Change Summary
Background
To provide a normalised view of the ExecutionReport received by Clients, changes are being made to the quantity fields listed below. Currently these values are taken directly from the Venue messages.
For the venues where these values are not as per Whisperer standard, improvements are being made to bring them inline with the schema definition.
Field | Schema definition | Normalisation Issue | Affected Venues | Release Version |
|---|---|---|---|---|
| LegCumQty | Total quantity filled so far on this Leg of the Order. | LegCumQty is populated inconsistently by some venues across different OrderStatuses. | autobahnfx_rapid, baml, barx, citi_colo, rbc_trading, standardchartered_s2bx, statestreet_efx, t360_tex. | 2025.11.19.WE.RHEL9 - bnpparibas_efx_algo, fxspotstream_algo, precision_algo, ubs_algo, autobahnfx_rapid, baml, bgc_midfx, broadridge_orders, bnpparibas_efx_streaming 2025.12.03.WE.RHEL9 - All venues except lseg_ftg, refinitiv_mapi, barx, jpmorgan_fx_algo 2025.12.04.WE.RHEL9 - All venues |
| LegLeavesQty | Quantity remaining to execute on this Leg of the Order. | LegLeavesQty is populated inconsistently by all venues across different OrderStatuses. | All taker APIs | 2025.11.19.WE.RHEL9 - bnpparibas_efx_algo, fxspotstream_algo, precision_algo, ubs_algo, autobahnfx_rapid, baml, bgc_midfx, broadridge_orders, bnpparibas_efx_streaming 2025.12.03.WE.RHEL9 - All venues except lseg_ftg, refinitiv_mapi, barx, jpmorgan_fx_algo 2025.12.04.WE.RHEL9 - All venues |
| LegAllocQty | If ExecType=Calculated/Trade then ABS (SUM (LegAllocQty))=LegLastQty, otherwise ABS (SUM (LegAllocQty))=LegOrderQty | LegAllocQty is is populated inconsistently across different ExecTypes. LegAllocQty is sent as 0 for Cancelled ExecutionReports. | All taker APIs | 2025.08.29.WE.RHEL9 - All venues |
| LegAllocCalculatedCcyQty | If LegCurrency is LHS then=-LegAllocQty*LegLastPx; if LegCurrency is RHS then=-LegAllocQty/LegLastPx (rounded to the precision of LegAllocQty, half-up) | Allocation side is not taken into account for some venues and thus LegAllocCalculatedCcyQty is always sent as positive. | autobahnfx_algo, baml, exchange24, fxspotstream_algo, precision_algo, xtx_euthenia | 2025.09.04.WE.RHEL9 - autobahnfx_algo, baml, exchange24, fxspotstream_algo, precision_algo, xtx_euthenia |
Change
This change will ensure that the above quantity fields are normalised consistently across all venues OrdStatus/ExecType combinations. These fields will never be null in the ExecutionReport.
Timeline
- Phased rollout starting August 2025.
Whisperer Client Impact
Clients should consider the impact if they are reliant on these fields of the ExecutionReport. These fields will never be populated as null.
Change Details
- LegCumQty and LegLeavesQty:
Quantity received from the Venue will be evaluated/corrected to match the expected behaviour below:
| OrdStatus | CumQty | LeavesQty |
| New | 0 | LegOrderQty |
| PendingNew | 0 | LegOrderQty |
| Rejected | 0 | 0 |
| Partially Filled | Total quantity filled so far on this Leg of the Order. | LegOrderQty-LegCumQty |
| Filled | LegOrderQty. | 0 |
| Pending Cancel | Total quantity filled so far on this Leg of the Order. Total quantity filled | LegOrderQty-LegCumQty |
| Canceled | Total quantity filled so far on this Leg of the Order. 0 if there are no PartialFills. | 0 |
| Pending Replace | Total quantity filled so far on this Leg of the Order. | LegOrderQty-LegCumQty |
| Expired | Total quantity filled so far on this Leg of the Order. 0 if there are no PartialFills. | 0 |
- LegAllocQty:
This will be populated with LegOrderQty except for the ExecType Trade and Calculated, where this will be LegLastQty.
- LegAllocCalculatedCcyQty:
This will be populated as a negative value if LegSide matches with the allocation Side, and a positive if LegSide does not match with the allocation Side.
Overview
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