Auto RFQ

Auto Request for Quote (RFQ) functionality for Exegy’s Metro Trading Platform creates a seamless user experience for both creating and interacting with RFQs in the market.

Metro makes it easy to create and use RFQs

The “Auto-RFQ” job allows the user to configure rules to automatically respond to strategy RFQs in precise, predetermined ways. The job allows the user to customize their strategy quotes by strategy type, maturity, delta range, max strike width, max strategy legs, max contract legs, and a user-defined priority level. The algo supports an unlimited number of delta buckets for the response quote settings (bid/ask quantities and edges). Intelligent joining rules include “Never Top Alone” (avoid being the only top-of-book bid or ask), “Tighten Book Gaps” (avoid being more than 1 tick off the existing top-of-book), and a configurable initial delay (allow other market participants to create a market before you join). Each RFQ response can also be assigned a variable timeout. Specifications are conveniently organized and edited through a grid control.

Any strategy RFQ that cannot be matched to one of the grid row specifications will be sent immediately back to Metro and will be handled based on Metro’s settings. Once a quote has been sent by the “Auto-RFQ” job, any further market updates are handled by Metro until either the user refreshes quotes (to reset strategies back to their default settings) or turns the “Auto-RFQ” job off and back on. If the job is running concurrently with the “Active Volatility Manager” job (see above), the user can choose to pull quotes and stop the “Auto-RFQ” job in the event of a breach of any of the security parameters monitored by the “Active Volatility Manager”.

Supported option strategy types include: Condor, Butterfly, Calendar Diagonal, Iron Butterfly, Strangle, Straddle, Risk Reversal, Iron Condor, 3-Way, Calendar Horizontal, Horizontal Straddle, Vertical, Xmas Tree, Generic, Double, Ratio 1×2, Ratio 2×3, Covered, and Outright.

Please contact the developer at kevin@axonetric.com with any questions you might have regarding technicalities, client use cases, etc.

All of the variables below can be configured or modified at runtime. This gives users the power to modify their job behavior throughout the day without having to make code changes.

Name	Type	Default	Description
instruments	instruments		all instruments on which to listen
default_timeout	int	15	the default RFQ timeout (seconds)
verbosity	int	2	logging level: 0=minimal, 1=basic, 2=detailed, 3=extended
grid_name	string		main grid will be named “RFQ_Main_[grid_name]”
specialFlags	string		optional; CLDB=Clear grids db, FS=fast startup
checkVolBeforeResponse	int	1	0=No, 1=Yes
tightenBookGapsEdgeFloor	double	0.0	min allowed edge (in ticks) after ‘Tighten Book Gaps’ rule
excludeInstrsWithText	string		optional comma-delimited list of search strings to exclude (case-sensitive)
reqTextForInstrInclude	string		optional comma-delimited list of search strings to require, per-leg, for instrument inclusion (case-sensitive)
reqCoveringFutureInSameMonths	int	0	0=No, 1=Yes
onFillRollingWindowInSecs	int	0	0=disabled, 1-600=window length in seconds
onFillRollingWindowQtyTrigger	int	0	0=disabled, 1+ = abs cumulative qty to trigger timeout
onFillTimeoutInMins	int	0	0=disabled, 1-360=instrument timeout in minutes
skipDelayIfMaxSpreadWidthInTicks	int	0	0=whole skipDelay feature disabled, 1-50=max allowed spread width (ticks)
skipDelayIfMinSpreadSize	int	0	0=whole skipDelay feature disabled, 1+ = min required qty on bid and ask
skipDelayForRFQOnTrades	int	1	0=No, 1=Yes
edgeValuesUnits	int	1	1=In ticks, 2=In decimal price
crossedMktProtection	int	0	0=Off, 1=One-sided response, 2=Skip response