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Trading Dashboard - Pricing Tab

Goal of this tab is to review in real-time and in the last 24 hours, whether the Pricing models within the system are:

  • Predictive
  • Charging appropriate spreads
  • Assess their performance relative to LPs

Prices and PNL attribution

  • Mid price
  • Mid price delta - Mid price by instrument rebased at 0 at the start of the viewed period.
  • Reval P&L attribution - P&L attribution of each currency based on revalued balances. This does not include spread but is a good measure of recent
  • Dollar index

Spreads

  • Spread Discount - The discount or premium you are offering on spread by asset type (split into FX-Majors and Metals) during a period at normal quantity (usually 1M) expressed as $/M. Negative values are spread premiums
  • Internal Aggregate Median Spreads - Aggregate median spread for all of your internal pricing models across FX-Majors and Metals during a period at normal quantity (usually 1M) expressed as $/M
  • External Aggregate Median Spreads - Aggregate median spread for all of your external LPs across FX-Majors and Metals during a period at normal quantity (usually 1M) expressed as $/M
  • Internal Aggregate Market Median Spreads - Median spread for each of your internal pricing models aggregated across FX-Majors and Metals during a period at normal quantity (usually 1M) expressed as $/M
  • External Aggregate Market Median Spreads - Median spread for each of your LPs aggregated across FX-Majors and Metals during a period at normal quantity (usually 1M) expressed as $/M

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  • 25th percentile spread - The 25th percentile spread during a period at normal quantity (usually 1M) expressed as $/M
  • Median spread - The median spread during a period at normal quantity (usually 1M) expressed as $/M
  • 75th percentile spread - The average $/M spread at the 75th percentile for each LP during the given period at normal quantity (usually 1M).

LP review

  • Client price downtime - How long each LP has spent not publishing a price in the period viewed.
  • Tick count sliding average - how high are the tick counts for each LP? A high tick count can be good for predicitvity if an LP is posting up-to-date prices, however too high could indicate the LP is too chatty and result in using up all your bandwidth. A low tick count may result in latency and low predictivity as the LP isn't updating their rates fast enough. Predictivity engineering will want to produce the most informational price feed given the network bandwidth constraints. Clogged networks/switches/buffers and queues can cause your price to be latent down stream.

See more analytics around LP performance on the Trading Dashboard - LPs Tab

Previously P&L Tab | Up next LPs Tab

Back to: Trading Dashboard - Overview | Compass Contents

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