Introduction

FX Trading - Matching API consists of the two interfaces:

• The Robust Foundation API (RFA) that is used for Price discovery
• The Refinitiv FX Matching FIX Interface that is used for order entry and post trade processing.

Refinitiv FX Matching market data distribution algorithm

The Matching Host market data distribution algorithm is designed to assure that there is a predictable and consistent data distribution mechanism used across all market participants.  The algorithm assures that each market data client is given fair and equitable access to the market data stream.  Market data update rates for MAPI are set on a per currency basis And are available to MAPI clients in the Matching Instrument Definition files. Matching market data updates are never sent in between the predefined market data update intervals.  

Overview of MAPI RFA Market data

The Refinitiv FX Matching API (MAPI) provides market data updates via the Robust Foundation API (RFA).  RFA client applications are developed and owned either by our Refinitiv FX Matching subscribers or third-party vendors.

RFA - Market data update messages

Each RFA market data update message is specific to a single instrument.  RFA market data update messages only contain data for those fields which have changed since the last update. RFA market data updates are sent instrument by instrument on a subscriber by subscriber basis.  RFA message updates are only sent on instruments which the client application has subscribed for via the API. All RFA updates are sent in a fair and equitable manner across all subscribers. 

RFA – Market data content

RFA client applications benefit from:

• The ability to subscribe to two different Open Message Models (OMM), namely Market Price and Market by Price. 
  • Market Price only provides Top of Book (TOB).
  • Market by Price can be used for both TOB and Depth of Book (DOB). 
• A quote time field (in milliseconds) – represents the time in which the order book was frozen for credit screening for the given instrument and service type.  The quote time field will be the same within both market-price and market-by-price OMMs as well as unscreened and credit screened market data updates.
• Bid/Ask Time – represents the time in which the update was sent from the Matching service to the subscriber’s site. The Bid/Ask Time Field Identifiers (FIDs) are only provided within the market price OMM.  The two FIDs can theoretically be the same but more typically will be different between unscreened and credit screened market data updates. 
• Number of orders field – provides the number of orders that are associated with the given quantity for the given instrument and side of the order book.
• Global Sequence Number – represents the market data sequence number for the given instrument.  This FID is available on both OMMs within the unscreened and credit screened market data updates.  Since market data updates are conflated at predefined intervals this sequence number does not increase monotonically across market data update intervals and will be reset at the start of each trading week.  .
• Price convention for the given instrument (i.e. directly or indirectly quoted).
• Separate fields for base and quoted currencies using ISO definitions.

Links

Click here for more information and documentation on Refinitiv FX Matching API on MyRefinitiv.