Pricing

Supported Book Types

The Market Data feed will supports subscriptions to PriceDepth and TradeTicker MDBookTypes.

TradeTicker

By default LMAX trade notifications are delivered with a 60 second delay, at no charge. The delay may be removed on a per-session basis, for an additional LMAX fee, if the client wishes.

In the event where a trade is cancelled/busted on the LMAX Exchange, LMAX will publish a MarketDataIncrementalRefresh message with MDUpdateAction=Delete where the MDEntryID references the original trade now being cancelled.

Orders

Supported Products, OrderTypes and TimeInForce

Varies by region and session. LMAX will publish the security list on the FIX session after logon, please see attached CSV-s below for reference. MF will send the client a SecurityStatus message for each FX currency pair from this list. The client will request market data and send orders.

Product	Order types	TimeInForce
SPT	Market, Limit, Iceberg, Dark Limit	IOC, FOK, DAY

Iceberg Orders

Iceberg orders are supported on both LMAX Echange and LMAX Interbank.

Iceberg orders are single orders where only a portion of the order, defined by MaxShow, is processed and displayed by the exchange until fully executed.

Iceberg orders are placed by sending a NewOrderMultileg and including a non-zero value in the MaxShow tag. The MaxShow value will specify the Quantity that is to be visible to the market.

Iceberg orders are supported for NewOrderMultileg messages where OrdType=Limit and TimeInForce=DAY only. No other combination of OrdType and TimeInForce in a NewOrderMultileg message is currently supported by LMAX to place Iceberg orders.

Iceberg orders are not supported in MultilegOrderCancelReplaceRequest and MassQuote (Maker) messages.

Key features of LMAX Iceberg Orders:

A minimum ratio of 1:50 is imposed for visible Quantity to Total Quantity of an order.
When the visible Quantity is fully filled, the next available peak will be added to the order book on price/time basis, using the time the new peak is added.
ExecutionReports for Iceberg orders behave in the same way as ExecutionReports for non-Iceberg orders, with the addition of the MaxShow tag. The breakdown between the current visible Quantity and hidden Quantity will not be shown.
A new ExecutionReport is not sent when a new peak is added to the order book.
The visible Quantity is disseminated on the MarketData stream, not the Total Quantity.
Orders without the MaxShow tag will be treated as a normal Limit order.

Dark Limit Orders

Dark Limit orders are only supported on LMAX Interbank.

Dark orders are orders that are processed by the exchange that do not appear on the Market Data stream.

Dark orders are placed by including a zero value in the MaxShow tag in the order entry message.

Dark orders are supported for NewOrderMultileg and MultilegOrderCancelReplaceRequest messages, where OrdType=Limit and TimeInForce=DAY only.

Key features of LMAX Dark Orders:

ExecutionReports for Dark orders behave in the same way as ExecutionReports for non-Dark orders, with the addition of the MaxShow tag.
ExecutionReports for MassQuotes made up of Dark and non-Dark orders will include the MaxShow tag for executions against Dark Orders only. MaxShow will be omitted on ExecutionReports for executions against non-Dark orders.
Dark orders will not be disseminated on the MarketData stream.
Orders without the MaxShow tag will be treated as a normal Limit order.

Trade Sizes

Minimum Trade Size

The option to control trade sizes, using the LMAX Minimum Trade Size (MTS) functionality, is available through two methods, outlined below. The functionality is to ensure orders match, in full or partial, in a size equal to or larger than a pre-set minimum trade size.

Options to implement MTS:

The client can state their MTS quantity in HasExtendedOrderFields[1].MinQty on NewOrderMultileg messages. The value will determine the MTS quantity of the order and will set the order to be filled in sizes equal to or larger than the stated amount.
LMAX can enforce a MTS quantity on a FIX order session, on a per instrument basis. This will treat each order as having a pre-set MTS. If the order Quantity is below the pre-set MTS quantity, the order will be rejected. The client will not be required to send MinQty on order messages. If the client wishes to send MinQty, in addition to MTS being enforced by LMAX, and the MTS quantity set by the client is less than the LMAX pre-set MTS, it will be rejected. If the MTS set by the client is higher than the LMAX pre-set MTS, the client’s MTS will be used.

For Takers, only Limit/Market IOC and FOK orders are supported with MTS; orders with a TimeInForce of DAY or GTC will be rejected.

MTS is not supported for Makers.

Full Amount

Full Amount trading, where orders are executed in whole, without partial fills, and against only one counterparty is available on LMAX through two methods, outlined below.

Options to implement Full Amount:

The client can utilise the Minimum Trade Size functionality outlined above, by sending a MinQty value equal to their Order Quantity. This will determine the order as Full Amount and will set the order to be filled in full against a single counterparty.
LMAX can enforce a FIX session to be Full Amount trading only. The client will not be required to send MinQty on order messages.

For Takers, only Limit/Market IOC and FOK orders are supported for FA orders; orders with a Time in Force of DAY or GTC will be rejected.

For Makers, DAY and GTC orders are supported.

Maker ESP

Maker ESP is supported by LMAX with no Last-Look.

Product	Order types	TimeInForce
SPT	Previously Quoted	n/a

Supported instruments vary by region and session.

MF will send the client a synthetic spot quote request for each, as per the Instruments lists below (cryptocurrencies on LMAX Digital are also included in the FX currency pair list). The client will send MassQuotes in response, and LMAX will respond with fills.

MassQuote

Publication

A subsequent MassQuote, if accepted, will replace the previous MassQuote and will cancel all the unmatched liquidity associated with the replaced MassQuote.

If an order within the new MassQuote equals the price and size of an unmatched order within the previous MassQuote, the previous order will keep priority on the order book and will adopt the new QuoteID.

A MassQuote supports a maximum of 6 quote entries for each side of the order book. A MassQuote will be rejected if the number of quote entries is greater than 6 on either/both side(s).

In order to withdraw a previous MassQuote, the client may either send an explicit QuoteCancel or send an “empty” MassQuote (with no prices and quantities).

In the event that a MassQuote is sent to replace a previous MassQuote, but is rejected (e.g. due to incorrect IDs, incorrect formatting, incorrect levels of depth), the initial MassQuote will still be active on the LMAX platform. It is advised that if a MassQuote is rejected, for any reason, and there is an existing MassQuote on the platform, a QuoteCancel or “empty” MassQuote is sent to remove the existing MassQuote.

Matching

Once the MassQuote message is submitted to a market, the individual Quote Entries are treated as single orders. The trades generated for each of the Quote Entries in the MassQuote order will be reported with an ExecutionReport Message.

The MassQuote is uniquely identified in the ExecutionReport by the pairing of Price and ClOrdID fields:

MassQuote and QuoteCancel messages contain the QuoteID field that is used to uniquely identify the message. This field will be mapped to the corresponding ExecutionReport as ClOrdID (I.e. the QuoteEntryID is not used).
The Price field contains the price of a quote entry reported by this execution.

Two types of MassQuote matches are possible:

Aggressive – when the MassQuote matches retail orders immediately;
Passive – MassQuote is applied to a market and waiting to be matched on the Order Book.

During trading, a given MassQuote may result in a combination of the two, e.g. The following ExecutionReports in sequence:

Aggressive full match for 1st price level submitted in the MassQuote.
Aggressive partial match against 2nd price level submitted in the MassQuote.
Passive match that fully fills the 2nd price level submitted in the MassQuote.

Venue Checks

Throttling

In order to manage the number of messages that the LMAX Platform can process at any given point, a Message Rate Threshold is imposed on each FIX session that acts as a limit to the number of messages the FIX session can send to LMAX in one second. If the Message Rate Threshold is breached, LMAX will force the session to disconnect by sending a Logout with a “Number of messages exceeds the threshold” message. LMAX will block any subsequent Logon attempts for 15 seconds. Message Rate Thresholds are determined by LMAX. They are based on the number of instruments and levels that each FIX session will price.

Volatility Bands

In order to protect Clients from pricing errors Volatility Bands are set per order book on LMAX. If the price difference between the previous accepted price and the new price is outside the volatility limit, LMAX will reject the order with an OUTSIDE_VOLATILITY_BAND message.

LMAX will only accept a new price if it is within the volatility limit, or if LMAX Market Operations manually increase the volatility limit to allow the new price to be accepted.

For Makers, If the Maker has not yet input an order during that Trading Day, the price will be compared to the last price accepted on the order book by other Makers.

Regulatory fields

Please refer to or Regulatory Fields for the full Enterprise table across all venues.

PartyIDs

Please refer to Whisperer Enterprise - PartyIDs for the full Enterprise table across all venues.

Instruments

LMAX-Exchange-TY3-Instruments.csv

LMAX-Exchange-NY4-Instruments.csv

LMAX-Exchange-LD4-Instruments.csv

LMAX-Exchange-Interbank-Instruments.csv

LMAX-Digital-Instruments.csv