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Comment: Published by Scroll Versions from this space and version 1.5.42

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  • One-way requests must be quoted one-way (only). This means that the Maker cannot hedge their bets by, for example, providing both bid and offer spot rates. This ensures clarity and means that any pricing errors may easily be identified.
  • For vanilla outright and swap scenarios, MarketFactory will ensure that the correct side of spot is provided, as per the above table.
  • For Block scenarios, only one-way pricing is relevant.
  • For each leg, MarketFactory will verify that the Spot rate value derived from the quoted all-in rate and forward points matches the actual provided spot rate.

RFS Bank Basket

SpotRate used in MassQuote for BankBasket follows the same convention as per the above Spot Side Determination logic.

But to be consistent with the BidPx/OfferPx in the NoQuoteEntries group, HasExtendedBidFields / HasExtendedOfferFields are populated as per below:

QuoteSets

Near Leg

QuoteSet1

Far Leg

QuoteSet2

NoQuoteEntriesBidPxOfferPxHasExtendedBidFieldsHasExtendedOfferFieldsBidPxOfferPxHasExtendedBidFieldsHasExtendedOfferFields
Bid QuoteEntry
✓
✓✓
✓
Offer QuoteEntry 

✓


✓



✓


✓