Yield Profiles - Instrument Filters
Instrument Filters can be applied for analysis of individual instruments or groups of instruments, looking at an instruments aggregate yield profile can be useful for identifying problems in pricing such as too tight or latent rates.
Filtering by an instrument or group of instruments and then adjusting the time period viewed will aggregate all client trades that occurred in the given window.
e.g. the below shows the markout of all EURUSD client trades that took place over the 4 week window:
Applying filters and then slicing and dicing using groupings helps to drill down and understand the underlying flow that makes up an instrument profile. This can help identify specific counterparties, timezones or channels which may be causing issues in viewed instruments.
Instrument filters can also be applied by
Type (CFD / Currency Pair)
Sub-type (Commodity / Cross / Cypto / Driver / EM / G10 driver / Index / Metal)
Dealt asset (LH Currency)
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