Change Summary
Discretionary Change
Background
As we are rolling out more algo venues, it has become necessary to see the trading strategy information on the ExecutionReport. This will also help with queries/analytics.
As a result, we have introduced HasExtendedOrderFields to ExecutionReport in the Whisperer schema version 19458, and will populate the fields in the repeating group according to the timeline below.
Please refer to 2025-08-29 - Whisperer API Upgrade to v19458 for more information on the schema change.
Affected Venues
Phase 1
- cboefx_fixproxy
- celertech
- fastmatch_autoex
- fxspotstream_algo
- lmax
- parfx_orders
- t360_gtx
- xenfin_liquiditypool
Phase 2
- autobahnfx_algo
- bnpparibas_efx_algo
- broadridge_orders
- cme_ilink3_sbe
- ebs_market_ilink3_sbe
- exchange24
- fidessa_orders
- fxall_activetrading
- fxspotstream
- fxspotstream_midmatch
- jpmorgan_fx_algo
- lseg_ftg
- lucera_lumefx
- precision_algo
- refinitiv_mapi
- ubs_algo
Change
We have introduced HasExtendedOrderFields to ExecutionReport to pass on the trading strategy information to clients. The change will normalise how the information is passed on to the clients without inconsistencies, and the use of BodyPassthruFields.
HasExtendedOrderFields and Schema Upgrade
Please note that clients should be prepared to consume HasExtendedOrderFields in ExecutionReport when they upgrade to Whisperer schema version 19458.
Timeline
Phase 1
- - UAT - MarketFactory will introduce the
HasExtendedOrderFieldstoExecutionReportfor clients to test the affected venues in UAT. - At client discretion - PROD - Whisperer release 2025.10.XX.WE will be available for clients interested in consuming
HasExtendedOrderFieldsinExecutionReport.
Phase 2
- - UAT - MarketFactory will introduce the
HasExtendedOrderFieldstoExecutionReportfor clients to test the affected venues in UAT. - At client discretion - PROD - Whisperer release 2025.10.XX.WE will be available for clients interested in consuming
HasExtendedOrderFieldsinExecutionReport.
Whisperer Client Impact
Change Details
Whisperer clients trading on the Affected Venues will start to receive the following fields in the HasExtendedOrderFields group in ExecutionReport:
| Venues / Fields | EffectiveTime | ExpireTime | ExposureDuration | StopPx | MinQty | MaxShow | DiscretionOffsetValue | PegPriceType | PegOffsetValue | PegOffsetType | StrategyParameterType | StrategyParameterName | StrategyParameterValue |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ||||||||
| ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ||||||
| ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ||||||||
| ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | |||
| celertech | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | |||||
| cme_ilink3_sbe | ✓ | ✓ | ✓ | ||||||||||
| ebs_market_ilink3_sbe | ✓ | ✓ | ✓ | ✓ | |||||||||
| exchange24 | ✓ | ||||||||||||
| fastmatch_autoex |
| ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | |||||
| fidessa_orders | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | |
| fxall_activetrading |
| ✓ | ✓ | ✓ | |||||||||
| fxspotstream_algo | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | |
| fxspotstream | ✓ | ✓ | ✓ | ||||||||||
| fxspotstream_midmatch | ✓ | ||||||||||||
| jpmorgan_fx_algo | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ||||||
| lmax | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ||||
| lseg_ftg | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | |||||||
| lucera_lumefx | ✓ | ✓ | |||||||||||
| parfx_orders | ✓ | ✓ | ✓ | ✓ | |||||||||
| precision_algo | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ||||||
| refinitiv_mapi | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | |||||||
| t360_gtx | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ |
| ubs_algo | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | |||||||
| xenfin_liquiditypool | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ |
Documentation
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