The Lab

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Block Pricing

The potted summary is as follows:

  1. We net all allocations per leg, to determine overall leg side, this is provide in the Client QuoteRequest.
  2. The Client needs to net all legs to determine overall trade side.
  3. Trade side determines side (and thus value) of spot for Client to Quote. 
  4. Leg side determines side (and thus value) of fwd pts for Client to Quote.
  5. The sum of the above (spot +fwd pts) is the all-in price for Client to Quote.
  6. The alloc side determines the field for MF to populate (either LegBidPx or LegOfferPx).
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