Pricing Models - Spread Configuration
Spread Configuration allows users to add/edit spreads for instrument Drivers and Crosses across priced time zones.
Compass Go-Live / Spread Cannibalisation
Initially we match a clients existing spreads to avoid spread cannibalisation (giving away spread unnecessarily cheap, without the end retail client valuing the discount). We can do this most easily via consuming your existing pricing
Spread Strategies
- Cost of Execution Make it a function of your cost of liquidity. We can calibrate our pricing models to be the median, or 95th most tight spread based on their aggregated feed or single LP
- Marketing led. Take a handful of instruments and produce customer acquisition friendly spreads
The above strategies incorporate the spread at a particular quantity too. Which helps get an honest price for large orders. We can also control spreads (at depth) in a dynamic fashion via
- MarketWidthMinimumSpreadParameters
- BenchmarkMinimumSpreadLogicParameters
Which are both tools to widen if the "market" is also widening. We also provide custom tools to widen in response to news or volatility, or via our predictive signal framework.
The team is on hand to support tailoring different pricing models to different types of pricing contexts. For example, you'd want to price very differently in aggregation with other LPs vs sole LP
Pricing Spread Setup Instructions
Leaving values empty will set pricing to be indicative only. Users must select the Pricing Model to be priced from the top drop-down. Users may export/import values to and from excel for fast annotation.
The spread configuration can be accessed via the Pricing menu dropdown and selecting the 'Spread Config' button.
Drivers and crosses are edited separately per pricing model, spreads are fully customisable per timezone also.
To switch between pricing models, use the drop down in the top banner of the spread-config page:
Editing Driver Spreads
Drivers and crosses can be directly edited from the page; values can be edited by clicking and entering a new value. Alternatively if editing a number of instruments, it can be quicker to export to excel and reimport adjusted spreads.
Adjusting spreads in excel
The configuration can be exported to an excel spreadsheet via the 'Export' button in the top right corner, which will export the spread config in csv format for editing.
Once all values have been adjusted, make sure to save the file again in csv format.
To import the file select the 'Import' button, where you can either drag the new spread-config file onto the upload box or select the file using a file browser.
If the increment between levels is not proportionate or the spread at a level is lower than the spread at a higher quantity, the values will be automatically updated - if the auto-correct checkbox is switched on:
If it the auto-correct checkbox is off, and the edited/imported spread values do not conform to Marginal Spread constraints, then the conflicting changed value will be highlighted in red. Hovering over the value will then tell you the reason it is not a suitable value.
More levels can be added or removed using the Order Book Levels button:
Editing Crossed Spreads
Crosses are calculated automatically by triangulating the driver instruments. Only the tiers to be priced need to be specified.
Triangulated crosses can be viewed and edited by firstly selecting Triangulated Cross from the drop-down menu on the spread config page:
Similar to drivers, a widening/tightening factor can be applied to each instrument. Spreads can be copied over different timezones and additional tiers added and removed via the icons highlighted above.
Additional pricing tiers and widening factors may also be added to multiple instruments via the excel export as below, this needs to be reimported in CSV format:
This allows for updating either a single instrument or a selection and are not updated on the Server until the 'Save' button is pressed to allow for inspection of newly imported spreads.