has some details.)
Since the same EUR/USD bid/ask can be published by multiple ECN's, we needed a
TblSymbolSourceMapping
QuoteSourceID -- either an ECN or a market maker's ID
Symbol char(6) -- exactly 6 characters
SSID -- identity column
Based on this mapping, we need a
TblCrossRateAlgo
CrossSymbol char(6)
SSID1
SSID2 -- These 2 rows refer to the 4 numbers sufficient to price the
CrossSymbol in question
VehicleCurrency char(3) -- either USD or EUR
Formula -- only a few combination
With this set-up, the same cross symbol AAABBB can appear many times
in this table because I can price AAABBB bid/ask using
USDAAA b/a USDBBB b/a from Currenex (4 numbers)
EURAAA b/a BBBEUR b/a from Currenex (4 numbers)
USDAAA b/a USDBBB b/a from Hotspot (4 numbers)
EURAAA b/a BBBEUR b/a from Hotspot (4 numbers)
So which of these algorithms should I use? I feel we need to use all
of them and select the safest bid and safest offer for AAABBB symbol.
