Mirror Channels
Mirror Channels allow you to send flow to
- different portfolio/books
- different price sources
- different execution conditions
all on the same connection.
Mirror Channel are used for Multi-channel FIX Connections. They are a fairly simple type of Channel and don't contribute towards the distribution channel allocation in your Compass license.
A Mirror Channel only requires a channel to be mirrored, and a Risk Control Profile. It will use the Market Data stream from the channel it is mirroring. However, it has its own order pipeline (enabling it to have its own Risk Control Profile).
This is particularly useful for Multi-channel FIX Connection as it means the secondary channels on a connection can use the exact same MD as the primary channel, meaning clients are not getting slipped from the price they are seeing.
Mirror channels can be utilised to split out instruments, counterparties, symbol suffixes and trading styles, allowing you to tailor the liquidity provision shown to different subsets within a FIX connection.
Splitting a channel by Counterparties
Counterparties displaying different trading styles on a single FIX connection can be split out to ensure you are rewarding your best counterparties whilst managing and optimising the flow received from your worst. These can be managed manually or dynamically by tying in Compass' automated counterparty classifier.
By tying the counterparty classifier to a mirror channel, you are able to automate workflow to optimise PnL. As a counterparties flow becomes more toxic, the classifier is able to move it between channels to fill on a channel optimised for tough flow (additional markup / more aggressive liquidity reduciton / wider spreads etc.)
This can also be manually managed through Counterparty lists.
Splitting by instrument
You are also able to split by instrument or a combination of instruments + counterparties. If you are struggling with a group of counterparties who are particularly toxic in a specific set of instruments, manage their flow through a mirror channel whilst providing them with your primary model elsewhere.
important things to note
- If the book control for the channel the Mirror Channel is mirroring is switched off, there will be no pricing for the Mirror Channel (so orders will not be filled)
- Similarly, if the firewalls for the Risk Control Profile on the channel the Mirror Channel is mirroring are tripped, that book would be switched off, and the Mirror Channel again would have no pricing
- Orders which are filled against a Mirror Channel will contribute to the Liquidity Reduction on the channel it is mirroring.
Read more about how Multi-Channel FIX Connections work here.