Reuters - venue-specific notes

• 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

Reuters MAPI

The only order type available for Reuters is LIMIT. These orders all contain a Time in Force that determines how long the order will remain open and resting with the Trading Venue if not filled immediatly, the Times in Force supported by Whisperer are Immediate or Cancel (IOC) and Good Till Cancel (GTC). However, in the instance of Reuters, GTC is executed as an order submitted with a Time in Force of DAY. This is primarily because GTC as a time in force is not supported by the trading venue.

A time in force of DAY allows the order to remain on the trading venue till the end of the trading day. Any open orders still with the exchange will be cancelled when the Gateway closes the market, notice events of the cancellations will be transported to customers to update Net Open Position (NOP) systems and close the open orders.

The table below lists the Times in Force supported by the trading venue and the values entered for FIX tag 59 (which specifies Time in Force) with the highlighted rows identifying the MarketFactory supported Times in Force.

Reuters Iceberg Strategy

SUPPORTED in Whisperer Server since version 2021.19.WC.A

To specify an Iceberg add 2 KeyValue pair objects to the submitOrder method 'params' parameter.

KeyValue Objects

Reuter's Iceberg Strategy Parameters

Java API Iceberg Examples:

A Random Iceberg with tips between 2 and 4 million showing each time.

final ArrayList<KeyValue> params = new ArrayList<KeyValue>();
params.add(new KeyValue("style", "iceberg"));
params.add(new KeyValue("reutersMAPIIcebergStrategyParameters", "T=R,Qmin=2,Qmax=4"));

A Defined Iceberg with 1 million first, 1 million second show with a delay between each (range 2)

final ArrayList<KeyValue> params = new ArrayList<KeyValue>();
params.add(new KeyValue("style", "iceberg"));
params.add(new KeyValue("reutersMAPIIcebergStrategyParameters", "T=D,Q1=1,Q2=2,D=2"));