To add a collaborator to this project you will need to use the Relish gem to add the collaborator via a terminal command. Soon you'll be able to also add collaborators here!
More about adding a collaboratorPrice 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
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- When
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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
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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
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spot skews are defined as:
ccypair skew maxVolume EURGBP 0.1-0.1 100000000 EURJPY 0.2-0.2 50000000 - Given
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'EURUSD' is quoted as:
bidQty quote askQty 1.3634 2m(R) 2m(R) 1.3636 - And
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'EURGBP' is quoted as:
bidQty quote askQty 0.7812 2m(R) 2m(R) 0.7816 - And
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'AUDUSD' is quoted as:
bidQty quote askQty 1.0374 2m(E) 2m(E) 1.0376 - And
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'USDJPY' is quoted as:
bidQty quote askQty 94.78 2m(E) 2m(E) 94.82 - And
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'USDCAD' is quoted as:
bidQty quote askQty 1.0224 2m(R) 2m(R) 1.0226 - And
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'USDCAD-SN' is quoted as:
bidQty quote askQty -0.20 2m(A) 2m(A) -0.10
- Scenarios
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- Spot trade booking for a direct and cross currency pairs
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- When
- '360TJEFF' sends spot RFQ 'SPQuoteReq' for 'direction' 'amount' 'ccypair'
- Given
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'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
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'USDCAD' is quoted as:
bidQty quote askQty 1.0224 2m(R) 2m(R) 1.0226 - And
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'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 almost 5 years ago by ramneek.