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Tenors

Be careful when referencing tenor values from 360T.

  • For Swaps,  the Far leg tenor is relative to the Near leg, rather than representing a date WRT Spot as per market convention:

20200202-13:34:17.022155046 RX 8=FIX.4.4|9=555|35=R|34=118|49=360T_RFQ_TEST|52=20200202-13:34:16.959|56=MF_RFQ_TEST|131=35490095-MarketFactory.TEST|828=65| 6215=6M|6216=1M|7070=20200205|7611=2|14001=5|14003=3|146=1|55=EUR/USD|48=EZHPPZCSQSC8|22=4|454=2|455=EZ0HL6Y6WL59|456=4|455=EZMBWZSKXQJ2|456=4|461=SFCXXP|167=FOR|537=1|54=1|38=1000000| 64=20200805|193=20200908|192=1000000|15=EUR|1=MarketFactory Comp1.TEST|40=D|126=20200202-13:36:28.943|453=3|448=MarketFactory.TEST|447=D|452=35|448=MarketFactory Comp1.TEST|447=D|452=1|448=MFCOMP1.Treasurer1|447=D|452=11|553=MFCOMP1.Treasurer1|7071=FX-STD|7074=Y|10=089|

  • Note also that in UAT at least, 360T Tenors via the Bridge are currently subject to change.

Block Pricing

When Whisperer receives a Block QuoteRequest from 360T, it needs to identify and net all allocations per value date leg, in order to determine 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 all legs to determine overall trade side.
  2. Use the trade side to determine the side (and thus value) of Spot to Quote. 
  3. Reference LegSide to determine the side (and thus value) of 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.

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

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.

PartyIDs

Please refer to either 360T TEX - PartyIDs, or Whisperer Enterprise - PartyIDs for the full Enterprise table across all venues.

Regulatory Fields

Please refer to either 360T TEX - Regulatory Details, or Whisperer Enterprise - Regulatory Fields for the full Enterprise table across all venues.

Passthru Fields

Please refer to either 360T TEX - Passthru Details, or Whisperer Enterprise - Passthru Fields for the full Enterprise table across all venues.

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