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Wide Spread Suppression

Wide spreads can impact pricing SLAs (service level agreements) which can damage relationships with recipients using the price feed. This is particularly true for distribution to retail clients that have resting orders, where a severely wide spread can result in stop orders being triggered. In this case, it may be better to bound the spreads with a published price.

Wide spread suppression is an absolute capping of maximum spreads generated in MFX Compass. This is useful protection against stopping clients out during periods of high volatility. Spreads can be capped on a per pricing model and per channel basis. Wide spread suppression can be customised to take affect over various specific instruments, timezones, pricing models, channels and regions.

Wide Spread Suppression Config is a section in the Channel Explorer section of Compass. Screen_Shot_2022-10-28_at_4.29.13_PM.png

The Wide Spread Suppression config allows tailoring of the systems behaviour when wide spreads are generated, for example around unexpected market behaviour. The spread clients receive can also be capped or made indicative. This is configured as a multiplier of the distribution market’s base spread. The inputted value represents the maximum the front of stack spread can be before pricing is suppressed.

Make sure to check the distribution.nodes.wideSpreadSuppression.spreadSchedule to ensure the channel is referencing the right base spread config.

Wide Spread Suppression Supported Styles:

  • Cap (Full Stack) - Where the spread is wider than the WSS limit, the TOB will be capped at the limit and the rest of the stack will be adjusted by the same amount as the TOB level (ie. price differences between tiers will remain the same under WSS)
  • Cap (TOB only) - Where the spread is wider than the WSS limit, the TOB will be capped at the limit and the rest of the stack is removed.
  • Indicative - Where the spread is wider than the WSS limit, the price will turn indicative and no pricing will be published from the channel
  • Disabled - No cap on pricing, the full pricing stack will be sent. Note this may result in stopping out of client trades.

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