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Bid|Offer vs Buy|Sell Perspective
The Whisperer Enterprise SBE Schema is Maker/Taker agnostic, meaning that Quote Requests, Quotes, Orders and Executions may flow either to or from the client - the direction obviously being dependent on the Venue that the client is connected to.
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| In short, QuoteRequest, NewOrderMultileg and ExecutionReport all always express a transaction from the Taker perspective. Quotes always express prices from the Maker perspective. |
Quote Construction
When publishing quotes as a Maker, it is important that the basic principles of price construction are understood, especially when considering multi-Legged product types.
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- Side - Side information is maintained on a per-Leg basis in the LegSide field, and on a per-alloction basis via the sign of the LegAllocQty.
- Dealt Currency - Side is always stated with respect to the traded currency.
- Date - Tenor and value date information is provided on a per-Leg basis in the LegSettLDate and LegSettlType fields.
- Quantity - The relative quantities of individual legs must be understood when pricing multi-Legged requests.
Spot Side Determination
When pricing a multi-Legged request, the Maker needs to determine which side of Spot is to be used across all the individual Legs.
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When considering Block requests, the simple "Far > Near" check is not sufficient to determine side of Spot. A naive approach is to simply extend the Swaps model above and arithmetically net all the Legs quantities to get an aggregated Buy or Sell. If the maker is more sophisticated, then the Net Present Value of each Leg can be determined, and those amounts aggregated.
Validation
Given the complexity of accounting for Venue-specific message and representational quirks, MarketFactory validates that each constructed quote adheres to some basic rules:
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Overview
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