New version of QuantHouse Market Data Interface — 7.0
The main change in the released version of QuantHouse Market Data Interface is support of MiFID II regulation requirements. In particular, the interface transmits new order and trade table parameters identifying users as ‘Client’, ‘Investment decision maker’ and ‘Executing trader’. The current trading table acquired parameters identifying the instruments: ‘StockCode’, ‘Bloomberg ID’, ‘CUSIP’, ‘SEDOL’, ‘StockName’.
There are modifications in transmitting Level2 quotes for orders forwarded for auction which are now shown with their total volume in the top line of the Level II Quotes table.
Instruments may now be filtered by CFI codes.
When QuantHouse Market Data Interface is used in conjunction with FIX order router program interface new options become available:
- Identification of instruments specified in forwarded transactions may be set by classes of instruments. For example, it is possible to identify NASDAQ and LSE instruments by different types of instrument codes within one FIX connection to execution broker,
- The functionality to redefine FIX tags, set in the MarketTransTags.xml file, was supplemented with an option to change values within a group of repeated tags. This may be useful when working with several execution brokers having different
requirements for filling tags.