (BTFE)
RFS, Batch

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsTakerFirmNameLiquidity Taker Firm NameRFS

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsTakerUUIDCounterparty Client Taker UUID as known on Bloomberg.RFS

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsTakerContactNameLiquidity Taker Trader NameRFS

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsMakerFirmNameLiquidity Maker Firm NameRFS

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsSymbolCcyRefIDIdentifier used to specify an individual symbol/currency combination within this quote request.Batch

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsSideThe side for the net amount for the entire block. If the net amount is ZERO, can be set to either Buy or Sell.Batch

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsOrderQtyThe net amount for the entire Symbol block, expressed in terms of the dealt Currency.Batch

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsReferenceSpotRateReference SPOT rate as entered by the Counterparty Client Taker on Bloomberg {FXBM} for currency pair set in Symbol.Batch

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsAssetClass

The broad asset category for assessing risk exposure. Supported values:

  • 2 = Currency
  • 5 = Commodity (for Precious Metals)
Batch

Bloomberg_FXGOQuoteRequestNoBodyPassthruFieldsReportingEntity

Supported values:

  • 1 = Liquidity Maker
  • 2 = Liquidity Taker (Requirement for SEF)
Batch, Deprecated in favour of Parties block.

Bloomberg_FXGOQuoteRequestNoLegPassthruFieldsCCY2SplitSettlDateFor BRL split settlement requests this tag represents the value date for CCY2.RFS

Bloomberg_FXGOQuoteRequestNoLegPassthruFieldsCCY2SplitSettlTypeFor BRL split settlement request, this tag will specify the tenor for CCY2.RFS

Bloomberg_FXGOQuoteRequestNoLegPassthruFieldsLegRefIDBloomberg generated unique leg reference identifier. Used to specify an individual leg.Batch

Bloomberg_FXGOQuoteRequestNoLegPassthruFieldsLegISINProduct

Supported values:

  • “NDF”
  • “Forward”
Batch

Bloomberg_FXGOQuoteRequestNoAllocPassthruFieldsLiquidityTakerAccountLEILiquidity Taker Account LEIRFS

Bloomberg_FXGOQuoteNoLegPassthruFieldsCCY2SplitSettlDateFor BRL split settlement requests this tag represents the value date for CCY2.RFS

Bloomberg_FXGOQuoteNoLegPassthruFieldsCCY2SplitSettlTypeFor BRL split settlement request, this tag will specify the tenor for CCY2.RFS

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsBloombergSEFIDBloomberg SEF ID (Requirement for SEF)RFS, Batch

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsSEFLiquidityTakerLEILegal Entity Identifier (LEI) of the client who initiated this tradeRFS, Batch

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsTradeDateIndication of trade date expressed in YYYYMMDD format.RFS, Batch

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsFXPVID4Counterparty client identifier as defined by Identifier 4 in Bloomberg function FXPV.RFS, Batch

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsFXPVID3Identify specific message originator. Unique Bloomberg Identifier of client (read from user profile identifier 3 in Bloomberg function FXPV).RFS, Batch

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsExecutionVenueLEI

Execution Venue LEI Supported values:

  • “549300ROEJDDAXM6LU05” = Bloomberg Trading Facility Limited (BMTF)
  • “254900QBKK4WBSO3GE51” = Bloomberg Trading Facility Europe (BTFE)
RFS, Batch

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsTakerFirmNameLiquidity Taker Firm NameRFS

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsTakerUUIDCounterparty Client Taker UUID as known on Bloomberg.RFS

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsTakerContactNameLiquidity Taker Trader NameRFS

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsMakerFirmNameLiquidity Maker Firm NameRFS

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsTrdRegTimestampPopulated for MTF (BMTF & BTFE) Regulatory Trades. Traded / Regulatory timestamp value. Use to store time information required by government regulators or self regulatory organizations. Time the transaction was entered in UTC. For example: YYYYMMDD–HH:MM:SS.sssRFS, Batch – same as TransactTime

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsSymbolCcyRefIDIdentifer used to specify an individual symbol/currency combination within this quote request.Batch

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsSideThe side for the net amount for the entire block. If the net amount is ZERO, can be set to either Buy or Sell.Batch

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsOrderQtyThe net amount for the entire Symbol block, expressed in terms of the dealt Currency.Batch

Bloomberg_FXGONewOrderMultilegNoBodyPassthruFieldsListIDDaily unique identifier for Batch Order. Generated by Bloomberg.Batch. Same as ClOrdID.

Bloomberg_FXGONewOrderMultilegNoLegPassthruFieldsNearLegForwardPointsForward points sent in unscaled convention to eliminate scaling factor mismatches when applying the points to the spot rate. For example, if the forward points for EURUSD using market conventions, for any given tenor, is 8 then Bloomberg publish 0.0008 instead of 8.RFS

Bloomberg_FXGONewOrderMultilegNoLegPassthruFieldsFarLegForwardPointsForward points sent in unscaled convention to eliminate scaling factor mismatches when applying the points to the spot rate. For example, if the forward points for EURUSD using market conventions, for any given tenor, is 8 then Bloomberg publish 0.0008 instead of 8.RFS

Bloomberg_FXGONewOrderMultilegNoLegPassthruFieldsLegForwardPointsForward points sent in unscaled convention to eliminate scaling factor mismatches when applying the points to the spot rate. For example, if the forward points for EURUSD using market conventions, for any given tenor, is 8 then Bloomberg publish 0.0008 instead of 8.Batch

Bloomberg_FXGONewOrderMultilegNoLegPassthruFieldsMidRateNearMid Market Rate for Forward/NDF and near leg of FX Swap (all-in)RFS

Bloomberg_FXGONewOrderMultilegNoLegPassthruFieldsMidRateFarMid Market Rate for far leg of FX Swap (all-in)RFS

Bloomberg_FXGONewOrderMultilegNoLegPassthruFieldsLegMidRateMid Market Rate for Forward/NDFBatch

Bloomberg_FXGONewOrderMultilegNoLegPassthruFieldsCCY2SplitSettlDateFor BRL split settlement requests this tag represents the value date for CCY2.RFS

Bloomberg_FXGONewOrderMultilegNoLegPassthruFieldsCCY2SplitSettlTypeFor BRL split settlement request, this tag will specify the tenor for CCY2.RFS

Bloomberg_FXGONewOrderMultilegNoLegPassthruFieldsLegRefIDBloomberg generated unique leg reference identifier. Used to specify an individual leg.Batch

Bloomberg_FXGONewOrderMultilegNoLegPassthruFieldsLegISINProduct

Supported values:

  • “NDF”
  • “Forward”
Batch

Bloomberg_FXGONewOrderMultilegNoLegPassthruFieldsMidSpotRateMid Market Spot Rate.Batch

Bloomberg_FXGONewOrderMultilegNoAllocPassthruFieldsLiquidityTakerAccountLEILiquidity Taker Account LEIRFS

Bloomberg_FXGOExecutionReportNoBodyPassthruFieldsFXPVID4Counterparty client identifier as defined by Identifier 4 in Bloomberg function FXPV.RFS, ESP, Batch

Bloomberg_FXGOExecutionReportNoBodyPassthruFieldsSourceIdentifies the system source. This tag will be a string i.e. “Tradebook”RFS, ESP

Bloomberg_FXGOExecutionReportNoBodyPassthruFieldsCounterpartyReferenceThe free text identification of a counterparty who is not a member of the exchange.RFS, ESP

Bloomberg_FXGOExecutionReportNoBodyPassthruFieldsCLExecIDClient Execution id – A corresponding execution report from another system to send the original execution id sent. Execution report id for an FX trade done for a previous execution report sent to BLP.RFS, ESP

Bloomberg_FXGOExecutionAckNoBodyPassthruFieldsOrderSubmissionTimeOrder submission time (Time the order was sent by the submitter).RFS, ESP – Same as TransactTime on originating NewOrderMultileg.

Bloomberg_FXGOExecutionAckNoBodyPassthruFieldsListIDDaily unique identifier for Batch Order. Gererated by Bloomberg.Batch. Same as ClOrdID

Bloomberg_FXGOExecutionAckNoBodyPassthruFieldsQuoteIDEcho of QuoteID(117) in MassQuote(35=i).Batch

Fidessa_OrdersNewOrderMultilegNoBodyPassthruFieldsPositionEffect

Whether a trade would result in an opening or closing position. Supported values: 

  • 'O' = Open
  • 'C' = Closed
Closing position is an instruction to close as much as the current position as possible, not that it is the last order of the session.

Fidessa_OrdersMultilegOrderCancelReplaceRequestNoBodyPassthruFieldsPositionEffect

Whether a trade would result in an opening or closing position. Supported values: 

  • 'O' = Open
  • 'C' = Closed
Closing position is an instruction to close as much as the current position as possible, not that it is the last order of the session.

Fidessa_OrdersExecutionReportNoBodyPassthruFieldsPositionEffect

Whether a trade would result in an opening or closing position. Supported values: 

  • 'O' = Open
  • 'C' = Closed
Echo back of the Position Effect on the Order request

Fidessa_OrdersExecutionReportNoBodyPassthruFieldsTrdMatchIDExecution ID assigned to a trade by an exchange or executing systemThis is an ID that is assigned for the trade. Both the sides of the trade will have the same trdMatchID allocated by the venue however each side will have a different ExecID.

Fidessa_OrdersExecutionReportNoBodyPassthruFieldsTradeReportingIndicator

Used between parties to convey trade reporting status. Supported values: 

  • 0 = Trade has not (yet) been reported. Depending on the regulatory regime the trade is reportable and the recipient may be responsible for reporting.
  • 6 = Trade has been or will be reported. Depending on the regulatory regime the recipient is not responsible for reporting.
-

Fidessa_OrdersExecutionReportNoBodyPassthruFieldsLastLiquidityInd

Indicates whether the trade provided or removed liquidity from the market. Only applicable to trade notifications. Supported values: 

  • 1 Added Liquidity
  • 2 Removed Liquidity
  • 3 Liquidity Routed Out
  • 4 Auction
  • 5 Unknown
-

Fidessa_OrdersExecutionReportNoBodyPassthruFieldsExchLastLiquidityIndNative exchange liquidity indicator value. Only returned on direct exchange flow, where supported by the exchange-

Fidessa_OrdersExecutionReportNoBodyPassthruFieldsManualOrderIndicator

Echo back on the tag is used for clients to disclose if the request was instigated by a trader or an automated system:

  • ‘Y’ = Request instigated by a trader
  • ‘N’ = Request instigated by an automated system
-

cboefx_fixproxy : TakerExecutionReportNoLegPassthruFields

UTI

Unique Trade Identifier.
Only sent for NDFs on Cboe SEF.		-

cboefx_fixproxy : TakerExecutionReportNoBodyPassthruFieldsExecBroker

Indicates if the Order is aggressed. Supported values: 

  • Y - Indicates aggressive trade
  • N - Indicates passive trade
  • HSFX - otherwise
-

cboefx_fixproxy : TakerExecutionReportNoBodyPassthruFieldsSettlCurrAmt

Equivalent amount in USD

-

cboefx_fixproxy : TakerExecutionReportNoBodyPassthruFields

SettlCurrency

Always in USD-

cboefx_fixproxy : MakerQuoteRequestNoBodyPassthruFieldsMinQtyMinimum deal quantity for order size.Only for NDF

cboefx_fixproxy : MakerQuoteRequestNoBodyPassthruFields

MinPriceIncrement

Minimum tick size.Only for NDF

cboefx_fixproxy : MakerMassQuoteNoBodyPassthruFieldsAccount-Only for NDF

cboefx_fixproxy : Maker

NewOrderMultileg

NoBodyPassthruFields

MaxShow

The order amount to show on market data. Market data will continue to show this amount as trades lower the outstanding order quantity until the order quantity is less than this value. The default show amount is the value in OrderQty. Value is in the same currency as tag 38. The minimum value of tag 210 depends on account configuration with the default being 1 million. If the value for tag 38 is greater than the minimum configured value, then the value in OrderQty must be >= the value for MaxShow. Hidden orders (value of 0) are possible depending on account configuration. Hidden orders are restricted by a minimum value of 250,000 for tag 38. Fully hidden orders are unsupported for NDFs.-

cboefx_fixproxy : MakerNewOrderMultilegNoBodyPassthruFields

MinQty

Minimum trade quantity in the same currency as OrderQty. Must be at most the quantity specified in OrderQty. If the OrderQty drops below this quantity due to a fill, the order will be automatically canceled. For NDFs traded on Cboe SEF, this must contain a valid value.-

cboefx_fixproxy : MakerNewOrderMultilegNoBodyPassthruFields

VenueClOrdID

For trades not directly initiated by the client (manual adjustment trades, etc) the field may be set to 0. For trades as a result from a quote, this field will be tag117 + L
+ tag7225 + Side		-

cboefx_fixproxy : MakerNewOrderMultilegNoBodyPassthruFields

SettlCurrAmt

Equivalent amount in USD-

cboefx_fixproxy : MakerNewOrderMultilegNoBodyPassthruFields

SettlCurrency

Always in USD-

cboefx_fixproxy : MakerNewOrderMultileg

NoLegPassthruFields

OrderQty

-Order Qty of the Maker Quote

cboefx_fixproxy : MakerNewOrderMultileg

NoLegPassthruFields

OrderQty2

Quantity in the opposite currency of order quantity.-

cboefx_fixproxy : MakerNewOrderMultileg

NoLegPassthruFields

CumQty

Total quantity filled in the order quantity currency.-

cboefx_fixproxy : MakerNewOrderMultileg

NoLegPassthruFields

LeavesQty

It is OrderQty-CumQty-

cboefx_fixproxy : MakerNewOrderMultileg

NoLegPassthruFields

AvgPx

Avg executed price-

cboefx_fixproxy : MakerExecutionReport

NoLegPassthruFields

UTI

Unique Trade Identifier.
Up to 40 characters in length.
Only sent for NDFs on Cboe SEF.		Only specified for NDF's

cboefx_fixproxy : MakerExecutionAck

NoLegPassthruFields

OrderQty2

Quantity in the opposite currency of order quantity.-

cboefx_fixproxy : MakerExecutionAck

NoLegPassthruFields

CumQty

Total quantity filled in the order quantity currency.-

cboefx_fixproxy : MakerExecutionAck

NoLegPassthruFields

LeavesQty

It is OrderQty-CumQty-

cboefx_fixproxy : FullAmount TakerExecutionReportNoLegPassthruFields

UTI

Unique Trade Identifier.
Only sent for NDFs on Cboe SEF.		-

cboefx_fixproxy : FullAmount TakerExecutionReportNoBodyPassthruFieldsExecBroker

Indicates if the Order is aggressed. Supported values: 

  • Y - Indicates aggressive trade
  • N - Indicates passive trade
  • HSFX - otherwise
-

cboefx_fixproxy : FullAmount TakerExecutionReportNoBodyPassthruFieldsSettlCurrAmt

Equivalent amount in USD

-

cboefx_fixproxy : FullAmount TakerExecutionReportNoBodyPassthruFields

SettlCurrency

Always in USD-

cboefx_fixproxy : FullAmount MakerQuoteRequestNoBodyPassthruFieldsBidSize/OfferSizeAvalable MDEntries-

cboefx_fixproxy : FullAmount MakerNewOrderMultilegNoLegPassthruFields

UTI

Unique Trade Identifier.
Up to 40 characters in length.
Only sent for NDFs on Cboe SEF.		Only specified for NDF's

cboefx_fixproxy : FullAmount MakerNewOrderMultilegNoBodyPassthruFields

SolicitedFlag

Y’ when an order is routed to the market maker.
Only present if the order has been routed.		-

cboefx_fixproxy : FullAmount MakerNewOrderMultilegNoBodyPassthruFields

ConfirmDelay

Delay in milliseconds between the client selecting
a quote and confirming the order. This tag is only
supplied if Tag 6999=1 in QuoteRequest message.		-

cboefx_fixproxy : FullAmount MakerExecutionAckNoLegPassthruFieldsUTIUnique Trade Identifier.
Up to 40 characters in length.
Only sent for NDFs on Cboe SEF.		Only specified for NDF's

cboefx_fixproxy : CboeCentral TakerExecutionReportNoLegPassthruFields

UTI

Unique Trade Identifier.
Only sent for NDFs on Cboe SEF.		-

cboefx_fixproxy : CboeCentral TakerExecutionReportNoBodyPassthruFieldsExecBroker

Indicates if the Order is aggressed. Supported values: 

  • Y - Indicates aggressive trade
  • N - Indicates passive trade
  • HSFX - otherwise
-

cboefx_fixproxy : CboeCentral TakerExecutionReportNoBodyPassthruFieldsSettlCurrAmt

Equivalent amount in USD

-

cboefx_fixproxy : CboeCentral TakerExecutionReportNoBodyPassthruFields

SettlCurrency

Always in USD-

Integral_ESP_MakerMassQuoteNoBodyPassthruFieldsBookType

Allowed Values:

  • FullAmount
  • Sweepable
-

Fastmatch_AutoExSecurityStatusNoBodyPassthruFieldsInstrAttribType_X
X = Code to represent the type of instrument attribute Fixtag 871.

Fastmatch_AutoExMarketDataRequestNoBodyPassthruFieldsClientIDThird-party identifier to
indicate a market data
stream intended for this
third party

Optional Field:




Fastmatch_AutoExMarketDataIncrementalRefreshNoMDEntries.NoEntryPassthruFieldsQuoteQualifierXThe expected maximum latency of response
"0To1milliseconds" = 0 to 1 milliseconds
"0To30Milliseconds" = 0 to 30 milliseconds
"0To100Milliseconds" = 0 to 100 milliseconds (default)
"0To500Milliseconds" = 0 to 500 milliseconds
"0To3000Milliseconds" = from 0 to 3000 milliseconds
"ReservedForFurtherUse" = Reserved for further use
"YourOwnQuoteOrder" = Your Own Quote/Order
"AddLiquidityOnlyOrder" = Add Liquidity Only Order
"ExtendedIOCOrFOKOrder" = “Extended” IOC or FOK order

Optional Field:




Fastmatch_AutoExMarketDataIncrementalRefreshNoMDEntries.NoEntryPassthruFieldsVolatilityCurrentBPS

Current volatility in basis points

Optional Field

Fastmatch_AutoExMarketDataIncrementalRefreshNoMDEntries.NoEntryPassthruFieldsVolatilityAverageBPSAverage volatility in basis pointsOptional Field

Fastmatch_AutoExMarketDataIncrementalRefreshNoMDEntries.NoEntryPassthruFieldsVolatilityLevelCurrent volatility level on a scale from 1 to 6, where 1 – lowest as
compared to average, 3 – average, 6 – highest as compared to average.		Optional Field

Fastmatch_AutoExMarketDataIncrementalRefreshNoMDEntries.NoEntryPassthruFieldsSettlDateThe Settlement date of the trade represented in YYYYMMDD.Optional Field

Fastmatch_AutoExMarketDataIncrementalRefreshNoMDEntries.NoEntryPassthruFieldsMaturityDateNDF Fixing Date represented in YYYYMMDD.Optional Field

Fastmatch_AutoExMarketDataIncrementalRefreshNoMDEntries.NoEntryPassthruFieldsTradeCondition

This will be populated only on trades (Tag 269=2) where a Quote
is on one side of the trade. The tag will not be populated when the
trade is between orders

Values:

I = Traded with Last Look

Optional Field

Fastmatch_AutoExNewOrderMultilegNoBodyPassthruFieldsMaxDelay

The expected maximum latency of response
 "0To1milliseconds" =  0 to 1 milliseconds :
"0To30Milliseconds" :  0 to 30 milliseconds: 
"0To100Milliseconds" = 0 to 100 milliseconds (default): 
"0To500Milliseconds"= 0 to 500 milliseconds: 
"0To3000Milliseconds" = from 0 to 3000 milliseconds

Optional Field

Fastmatch_AutoExNewOrderMultilegNoBodyPassthruFieldsNoOrdersY = This order will not
interact with other orders,
only quotes.
N = default.		Optional Field

Fastmatch_AutoExMultilegOrderCancelReplaceRequestNoBodyPassthruFieldsMaxDelayThe expected maximum latency of response
 "0To1milliseconds" =  0 to 1 milliseconds :
"0To30Milliseconds" :  0 to 30 milliseconds: 
"0To100Milliseconds" = 0 to 100 milliseconds (default): 
"0To500Milliseconds"= 0 to 500 milliseconds: 
"0To3000Milliseconds" = from 0 to 3000 milliseconds		Optional Field

Fastmatch_AutoExExecutionReportNoBodyPassthruFieldsLiquidityIndicatorAddedVsAutoEx
AddedVsStream
RemovedVsAutoEx
RemovedVsStream
RoutedOut


Fastmatch_AutoExExecutionReportNoBodyPassthruFieldsRegulatoryTradeIDGlobally Unique Trade
Identifier (UTI) for NDFs
under RMO


Fastmatch_AutoExExecutionReportNoBodyPassthruFieldsBidPxBid in the market at the time
of execution


Fastmatch_AutoExExecutionReportNoBodyPassthruFieldsOfferPxOffer in the market at the
price of execution


Fastmatch_AutoExExecutionReportNoBodyPassthruFieldsLastMktPxLast price in the market
truncated to 5 decimals


Fastmatch_AutoExExecutionReportNoBodyPassthruFieldsCommissionCommission in USD that
ECN will collect for a fill or
partial fill (only for clients that
receive a bill)


bnpparibas_efx_streamingNewOrderMultiLegNoBodyPassthruFieldsClientIDOptional field to pass party identifier for MIFID reporting.


bnpparibas_efx_streamingNewOrderMultiLegNoBodyPassthruFieldsChannelOverrideOptional field to provide booking scheme info agreed between BNP and client.


24_ExchangeQuoteRequestNoBodyPassthruFieldsMarketDepthoptional, only 0 (full book) and 1 (top of book) are supported, defaults to full book


24_ExchangeMassQuoteNoQuoteSets.NoQuoteEntries.NoEntryPassthruFieldsMDEntryDatedate of Market Data Entry, e.g. 20161021


24_ExchangeNewOrderMultilegNoBodyPassthruFieldsSubAccountIdnot currently used by 24 Exchange