Block Pricing

The potted summary is as follows:

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When Whisperer receives a Block QuoteRequest from 360T, it needs to identify and net all allocations per value date leg, in order to determine

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and provide the overall LegSide in the Client QuoteRequest. All 360T Block requests are one-way.

The Client needs to take the following steps in order to price the Quote correctly:

1. Net to net all legs to determine overall trade side.
2. Trade side determines Use the trade side to determine the side (and thus value) of spot for Client Spot to Quote. Leg side determines
3. Reference LegSide to determine the side (and thus value) of fwd pts for Client Forward Points to Quote for each leg.
4. The sum of the above (spot +fwd pts) is the all-in price for Client to Quote for each leg.The alloc side determines

Whisperer will use the resultant quote and the the allocation side of the original QuoteRequest to determine the field

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 to populate (either LegBidPx or LegOfferPx) in the 360T quote message.

Certification 

360T requires that the MTF certification is done with the specific algo-id that is to be used in production.

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