LMAX Exchange offers FIX APIs for FX market making and taking in New York, London, and Tokyo. However, the data and the way it should be consumed differs depending on the region it’s taken from.
Let’s take an example where a client is interested in seeing a 1,000,000 price in all three regions. In London and Tokyo, the taker is required to apply a multiplier to the amounts that LMAX sends in their market data messages. The multiplier for currency pairs in London and Tokyo regions is 10,000. In other words, if LMAX sends a price for 100 USD/JPY, the taker must multiply it by 10,000 because the actual size is 1 million. These multipliers are also different for precious metals, XAU/USD has a multiplier of 10 and XAG/USD has a multiplier of 500. This differs with New York where there is no requirement to apply any size multipliers whatsoever.
The list of supported currency pairs is also different in each region. In Tokyo, there are additional JPY crosses, and JPY prices will include an extra decimal place.
MarketFactory accounts for these differences within the normalization layer and provides a uniform view across all regions and venues.
To learn more about LMAX Exchange and how MarketFactory supports the LMAX FIX APIs, contact sales.