Bid

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/Offer vs Buy

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/Sell

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Perspectives

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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Business rules for Swap pricing are well known and summarised in the table below:

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.

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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: