Matching Logic


Subscribers may trade using RFFQ with Near Miss Processing, traditional RFQ, traditional CLOB, or all three as dictated by their individual trading strategies. Similarly, any subscriber can be an Initiator, Responder, or both simultaneously as they see fit.

Protocols supported by each instrument are shown in the following table:

US Treasuries Corporates
CLOB
RFFQ®
RFQ
Supported Protocols by Instrument

RFFQ

RFFQ® (Request for Firm Quote®) order type is OpenBondX's new twist on the traditional RFQ protocol. It employs expirations and hidden limit prices to match trades in an auction-like manner.

Step 1

A subscriber initiates an RFFQ.

Other Options
  • Trade on Price or Spread
  • Minimum Fill Size: Reduces number of tickets

Step 2

The RFFQ is broadcast to all other subscribers with the price hidden.

Step 3

Other subscribers may respond with a price and quantity of their own.

Step 4

At expiration, orders are matched with price-size-time priority.

Step 5a - Match

If there is a match, the match occurs at the midpoint between the Initiator's and Responder's prices.

Step 5b - No Match

If there are no matches, check if a Near-Miss occurred.



Near-Miss Processing

Near-Miss Processing occurs when an RFFQ expires without any matches and prices are within a narrow, predefined band. The Initiator and best Responders can then all opt-in and trade at a midpoint price. Near-Miss Processing is exclusive to OpenBondX's RFFQ protocol, and thus not applicable when the traditional RFQ protocol is selected.

Step 1

The midpoint of the Initiator and best Responder is calculated. This midpoint is the "new price" for the near-miss order.

Step 2

A price band is calculated around the new price based on the near-miss thresholds.

Current Near-Miss Thresholds

Step 3

If at least one Responder is within the price band, the Initiator is given 60 Seconds to accept the new price.

Step 4

If the Initiator accepts, all Responders within the price band are given 60 seconds to accept the new price.

Step 5

At expiration, if the Initiator and at least one Responder accepted the new price, matching occurs using size-time priority.



RFQ

The RFQ order type is the traditional trading protocol used in fixed income. An Initiator declares that they are interested in receiving quotes. After price and quantity details from Responders, the Initiator then has a set amount of time to accept one of the quotes.

Step 1

A subscriber initiates an RFQ

Other Options
  • Trade on Price or Spread

Step 2

The RFQ is broadcast to all other subscribers

Step 3

Other subscribers can respond with a price and quantity that is forwarded to the Initiator

Step 4

At expiration, all quotes are locked in and cannot be canceled. The Initiator has until 1 minute after expiration to accept one quote.

Step 5

If the Initiator accepted a quote, a match occurs at the accepted price and quantity.



CLOB

The CLOB order type is a traditional central limit order book. Bids and offers are sorted in the book using price-time priority. An execution occurs when a new order meets or beats the price of the best bid (or best offer depending on the side).