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 1x2, Ratio 2x3, Covered, and Outright.
Please contact the developer at firstname.lastname@example.org with any questions you might have regarding technicalities, client use cases, etc.
Auto-RFQ_Documentation.pdf(PDF 232028 bytes)
Remember that in Metro NOW, dashboards and widgets can be utilized in both OnRamp and Metro clients.