Configuration
If configured to do so, Whisperer will populate the counterparty field of the TradeCaptureMessage with a JSON string containing any known counterparty attribute contained in the Venue Execution Report. Any string-type FIX tag and any partyRole, as well as partySubIDType, can be included.
Caution
Where Counterparty handling is employed, the feature becomes absolute and operates across all Feeds/Connections on a per-instance basis, and cannot be isolated to individual sessions (it is either on for all connections, or off for all connections).
The data provided in the JSON string is not Normalised, thus per-venue variations in field usage must be understood by the Customer.
Examples of the field information that can be included within TradeCapturemessage are below. The table below is not exhaustive as many venues use custom Fix Tags to convey a significant amount of counterparty information
| Number | Fix Tag | Name | Description | JSON Example |
|---|---|---|---|---|
| 1 | "17" | "ExecID" | Unique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType (50) =I (Order Status)). Uniqueness must be guaranteed within a single trading day or the life of a multi-day order. | |
| 2 | "30" | "LastMkt" | Market of execution for the last fill, or an indication of the market where an order was routed. | {"LastMkt":{"ID":"Hotspot"}} |
| 3 | "375" | "ContraBroker" | Identifies the contra broker. | |
| 4 | "1" | "Account" | Account mnemonic as agreed between buy and sell sides |
Overview
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