Logo: Relish

  1. Sign in

Project: Something

Price and Trade flow validation on a SP quote request

This feature helps us to:
1. Validate pricing of spots
2. Validate pricing of cross currency spots
3. Validate that we can send order
4. Validate that we can receive fills on the sent orders

Background
When
spot spreads are defined as:
ccypair spread maxVolume volInterpModel spreadType
EURUSD 5-5 20000000 STEPPED SPREAD_FIXED
GBPUSD 4-4 20000000 LINEAR SPREAD_FIXED
EURGBP 0.5-0.5 20000000 STEPPED SPREAD_ADDITIVE
AUDUSD 1-1 20000000 STEPPED SPREAD_ADDITIVE
USDJPY 4-4 20000000 STEPPED SPREAD_FIXED
USDCAD 0.5-0.5 20000000 STEPPED SPREAD_ADDITIVE
And
fwd spreads are defined as:
ccypair spread maxVolume spreadType
USDCAD-1Y 1-1 100000000 SPREAD_ADDITIVE
And
sales spot spreads are defined as:
ccypair spread maxVolume spreadType roundingMode
*/* 0-0 50000000 ADD_PIPS ROUND_UP
EUR/GBP 2-2 20000000 ADD_PIPS ROUND_UP
AUD/USD 0.5-0.5 50000000 ADD_BP ROUND_UP
USD/JPY 0.5-0.5 50000000 ADD_PIPS ROUND_DOWN
USD/CAD 0.5-0.5 50000000 ADD_PIPS ROUND_DOWN
EUR/USD 0.5-0.5 50000000 ADD_PIPS ROUND_DOWN
And
sales fwd spreads are defined as:
ccypair spread maxVolume spreadType roundingMode
*/*-1W 0-0 50000000 ADD_PIPS ROUND_UP
And
spot skews are defined as:
ccypair skew maxVolume
EURGBP 0.1-0.1 100000000
EURJPY 0.2-0.2 50000000
Given
'EURUSD' is quoted as:
bidQty quote askQty
1.3634 2m(R)
2m(R) 1.3636
And
'EURGBP' is quoted as:
bidQty quote askQty
0.7812 2m(R)
2m(R) 0.7816
And
'AUDUSD' is quoted as:
bidQty quote askQty
1.0374 2m(E)
2m(E) 1.0376
And
'USDJPY' is quoted as:
bidQty quote askQty
94.78 2m(E)
2m(E) 94.82
And
'USDCAD' is quoted as:
bidQty quote askQty
1.0224 2m(R)
2m(R) 1.0226
And
'USDCAD-SN' is quoted as:
bidQty quote askQty
-0.20 2m(A)
2m(A) -0.10
Scenarios
Spot trade booking for a direct and cross currency pairs
When
'360TJEFF' sends spot RFQ 'SPQuoteReq' for 'direction' 'amount' 'ccypair'
Given
'EURUSD' is quoted as:
bidQty quote askQty
1.3634 2m(R)
2m(R) 1.3636
And
'EURGBP' is quoted as:
bidQty quote askQty
0.7812 2m(R)
2m(R) 0.7816
And
'AUDUSD' is quoted as:
bidQty quote askQty
1.0374 2m(E)
2m(E) 1.0376
And
'USDJPY' is quoted as:
bidQty quote askQty
94.78 2m(E)
2m(E) 94.82
And
'USDCAD' is quoted as:
bidQty quote askQty
1.0224 2m(R)
2m(R) 1.0226
And
'USDCAD-SN' is quoted as:
bidQty quote askQty
-0.20 2m(A)
2m(A) -0.10
Then
'360TJEFF' receives quote 'RcdQuote' for 'SPQuoteReq' with pricetype price 'clientprice'
When
'360TJEFF' sends order 'SPOrder' for 'RcdQuote'
Then
'360TJEFF' receives fill for 'SPOrder'
Examples:
direction pricetype amount ccypair clientprice
buying ask 1m USDCAD 1.02285
buying ask 1m EURGBP 0.84234
selling bid 2m EURCAD 1.39259
buying ask 1m AUDCAD 1.06166

Last published over 4 years ago by ramneek.