Imported from previous forum
I have been looking through the latest “Best Practices for CDS and IRS Trading Vol 2”, plus forums, to try to find the answer. My question also applies to Bonds (but I cannot find the equivalent Vol 2 Doc for Bonds).
Currently the D2C-based venues for bonds and swaps support multiple contribution levels, to allow the pre-trade quote streams’ bid/offer spreads and quantities to be tailored for a particular customer audience on the venue-side (whereby customers are granted permission by the dealer to view one of a set of ‘n’ price-levels). These levels can then be used as a basis for customer Orders with the dealer getting the last look.
Is this envisaged to be implemented by ‘n’ FIX connections?, with the same instrument being sent with a different quote, one down each connection? That is not the way existing markets usually work (although it is possible to set up Bloomberg with ‘n’ separate MPF connections, you would necessarily want to force that implementation).
Could an alternative way be to allow a Quote message to ‘package’ the ‘n’ quotes, one for each contribution level on the market-side, all into one single message?
Would be interested to hear your views.
Steve
Just as a follow on-
Another alternative, perhaps easier, way of dealing with it is to have an additional attribute on the Quote message denoting ‘Contribution Level’, only to be applied in the context of pre-trade streamed quotes.
It should also be noted that some venues also send the customer’s contribution level as an attribute on any Price Orders (Firm or otherwise) emanating from the customer - this helps the dealer to do additional verification that the customer has indeed been permissioned to the correct level on the market side relative to that customer’s deemed “tier”…
Error in prev post-
…(although it is possible to set up Bloomberg with ‘n’ separate MPF connections, you would necessarily want to force that implementation).
Sorry I means “wouldn’t necessarily…”
Steve
Thanks to Yuval Cohen from ETS for the conf call. Just to summarise, the main point is that the Quote message needs to contain some kind of information telling the D2C Venue what Contribution Level it’s for. Yuval said he’d look into that.
Just to add, a MassQuote message could be used to send multiple quotes for the same instrument to the market, each of which could contain a separate value for the Contribution Level. This would allow multi-level quotes for the same instrument to be streamed to the venue using one message.