FinPlusMarketMaker

Market Making tool for real-time intraday quotes and curves re Business, with the ability to save EOD closing levels.

• Muti-product platform.

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Example Application

• Permission model as per Permissions, dispute audits as per Audit Model.

• Query linked config menus, start new views in seperate process.

• Query linked menu item.

  <MenuItem Id="MenuChartCandleStick" FunctionName="FinPlusMenuItem" Header="Candlestick Ctrl+_S"  
    Icon="SCandle" Action="ChartCandleStick" Params="[instrument],[Instrument]" />
  

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Templates

See Business architecture.

Template	Type
MarketMaker.view (sourceforge.net)	View.
QuoteEngine.service (sourceforge.net)	Parent service.
QuoteAnalytic.service (sourceforge.net)	Child service.
QuoteSource.service (sourceforge.net)	Child service.
TradeEngine.service (sourceforge.net)	Child service.
MarketLive.service (sourceforge.net)	Child service.

Minor config changes for re-architecture across hardware.

• Seperation of components for lower latency.
• Components not only config driven but query driven, where clause can be used for configs with further distribution.

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Application

• Multiple QuoteSources per Instrument of type price or rate, Instruments spreadable to multiple QuoteSources and/or other Instruments.
• Double click on quote to get quote pop-up then hit execute to trade, published quotes to ECNs that get hit will pop-up.
• Display values configurable see Formats, columns configurable, layouts savable/revertable and filterbars selectable/savable/revertable. Bulk column switch and bulk adjustment toolbars included in config, see client template above.

Counterparty

• Discount curve and tiering required for pricing, number of tiers configurable counterparty loyalty system.
• OTC collateral/discount curve appended to quote, default from Counterparty or manual selection, curve feeds into trade.
• Size needs to be factored in small trades need wider spreads to cover transaction costs.

Curve link

• instruments linked to curves see FinPlusCurveManager.

Spreads

Instrument	SpreadName	Spread	SpreadType	IsMktToMkt	BuyAdj	SellAdj	Weight	Trader
SPGB23	1	SPGB24	Instrument	True	0.001	0.001	1	norton
SPGB23	2	VM	QuoteSource	False	0.001	0.001	1	norton

• Spreads marked as IsMktToMkt drive internal market to market prices, all spreads contribute to trader quote.
• Market protection is achieved by applying multiple spreads, the above example has Virtual Market protection.
• Weight only applies to spread type instrument, for instrument with multiple instruments spreads.

Selectable InstrumentSpread columns ([Tag] = spread name).

Column	Column	Description
BuyAdj[Tag]	SellAdj[Tag]	Spread adjustment +/- widen/narrow.
Spread[Tag]		Spread to Instrument name or QuoteSource name eg VM, BTec, BTPS23 etc.
SpreadType[Tag]		Instrument or QuoteSource.
IsMktToMkt[Tag]		Used to calc internal market to market price.

Quote

• Selectable ECNs/QuoteSources best Quote columns ([Tag] = quote source/ecn name eg BTec, TWeb, VirtualMarket, Trader).

Column	Column	Description
[Tag]Buy	[Tag]Sell	Source best bid/offer levels.
[Tag]BuySize	[Tag]SellSize	Source best bid/offer size.
[Tag]BuyDepth	[Tag]SellDepth	Source quote depth.
[Tag]BuyStyle	[Tag]SellStyle	RFQ, FQ etc.
[Tag]BuyType	[Tag]SellType	Price/Rate.
[Tag]Error		Source error message.
SpreadBuy	SpreadSell	Root spread source eg BTec, TWeb etc.
VMSourceBuy	VMSourceSell	Source for best in Virtual Market.

• See QuoteInterest and FinPlusAxe.

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Pricing

• Market: Direct use of market prices with bid/offer adjustment.
• Spread to Benchmark: Direct spread to benchmarks (on premium, price, yield etc), fast method to price less liquid products.
• Spread to Curve: Spread to credit curve (CSM), bond/yield curve (ASM/ZCM) etc.
• Implied from Curve: Premium, coupon, spread for a given PV/haircut (norm zero PV), less liquid OTC/Derivatives none spot runs.