ESP/RFS/RFQ State Transition Diagram

Trading Venue as Maker

RFQ

Single shot quote, ValidUntilTime. Possible Dealer Intervention may deliver other quote(s) prior to expiry of first. Expiry terminiates the workflow.

RFS

ESP

Trading Venue as Taker

RFQ

Single shot quote, ValidUntilTime. Possible Dealer Intervention may deliver other quote(s) prior to expiry of first. Expiry terminiates the workflow.

RFS

The messages flows documented here illustrate a standard "Last-Look" trading model. "No Last-Look" 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.

Each individual quote is good until replaced or withdrawn. Each message entirely replaces the previous.

ESP

Outline

For a given ccy pair, MF 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 considerations of how up manage 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, some (Bloomberg, CNX esp) 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. So if you want to maintain a pricing model that is more or less consistent across venues, then the basic price ladders need to be different to accommodate the external nuances...

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

A list of requested sizes per instrument will be specified in the MarketDataRequest message to request streaming of market data for specific sizes.