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Change Summary

Incremental Schema Change

Background

Minor enhancements are made to the Whisperer API to expand the products supported.

  • An incremental schema change to the Whisperer API is scheduled for the 18th of February 2025 to support Foward Time Options.

Forward Time Option - Product Description

Forward Time Options (a.k.a Window Forward or Flexi Forward) is an Over-The-Counter (OTC) traded Forward contract that allows for partial or full settlement (referred to as partial or full drawdown) over a period (time window) at a pre-agreed rate.

The product is priced/ traded bilaterally in the RFQ and RFS workflows.

The schema change is backwardly compatible.

Affected Venues

Change

An incremental and backwardly compatible version change (v19457) will be deployed through all UAT and PROD environments to support Forward Time Options.

Details of the changes are documented in the pages below:

Timeline

  • 18 February 2025 - UAT - Whisperer API Schema version 19457 will be available for clients. Whisperer Enterprise release 2025.02.18.WE will be deployed to client UAT environments.
  • At client discretion - PROD - Clients interested in trading the Forward Time Options should contact the MarketFactory Delivery Team to ensure they are upgraded to Whisperer Enterprise release 2025.02.18.WE or later.

Whisperer Client Impact

FIX and SBE Clients

Whisperer clients who have implemented Template Extension will not need to make any changes until they choose to trade Forward Time Options.

Clients who will trade Forward Time Options should expect to consume/ disseminate Forward Time Options-specific fields in the following messages:

  • QuoteRequest
  • Quote
  • MassQuote
  • NewOrderMultileg
  • ExecutionReport
  • ExecutionAcknowledgement

Please refer to the Change Details section for further details.

Change Details

The new schema contains the following additions:

  • SecurityType - A new enum value FTO to support Forward Time Options. Impacted fields in the Whisperer API are: SecurityType and LegSecurityType.
  • TimeOptionStartTenor - A new field, conditionally required when trading Forward Time Options, to specify a standard tenor for the start of the settlement period.
  • TimeOptionStartDate - A new field to specify the start date of the settlement period when trading Forward Time Options. Conditionally required when TimeOptionStartTenor = BKN.

The following fields are adjusted to support Forward Time Options:

  • LegSettlType - Specifies a standard tenor for the end of the settlement period. This is a required field when trading Forward Time Options.
  • LegSettlDate - Specifies the end date of the settlement period in a Forward Time Option. Conditionally required when LegSettlType = BKN.

Documentation

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