Pricestream

A Quick Start for Trever Trading

Pricestream Service

For computing Request For Quotes (RFQ), Trever Trading leverage the Trever Pricestream service, which computes an RFQ given a request asset, a request quantity, risk parameters and a margin for a certain symbol or route. If no routes is specified, then all available routes for the given symbol are eveluated and all RFQs will be returned from best to worst.

Margin

In Trever Trading, margins can be configured at multiple levels:

  • API Attribute: Specify the margin directly within the execution request.
  • Workspace: Set the base margin for the entire workspace, either Default or Premium.
  • Trading Route: Specify margins for different routes. They can be Default (inheriting margin setting from the Workspace) or Custom.
  • Customer Margin: Define margins specific to the customer, choosing between Default or Premium.

Risk

In our ongoing efforts to ensure efficiency and accuracy in our RFQ process within Trever Trading, it’s imperative to understand the calculation methodology behind the “Risk Premium”.

Below is a concise breakdown of our approach:

  1. Risk Measurements:

    Market data for all used symbols (i.e., trading pairs) are fetched asynchronously from the Market Storage Database at a polling frequency of 0.2 Hz. Risk Measurements are calculated every minute over a sequence of the most recent 2 hours, grouped by 10-second intervals. Volatility prediction is made using a Statistical approach, yielding percentiles from 60% to 99.5% for volatility, which are stored in our database. Risk premium is then calculated using the expected shortfall method based on predicted volatility.

  2. Inter- and Extrapolate Risk:

    Interpolation of risk is performed for any value between 60% and 99.5% based on risk measurements. Risk premium is extrapolated for quotation durations of 30, 60 seconds, and even 0 seconds, which results in 0 risk premium.

  3. Explanation of Risk Quantile / Risk Duration:

    Reflects the predicted price tolerance over a defined duration, factoring in historical price development. Higher Risk Quantile and longer Risk Duration imply a wider price tolerance to cover higher price volatility.