Overview

Whisperer Enterprise supports all three principle forms of Quotation Negotiation trading:

ESP - Executable Streaming Pricing (long-lived shared subscriptions).
RFS - Request For Stream (short-lived tailored subscriptions).
RFQ - Request For Quote (single quote with finite life).

All quotes are good until replaced, expired or withdrawn. The MFSBE API supports the following four separate mechanisms for the management of tradeable prices by a Maker:

Quote Condition (ESP, RFS)
Quote Expiry/TTL (ESP, RFS)
Quote Withdrawal (ESP, RFS)
Liquidity Management (ESP only)

Quote Condition

Some Venues allow the Maker to specify whether a given quote is indicative, or tradeable. Depending on the Venue, indicative quotes may be displayed in the trading GUI as non-tradeable ("greyed out"), or may result in the quote being removed from display entirely, as if it has been withdrawn.

Indicative pricing is particularly important when Making to those Venues which offer composite trading grids that all Takers to compare multiple providers at a glance.

Quote Expiry

Some Venues allow the Maker to specify a finite time that an individual quote is available for. This is essential for one-shot RFQ models (e.g. to support dealer intervention), but may also be used act as a back-stop for ESP and RFS flows to ensure that the price is promptly removed from display, in the event of error scenarios and other edge cases.

Both Quote and MassQuote messages support the provision of an expiry time:

Quote.ValidUntilTime
MassQuote.NoQuoteSets[*].NoQuoteEntries[*].ValidUntilTime

The default ValidUntilTime value is set far into the future, so this field may be ignored for those customers wishing to adopt a simple model.

For those venues which mandate time-to-live rather than an absolute date/time, WH-E will reference the MFSBE message sendingTime in order to determine the duration.

Quote Withdrawal

A quote may be withdrawn entirely. In a trading GUI this will result in the price immediately being removed from display. Quote withdrawal is often an integral part of a RFQ dealer intervention workflow, where the trader may wish to manually reprice, during the life of a 30s quote.

MassQuote messages may be withdrawn via the same mechanism.

Liquidity Management

In ESP pricing, a quote is rendered indicative by publication of zero quantities against prices for a given rung and side.

In addition, publication of a message without any rungs will effectively result in the complete withdrawal of the previous published ladder.

QuoteType

For Quotes, QuoteType lives in the body level, and refers to the overall Quote Tradeability. Where as MassQuotes, it lives in NoQuoteEntries and it refers to the specific QuoteEntry.

For a single Leg product, where BidPx is populated, but OfferPx is not.

Quote
- The Body level, QuoteType.BidIsTradeable will be set to True.
MassQuotes
- The NoQuoteSets[1].NoQuoteEntries[X].QuoteType.BidIsTradeable will be set to True.

For Swap, Where the Near Leg OfferPx is populated, and the Far Leg BidPx is populated.

Quote
- The Body level, QuoteType.BidIsTradeable will be set to True.
MassQuotes
- The Near Leg NoQuoteSets[1].NoQuoteEntries[X].QuoteType.OfferIsTradeable will be set to True, and the Far leg NoQuoteSets[2].NoQuoteEntries[X].QuoteType.BidIsTradeable will be set to True.

For Blocks, we always set both BidIsTradeable and OfferIsTradeable to True or Both to False.

Quote
- If the BLK is tradeable, both QuoteType.BidIsTradeable and QuoteType.OfferIsTradeable will be set to True, regardless of the overall side.
MassQuote
- If level(X), if is Tradeable, all NoQuoteSets[ALL].NoQuoteEntries[X].QuoteType.BidIsTradeable and NoQuoteSets[ALL].NoQuoteEntries[X].QuoteType.OfferIsTradeable will be set True.
- If level(Y) is not Tradeable, all NoQuoteSets[ALL].NoQuoteEntries[Y].QuoteType.BidIsTradeable and NoQuoteSets[ALL].NoQuoteEntries[Y].QuoteType.OfferIsTradeable will be set False.

Maker Quote Management

In ESP, Makers publish MassQuotes. Each message is a single quote, which should contain a full snapshot of your price ladder for that symbol & price bucket.

The shape and size of their ladder can vary from tick to tick. Each MassQuote completely replaces the previous. You may either publish a QuoteCancel to withdraw a previously published ladder, or publish a new empty MassQuote (zero rungs).

On the venue side, MarketFactory will handle the messages to make sure that the published liquidity matches your MassQuote.

ESP/RFS/RFQ State Transition Model

The following State Transition Diagram outlines the model for traditional eCommerce ESP and RFS quotation negotiation workflows for both Maker and Taker clients.

Whilst the Maker and Taker views are essentially symmetric, there are some important differences which are illustrated in the sequence diagrams.

ExecutionAck Messages

Client as Taker

Some Maker venues may support Client acknowledgement of their deal acceptance or rejection. Accordingly, the Client is encouraged to always send an ExecutionAck message to confirm the trade result, where the Venue does not use this mechanism, Whisperer will simply drop the message.

Client as Maker

Typically the Venue will send some sort of message Ack-ing or Nack-ing the Maker response to the originating order. Any of the following are possible:

Venue Accepts Maker Trade - this is essentially confirming the trade has been completed successfully
Venue Rejects Maker Trade - this may happen for a variety of reasons - e.g. mandatory regulatory fields are incorrect.
Venue Accepts Maker Rejection - this is essentially a simple acknowledgment that no trade has been completed.
Venue Rejects Maker Rejection - the Venue was unable to propery process therejection for some reason. This is an indication of a serious system error.

If should be noted that there is a lot of variation how this terminal message is used across the venues:

Some venues will only send 1. E.g. Bloomberg
Some Venues will only send 1. or 2. E.g. CboeFX.
Some Venues will send all variants. E.g. Currenex RFS
Some Venues may not use this message at all.

At present Whisperer does not generate synthetic ExecutionAck messages as it is not possible to ensure uniformity, or know the actual venue state with any certainty.

Should the Client receive an ExecutionAck (Rejected) message, then this is indicative of a serious condition that requires urgent rectification. The Client system should send a urgent notification to relevant support teams that manual intervention is required.

RFQ

A request for a single-shot price, delivered as a Quote, with the TTL defined in the ValidUntilTime. Possible Dealer Intervention may deliver other Quote(s) prior to expiry of first. Expiry terminates the workflow.

RFS

Each individual Quote is good until replaced, withdrawn or ValidUntilTime expiry.

Client as Taker

Whisperer supports two Taker RFS pricing models:

Bilateral - Request sent to a single Maker, receives Quote messages.
Basket - Request sent to multiple Makers, receives MassQuote messages aggregating the individual Maker Quote messages. This model is Venue dependent - currently offered by t360_tex and fxspotstream only.

In this model each QuoteSet represents a different Leg/value date, and each QuoteEntry for a given QuoteSet contains the Leg quote details provided by an individual LP, identified by reference to the "ExecutionVenue" EntryPassthruKey.

QuoteEntries in MassQuote are sorted by best Bid/Offer.

- SPT, FWD and NDF are sorted by BidPx/OfferPx.
- SWP and NDS are sorted by Swap points.
- BLK and NDB are sorted by SpotRate.

If two QuoteEntries have the same price, they will be ordered from Oldest to Newest.

Please also see Price Representation.

In both cases, standard RFS subscription rules apply - the subscription is terminated by a deal request or a pricing duration timeout.

Client as Maker

ESP

Streaming

Each individual MassQuote is good until replaced, withdrawn or ValidUntilTime expiry.

Unlike RFS/RFQ, ESP Pricing will continue following any attempt to trade.

MassQuote messages will contain rungs populated according to one of two principle modes:

Dynamic Volume Bands - Sizes are not pre-configured, the Maker will dynamically determine the sizes for which Market Data is published. The number and location of rungs for Bid and Offer being independent.
Preset Amounts in Request - Where supported by the Venue, the size of each individual rung may be specified in the QuoteRequest message NoBodyPassthruFields block.

Client as Taker

The standard Taker pricing message flow is illustrated in the sequence diagram below:

Subscription Response

The client will receive an immediate response to an invalid QuoteRequest.

However, the client may not always receive an immediate MassQuote in response to a valid QuoteRequest stream subscription:

There may be an interval of several minutes before the first MassQuote is received by the client.
The venue may never respond.

A Venue's response actually depends on the instrument being traded, time of day and venue-specific behaviour.

The client may wish to implement a timeout mechanism to unsubscribe and then either:

Mark the instrument as unavailable.
Resubscribe. Generally this is of very little value and is not recommended.

Client as Maker

The Venue will typically issue multiple requests for each currency pair, one for each configured pricing group (aka "client bucket" etc.).

For a given ccy pair, Whisperer imposes no restrictions on the ladder that you publish, although details of exactly what you publish may well vary from venue to venue.
There are two basic motivations for makers when offering liquidity:

Ecommerce: A 'standard' ladder of prices for standard, usually fixed, rung positions (eg 1/2/5). Bid and offer prices always published for these standard quantities, individual entries may be marked indicative (non-tradeable) or tradeable, from tick to tick. This is the traditional model for Bank ESP flows, for example.
Interest: The ladder is a reflection of Maker exhaust preferences, to trade down positions built up in other flows. Here the ladder will typically be presenting more liquidity on one side, and not be symmetric, i.e. pricing will be much tighter on the side where trading is preferred. The volume bands can be entirely dynamic - published rung positions, sides etc varying from tick to tick. There is less need to show indicative prices here, usually the maker is just zeroing-out previously published liquidity. It is perfectly feasible for liquidity to be published on a single side only.

The management of stream categories within and across venues requires, as usual, some careful consideration:

Some venues are fairly unconstrained in terms of how many categories may be defined, but others (e.g. Bloomberg, CNX) have specific uniquenesses that need to be understood before decisions are made.
Some venues may allow or mandate that ladders are used in a VWAP manner, some may preclude this.

Dealing

Client as Taker

Client as Maker

The messages flows documented here illustrate a standard "Last-Look" trading model.

"Firm" trading is possible on some Venues and comprises standard MassQuote provision alongside receipt of ExecutionReport messages from the Venue notifying the maker of the fills.