• An EXCHANGE_BEST value is provided, and corresponds to an onMarketUpdate() callback in MAPI.• The onScreenedMarketUpdate() callback is translated to a pure LEVEL entry.
• Reuters has a "Standard Quantity" which is sent via the onAggregateUpdate() callback.
This is a price at which there is a cumulative amount of liquidity available; the specific amount depends on currency pair and is specific to Reuters. This is translated to an amount constraint.
• Reuters sends market data updates every 250ms. However, it is important to note that the amount constraint updates and the pure level updates do not occur in sync. The MarketFactory software keeps track of this internally and only forwards information that is new and consistent.
• The counterPartyId data element in the TradeCaptureMessage will contain a JSON
object with the Party information.
{
"PartyInfo": [ { "PartyID":"LONDON BANK E", "PartySubIDs": [ {
"PartySubID":"BBAG",
"PartySubIDType":"25"
} ]
} ]
}
PartyID = 1117 PartySubIDs.PartySubID = 1121 PartySubIDs.PartySubIDType = 1122
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