RFQ Protocol Data refers to the structured information generated and exchanged during a Request for Quote (RFQ) process, encompassing all details related to a price inquiry for a specific crypto asset. Its purpose is to record the terms, bids, asks, and eventual execution status of potential institutional trades. This data forms a critical audit trail for bespoke transactions.
Mechanism
This data set includes parameters such as the asset identifier, requested quantity, desired side (buy/sell), timestamp of the request, quotes received from various liquidity providers, their respective prices and sizes, and the final chosen execution price. It is typically formatted according to established messaging standards and transmitted securely between the requester and liquidity providers. Distributed Ledger Technology can be leveraged for enhanced auditability.
Methodology
The strategic approach utilizes this data for comprehensive post-trade analysis, enabling the evaluation of liquidity provider performance, assessment of execution costs, and identification of optimal RFQ strategies. By analyzing the spread competitiveness, response times, and fill rates across different venues and counterparties, institutional traders can refine their sourcing of liquidity for crypto options and large block trades.
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