Block Pricing
The potted summary is as follows:
- We net all allocations per leg, to determine overall leg side, this is provide in the Client QuoteRequest.
- The Client needs to net all legs to determine overall trade side.
- Trade side determines side (and thus value) of spot for Client to Quote.
- Leg side determines side (and thus value) of fwd pts for Client to Quote.
- The sum of the above (spot +fwd pts) is the all-in price for Client to Quote.
- The alloc side determines the field for MF to populate (either LegBidPx or LegOfferPx).
Certification
360T requires that the MTF certification is done with the specific algo-id that is to be used in production.
As a sidenote to this, if a client would like to add an algo id in the future, this will also require a further conformance test for the MTF side to verify the algo id.
Overview
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