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New APIs

  • natwest_markets (ESP) - UAT only
  • ubs_fx2b (ESP) - UAT only

Other Changes

  • VEN-1656 - cboefx_bookfeed, cboefx_fixproxy gracefully handle missing tenor
  • PHNX-2891 - more flexible CPU core allocation, to allow isolated cores to be shared.

New APIs

  • baml (ESP)  - supports both BAMLX and InstinctFX

Other Changes

  • VEN-649 - bloomberg_fxgo_maker btbs upgrade

New APIs

  • nomura_esp

Other Changes

  • VEN-1632 - creditsuisse_ser: support OrderOriginationTrader.
  • VEN-1670 - cme_ilink2, ebs_market_ilink3_sbe, ebs_market_mdp3_sbe: Amend reconnection params to avoid automated port closure.
  • VEN-1682 - hsbc_fx_mds : Pass venue settldate to client

New APIs

  • saxo_direct (ESP)

Other Changes

  • VEN-1429 - bnpparibas_efx_streaming- Sweepable vs FullAmount changes
  • VEN-1669 - t360_gtx - bug fix marketable tag missing from dictionary

New APIs

  • standardchartered_s2bx (ESP)
  • cme_ilink2

Other Changes

  • VEN-1137 - PreviouslyQuoted Orders should have TIF=IOC/FOK only
  • VEN-1592 - jpmorgan_fx QuoteEntryIDs are not always unique
  • VEN-1653 - CME ApplicationSystem{Name,Version,Vendor} values update 

  • PHNX-2824 - Fix for issue with SBE sinceVersion attribute

  • PHNX-2836 - Fix to replay service

New APIs

  • gsfx (ESP) - Prod-ready

Other Changes

  • VEN-1631 - cboefx_bookfeed - cboefx_fixproxy - Add EOM1 (BMF2) tenor
  • VEN-1617 - ebs_market_mdp3_sbe - better support of test instruments
  • VEN-1614 - ebs_market_mdp3_sbe - support new broken-dated instruments

New APIs

  • barx (ESP) - Prod-ready
  • t360_gtx  - Prod-ready

Venue Changes To Support Previous Schema Release 18656:

UnderlyingQty :  NoUnderlyings group is introduced to the schema to allow clients to specify custom VWAP ladders in their subscriptions. Venues currently supporting "MDEntrySize"  via BodyPassThruField  should use this group.

    • VEN-1446 - Global Validation - NoUnderlyings
    • VEN-1447 - lmax - Allow client to populate NoUnderlyingQty group in MarketData Request
    • VEN-1442 - fastmatch_autoex - Allow client to populate NoUnderlyingQty group
    • VEN-1434 - creditsuisse_ser - Replace MDEntrySize in BodyPassThru with UnderlyingQty group
    • VEN-1432 - jpmorgan_fx - Replace MDEntrySize in BodyPassThru with UnderlyingQty group
    • VEN-1431 - curex_marketdata - Replace MDEntrySize in BodyPassThru with UnderlyingQty group
    • VEN-1430 - cboefx_fixproxy - Replace MDEntrySize in BodyPassThru with NoUnderlyings group
    • VEN-1436 - hsbc_fx_mds - Replace MDEntrySize in BodyPassThru with UnderlyingQty group

Sweepable vs FullAmount:  Clients will now be notified by MF if VWAP is not supported with U2 message containing "QuoteID: VWAP is not supported ..."

    • VEN-1420 - citi_colo - Sweepable vs FullAmount clarification
    • VEN-1419 - hsbc_fx_mds - Sweepable vs FullAmount clarification
    • VEN-1418 - jpmorgan_fx - Sweepable vs FullAmount clarification
    • VEN-1417 - fxspotstream - Sweepable vs FullAmount clarification
    • VEN-1416 - exchange24 - Sweepable vs FullAmount clarification

EndMarkers:  EndMarker messages indicate End of SecurityStatus messages so that the client is given a definitive boundary to the list of supported instruments. This is now available where venue provides a SecurityList.

    • VEN-1445 - EndMarker : ebs_market_mdp3_sbe
    • VEN-1444 - EndMarker : cboefx_bookfeed
    • VEN-1443 - EndMarker : curex_marketdata
    • VEN-1441 - EndMarker : t360_gtx
    • VEN-1440 - EndMarker : fastmatch_autoex
    • VEN-1439 - EndMarker : edgewater_markets

Other Changes

  • VEN-1575    - cboefx_bookfeed - Mkt data messages with MDEntrySize of 0 and unqiue MDEntryID on TradeTicker messages
  • VEN-1572    - Global Validation to check price populated on StopLimit Orders
  • VEN-1410    - Support LinkID to implement schema v18656
  • PHNX-2803 - Send channel ready on each connection.
  • PHNX-2809 - Handle SecurityID not found in snapshot recovery loop.
  • PHNX-2810 - Venue initialise used to be run on gateway Startup, now delayed to Open.
  • PHNX-2806 - Reduce socket buffer size used in replay service with slow consumers

New APIs

  • morganstanleyfx_esp

Other Changes

  • VEN-1387 - Multiplexing supported across all Orders sessions.

SBE Schema Release 18656, backwards compatible to 18655:

  • VEN-32: Schema Sweep and FullAmount Pricing/Trading Analysis
  • VEN-162: Schema FXall QT Batches - OrderBatchId
  • VEN-1050: Schema Schema support for VWAP Orders
  • VEN-615: Schema Need to ensure that all rejects include IsSynthetic
  • VEN-466: Schema Support VWAP/FullAmount MarketDataRequest or ESP QuoteRequest
  • VEN-463: Schema Send "end of security list" message to client
  • VEN-1253: Schema MFSBE: need RegulatoryBodies for MarketData and SecurityStatus messages for EBS
  • VEN-1095: Schema Can LogoutResponse include Text field?
  • VEN-768: Schema MFSBE: xBMF tenors
  • VEN-1194: Schema ebsmarket_ilink3 : efix orders support in schema
  • VEN-617: Schema NoOfSecSizes description is incorrect
  • VEN-1136: Schema LegAvgPx/ Tag20002 description change in Schema
  • VEN-1291: Schema Schema Misspelling: CMEImpliedLiquidty
  • VEN-1383: Schema Schema support for Trade Correction and Trade Cancellations
  • VEN-1384: Schema Clarify purpose of TradeTicker MDBookType
  • VEN-1396: Schema MultilegOrderCancelReplaceRequest ExposureDuration should be millis.
  • VEN-1448: Schema udpate mf-quickfixj-bindings to 18656
  • VEN-1449: Schema cboefx_bookfeed - Add RegulatoryBodies in MDReq and SecStatus messages
  • VEN-1450: Schema ebs_market_mdb3_sbe - BodyPassthruKey SEFRegulated should be migrated to RegulatoryBodies.

New APIs

  • 360T GTX

Other Changes

  • VEN-641:  API  Change code to allow for backwards compatible schema releases.

SBE Schema Release 18655, backwards compatible to 18654 (except for BusinessMessageReject)

Other Changes

  • PHNX-2767:  API  Change code to allow for backwards compatible schema releases.

New APIs

  • t360_tex_maker

Other Changes

  • VEN-1329:  lmax  Receive microsecond timestamps from the venue
  • VEN-1379:  lmax Optionally allow a MarketData subscription to preclude the need for a separate TradeTicker subscription
  • VEN-1380:  cboefx_bookfeed Optionally allow a MarketData subscription to preclude the need for a separate TradeTicker subscription
  • PHNX-2742:  replay  Fix replay queries to allow for client to perform polling to use replay as a drop copy service

New APIs

  • creditsuisse_ser

New APIs

  • bloomberg_fxgo_maker (Batches/ESP)

Other Changes

  • VEN-1301:  lmax_maker Increase preallocated cache sizes
  • VEN-1355: fastmatch_autoex Gateway currently has the target_platform SPOT instead of SPT

New APIs

  • ebs_market_mdp3_sbe (TCP)

Other Changes

  • VEN-1326: ebs_ilink3 Link EBS BusinessMessageReject and U2 sequence number reporting.

New APIs

  • fxall_actrivetrading (FXAll Orderbook)
  • FXSpotStream (ESP)

Other Changes

  • VEN-1249:  ebs_link3:  Full CME conformance achieved.
  • VEN-1317:  jpmorgan_fx  The gateway is certified for Streaming SPOT, FWD and NDF for Sweepable.
  • PHNX-2623: All Remove system calls creating the second latency hump and long tail.

New APIs

  • jpmorgan_fx (ESP)

Other Changes

  • VEN-1248:  cboefx_bookfeed CBOE TradeTicker - change qty from 0.0 to null

New APIs

  • ebs_market_ilink3_sbe

Other Changes

  • VEN-802:  Bloomberg FX<GO> RFS now supports up to date session semantics.
  • VEN-1237:  Fastmatch_AutoEx Rename duplicate NoOrders entry in the FIX dictionary which is a PassThru Field for clients.
  • VEN-247 All AvgPx supported in all ExecutionReport messages
  • VEN-1189 LMAX Pricing - Incrementals now handled correctly in certain edge cases.
  • VEN-1215 edgewater_markets Pricing - Incrementals now handled correctly in certain edge cases.
  • PHNX-2627 All Fix rare socket re-connection errors

New APIs

  • 24 Exchange

Other Changes

  • VEN-1132:  Cboe Do not retain memory cache of cancelled orders.

New APIs

  • Fastmatch AutoEx

Other Changes

  • VEN-727: Multiplexing Support multiple client order connections

New APIs

  • CBOE Central Taker

New APIs

  • BNP Paribas eFX Streaming (ESP)
  • VEN-530: Cboe Merge old individual bookfeed code into a single bookfeed gateway
  • VEN-702:  Cboe Merge old individual order gateway code into FixProxy gateway
  • VEN-1048: Integral Maker AvgPx is required for ExecutionReport message
  • VEN-1064: API Update the FIXT1.1 dictionary to include MarketFactory specific messages
  • VEN-1081: API Change FIX Dictionary for some conditionally required fields
  • VEN-1084: XTX Pending New and New ExecID need to be different

New APIs

  • CBOE Spot Full Amount Taker (ESP)
  • CBOE NDF Full Amount Taker (ESP)
  • PHNX-2525:  Gateway writes entire message to the log if parsing message fails.

New APIs

  • CBOE Spot Full Amount Maker (ESP)
  • CBOE NDF Full Amount Maker (ESP)

Other Changes

  • PHNX-2482: Core Handle edge cases on Epoch time maths
  • PHNX-2495: Replay Remove message type from replay
  • VEN-418: Integral_ESP_Maker Improved handling of BookType to use default value if not available in client messag

  • VEN-567 LMAX Stop automatically subscribing to LMAX Pricing Trade Data

  • PHNX-2225 Session Gateway handles all messages from venue while logout is initiated

  • PHNX-2241 Session Unexpected venue messages now result in an ErrorReport rather than a dropped connection

  • PHNX-2250 Session Gateway now validates Sender and TargetCompId in venue Logon response

  • PHNX-2462 Core Improve gateway stamping tag 122 (OrigSendingTime) on U2 message

  • VEN-248 CboeFX Cboe to confirm pegPriceType when match at mid is chosen

  • VEN-518 All Venues Migration to lowercase naming

  • PHNX-2448: Replay When a reset occurs we should trim out the files we select for searching
  • PHNX-2457:  SBE Fix SBE library handling of mangle messages which could cause a crash

 

Requires SBE Schema 18654

  • PHNX-2120: Session Add Persistent Sessions
  • VEN-229: Schema Add SpotRatePrecision field in MarketDataRequest
  • VEN-347: Schema Add VenueTradingStatusDown to Subject enum
  • VEN-361: Schema Add additional SecurityTradingStatus's to support LMAX
  • VEN-362: Schema Add additional MDEntryType's to support LMAX and FastMatch
  • VEN-363: Schema Clarify ExecutionReport LegAllocQty and LegAllocCalculatedCcyQty
  • VEN-507: Schema/Replay Add support for Replay to Enterprise Schema
  • VEN-521: Schema RMO Regulatory Body to be added to schema
  • VEN-538: Schema Schema Change v18654
  • VEN-540: Schema Increase QuoteID and QuoteEntryID from 64 to 128 bytes

 

New APIs

  • LMAX Exchange Taker (ESP)
  • LMAX Exchange Maker (ESP)
  • LMAX Digital Taker (ESP)
  • LMAX Digital Maker (ESP)
  • LMAX Interbank Taker (ESP)
  • LMAX Interbank Maker (ESP)

Enhancements

  • PHNX-2219: Fidessa Fix NewSeqNum in SequenceReset message after servicing ResendRequest from venue.
  • PHNX-2341: Session Improve session state handling
  • PHNX-2420: Session Improve gateway behaviour when recovering from a sequence gap

 

New APIs

  • CBOE Spot Maker (ESP)
  • CBOE NDF Maker (ESP)
  • Integral Maker (RFS)

Enhancements

  • PHNX-1990: Replay Backend replay service for replay of historical data.
  • PHNX-2370: Session Sequence number now correct when session terminates. 
  • PHNX-2391: Session Gateway needs to logout and logback in clean when it initiates resend requests.
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