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Comment: Published by Scroll Versions from this space and version 1.5.47

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In ESP pricing, a quote is rendered indicative by publication of zero quantities against prices for a given rung and side.

In addition, publication of a message without any rungs will effectively result in the complete withdrawal of the previous published ladder. 

QuoteType

For Quotes, QuoteType lives in the body level, and refers to the overall Quote Tradeability. Where as MassQuotes, it lives in NoQuoteEntries and it refers to the specific QuoteEntry. 

For a single Leg product, where BidPx is populated, but OfferPx is not.

  • Quote
    • The Body level, QuoteType.BidIsTradeable will be set to True. 
  • MassQuotes
    • The NoQuoteSets[1].NoQuoteEntries[X].QuoteType.BidIsTradeable will be set to True.

For Swap, Where the Near Leg OfferPx is populated, and the Far Leg BidPx is populated.

  • Quote
    • The Body level, QuoteType.BidIsTradeable will be set to True. 
  • MassQuotes
    • The Near Leg NoQuoteSets[1].NoQuoteEntries[X].QuoteType.OfferIsTradeable will be set to True, and the Far leg NoQuoteSets[2].NoQuoteEntries[X].QuoteType.BidIsTradeable will be set to True.

For Blocks, we always set both BidIsTradeable and OfferIsTradeable to True or Both to False. 

  • Quote
    • If the BLK is tradeable, both QuoteType.BidIsTradeable and QuoteType.OfferIsTradeable will be set to True, regardless of the overall side.
  • MassQuote
    • If level(X), if is Tradeable, all NoQuoteSets[ALL].NoQuoteEntries[X].QuoteType.BidIsTradeable and NoQuoteSets[ALL].NoQuoteEntries[X].QuoteType.OfferIsTradeable will be set True.
    • If level(Y) is not Tradeable, all NoQuoteSets[ALL].NoQuoteEntries[Y].QuoteType.BidIsTradeable and NoQuoteSets[ALL].NoQuoteEntries[Y].QuoteType.OfferIsTradeable will be set False.

Maker Quote Management

In ESP, Makers publish MassQuotes.  Each message is a single quote, which should contain a full snapshot of your price ladder for that symbol & price bucket.

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In this model each QuoteSet represents a different Leg/value date, and each QuoteEntry for a given QuoteSet contains the Leg quote details provided by an individual LP, identified by reference to the "ExecutionVenue" EntryPassthruKey.

QuoteEntries in MassQuote are sorted by best Bid/Offer.

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