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CFD Primary LP for an Instrument

Learn more about the benefits of Compass' CFD Product Support Here

Each LP uses their own fair value basis, blend of future contracts etc to form a CFD price. This means they are often crossed. In different swim lanes when visualised in Echo TOB View.

MFX_Echo_-_Top_Of_Book.png

Compass supports producing prices, signals & analytics based on a particular LPs basis. It uses techniques such as normalisation & cross LP analysis to produce more predictive feeds than the primary LP that are also tolerant to the loss of the primary LP.

It can support multiple pricing models where different LPs are primary for an instrument.

It's good to think about what happens when you lose your primary LPs in CFD Setups. Failovers are complicated by these different basis/dividend schedules. Compass can support loss of the primary LP without loss of basis used.

Sometimes clients request or prefer a particular LP's feed. This is where you may decide that it is worthwhile to offer different price CFD feeds for different clients.

Supporting additional pricing models results in additional operational overheads for Mahi so an additional cost is incurred.

Changing an instrument's primary LP:

Pricing Models / Client-side

  • Varying which basis to use for a process can be modified via the following server configuration key:
    pricing.marketMetadata.signalDistribution.signalReturnBenchmarkMarketSelector
  • The reference price market selectors should contain all markets you want to use as input:
    reference.referencePriceMarketSelectors
  • To enable benchmark normalisation this needs to be set to true:
    pricing.mid.benchmarkNormalised
  • Additionally, with reference to CFD Release Notes, market and/or instrument overrides may need to be changed for the following config keys:
    • pricing.marketMetadata.signalDistribution.marketSelector
    • reference.marketInstruments
    • reference.pricingInstruments
    • reference.lists.instrument.custom
    • distribution.clientConnections.fix.multiChannelConfig

HEDGING & Pools / external-side

  • The LP instrument override for the single LP will need modifying to include the new primary LP:
    https://[Server]/dashboard/distribution/liquidity-providers/pools/LIQUIDITY_POOL_CFD_LDN?tp=A-Book
  • The list of instruments for the LP's arbHedger override will need changing here:
    hedging.arb.instruments
  • The list of instruments for the LP's hybridHedger override will need changing here:
    hedging.rules.profiles.instrumentToProfileMappings
    hedging.rules.aggressive.dynamicOrderSpeeds

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