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Sirius1


Total Posts: 3
Joined: Apr 2021
 
Posted: 2021-04-04 11:05
For an interview process I have been asked to write a program to simulate replying to rfqs from clients for a bond. The app should construct a ticking mid price (from random process generator) and an order book. It should simulate rfqs arriving at random intervals and reply with corresponding price.

I am not sure how to approach this task at all, I am told it doesnt need to be perfect and many assumptions can be made.

I can make an orderbook and a separate random process generator, but I cannot see the connection between the two? Nor can I see how the prices/pricing is generated?

Any ideas are greatly appreciated on how to approach this task and the outline of what I should attempt to write.

Sirius1


Total Posts: 3
Joined: Apr 2021
 
Posted: 2021-04-05 13:34
Ive done much googling on this but I cant see how rfq markets in fixed income markets work for banks. At the moment I am just making what looks more like an exchange than systematic market making in a bank

ax


Total Posts: 79
Joined: Jul 2007
 
Posted: 2021-04-06 22:26
google chat bot. then accept a rfq formatted message and respond with a quote formatted message. Then accept a trade msg and respond with execution msg. do it with yahoo messenger
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