Execution Rules - Price Check

The price check defines a threshold below (above) a sell (buy) order from Compass' perspective where if the offer (bid) crosses that threshold, the order will be cancelled. This threshold is a proportion of mid and when positive, allows the price to move a small amount in the direction beneficial to the counterparty trading without being cancelled.

Orders cancelled because of this price check will have a cancel reason of "Last Look" in Echo.

Logic

sideMultiplier = -1 for House BID, or +1 for House OFFERpriceCheckThreshold = configuredThresholdBps x 0.0001 x referenceMid x sideMultiplierthresholdPrice = tradePrice + priceCheckThresholdif side == BID:    if vwapBidPrice < thresholdPrice:        priceCheckFailed = Trueif side == OFFER:    if vwapOfferPrice > thresholdPrice:        priceCheckFailed = True

Example

transactTime:2023-02-24T13:30:55.186Zside:OFFERinstrument:EURUSDinternalCancelReason:LastLook

1. Client requested to buy (House sell/OFFER) at 1.05443
2. The mid of the core pricing model at the time was 1.05451
3. The offer of the core pricing model at the time was 1.5454
4. The price check threshold as set in the execution rules was 0.5bps

tradePrice = 1.05443referenceMid = 1.05451vwapOfferPrice = 1.05454configuredThresholdBps = 0.5priceCheckThreshold = 0.5 x 0.0001 x 1.05451 x 1  priceCheckThreshold = 0.000053thresholdPrice = 1.05443 + 0.000053  thresholdPrice = 1.054483

If vwapOfferPrice > thresholdPrice then priceCheckFailed = True

1.05454 > 1.054483 == TRUE

Up next:

• Execution Rules - Execution Styles
• Execution Rules - Net Vol. Limit Breach
• Execution Rules - Last Look
• Execution Rules - Mid Distance Check
• Execution Rules - Tailoring the quality of execution to the quality of client
• Execution Rules - Tuning

Back to Execution Rule Overview