Liquidity Pools - Configuration
New Liquidity Pools are created from the Distribution tab in Compass. Liquidity Pools can be constructed and used for various purposes.
Liquidity Pools can be used as a prinicipal or broker price source or a continuity pool and are distributed to counterparties via the Channel Explorer. Similar to pricing models, Liquidity Pools have in-built pricing protection filters to avoid publishing stale or Crossed rates, however note that a liquidity pool doesn't provide the same fine-grained control over the spreads, TOB quantity and depth published to your clients.
- Broker Pool - generally a collection of your LPs who have less restrictive acceptance criteria, or those where relationships are not likely to be damaged
- Internalisation Pool - a more optimal set of LPs, they should have predictive, good rates. Price model formation has a more extensive set of filters, nodes and signals and should be used in preference over a pool.
- Continuity Pool - designed to provide higher availability pricing, by building a Liquidity Pool solely from these type 2 LPs.
Check these pages to learn how to assess your LPs for use in each type of pool LP Relationship Management, Aggregators - LPs & Gazelles and LP Continuity of Rate Provision.
Instruments
Instruments can then be added by selecting one of the predefined lists, or individually, the predefined lists are:
- All instruments
- CFDs
- Commodities
- Crypto
- Energy
- FX
- FX Crosses
- FX Drivers
- FX Emerging Markets
- FX Majors
- FX Scandies
- Indexes
- Metals
- Share Indexes
Lists are not mutually exclusive, some instruments will appear in more than one. Compass also supports creation of tailored lists.
All instruments given in the pools configuration will be priced by all markets, learn how to specify LPs for pricing instruments here
Constituents
Constituents make up all LPs to be included in price formation for all instruments defined on the pool. The best (uncrossed and up-to-date) TOB price will be published from the pool of LPs regardless of available quantity.
Markets can be added by predefined list or individually selecting. Market lists will need to be defined in reference.lists.markets.
Overrides
Exclusions and Inclusions can be added to specify which markets/lists should or should not be included in constructing the order book for specific instruments/lists.
This allows you to use an LP for externalising flow or pricing availability only in selected instruments. A Market does not have to be specified in the constituents to be included for a given instrument.
Overrides and pools can be removed at anytime by clicking the red bin or 'x'
Learn more here about using pool LP Inclusions/Exclusions for Pricing Instruments and their uses for tailoring Pool order book construction and flow routing.
Broker logic Settings
Broker logic settings is where provider specific settings such as price precision, min/max order sizes, supported order types and market data throttles can be set:
- Work Market Orders
- If the client order is a market order and workMarketOrders is set to false, the pool will send a market order for the full amount to the best LP in the aggregated book. If set to true the pool will target individual quotes in the aggregated order book with IoC limit orders.
- Tighten Limit Price
- In case of a limit order, when aggressing the aggregated book the pool will use either the limit price on the client order (when set to false) or the best price seen in the aggregated order book at the time of execution (when true).
- Number of Waves
- The number of times execution will be attempted when seeking to fill the remaining balance.
- Time Between Waves
- How long the pool will stay dormant for after a single wave to allow markets to recover.
- Throttling
- Rejections: If more than the given limit of rejections occur in the specified time period (ms), the pool will pause before sending further orders.
- Requests: limits the amount of orders that can be sent to an LP in a given time period.
- Min TTL: the. minimum amount of time an order can be on the market before cancelled or replaced.
- New Order Timeout: minimum time to stand down after an order has been placed on a given market
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