Lesson 14 of 21 · Bond Trading Automation
RFQ Auto Pricing
The overbond academy will help you understand fixed income market fundamentals
What this shows: Each incoming RFQ is answered with a COBI price inside the dealer bid/ask band; a better price than the competing quote is a hit.
20 RFQs answered, 12 hits: hit ratio 60%.
RFQ Auto Pricing
RFQ auto pricing is the pricing of a bond or list of bonds by a dealer in a response to a request for quote (RFQ) from a client in which an algorithm determines the price of the security without human intervention. This price may then be used for execution which may or may not involve human intervention or approval. COBI-Pricing LIVE gives desks the ability to fully automate 30 per cent of their requests for quotes (RFQs) and execute an additional 20 per cent with trader supervision.
RFQ auto-pricing has been made possible in recent years through the development and widespread adoption of electronic trading in the bond markets, the development of AI models that can price fixed income securities and score their liquidity, an increase in speed resulting from advances in cloud computing, and the development of protocols that allow for data aggregation and increased interoperability of the systems used in trading workflows.