SWAP/Lend - Instant Repo trading


Introduction

The Repo Instruments traded on SWAP/Lend are multileg Instruments made up of 2 components: A Near_Leg and a Far_Leg, both with the exact same underlying.
They are traded atomically by "Price" - not interest rate or Bp - representing the difference (Spread) between the two legs.
All trades are Cleared by FXCH Ltd. the Crypto Clearing House.

For the first two years of operation, the platform listed mostly overnight (ON) Instrument allowing Users to "rollover" their positions in the same fashion that margin-FX is operated. Long EUR/USD positions would be rolled-over to the next Spot date every day using Tom/Next Swaps.
In Crypto, the ON Swap fulfills the same need. A LONG BTC/USD position can be rolled-over by agreeing on a SELL/BUY closing the day's LONG and reopening with a new LONG to be delivered tomorrow at close.

Near_Legs are fixed at the time of trading, as close to the current underlying Spot as possible, Far_Legs price are calculated as Near_Leg + the traded Price.

 

=> XCDE is now introducing an Intra-day Instrument to allow near real-time '''borrowing''' of assets in the same fashion as FX Swaps or Equities/Fixed-income Repo Instruments.


This document illustrates how Users can connect via API to trade our Cleared REPO Instruments (both the classic and the “new Intra-day”).
XCDE has leveraged its experience with the FIX protocol to produce a novel REST/Websocket implementation using JSON formatted messages that generally adhere to the FIX format and workflow.
If you are interested to learn about the FIX protocol syntax and message formats we have used, the FIX Protocol 5.0_SP2 specification can be browsed here FIXimate.


SWAP/Lend maintains a list of multileg tradeable Instruments. The XCDE API will provide a list of instruments in response to a properly formatted "SecurityListRequest". The SessionListRequest message will return a list and descriptions of the "Sessions" that XDCE operates: start and end times, trading models, week-ends etc.


In the first phase of market development, NewOrderMultileg (the FIX message to place REPO Orders) will need only to be populated with simple elements like Price, Qty, Direction etc. In a second phase, Users will be able to elaborate with more information on each Leg.
It will be possible to provide clearing information such as pre-allocation Settlement account and Settlement currency (in case a User wish to replace USD with a Stablecoin) for the BOUGHT assets. We plan to add more features as they become necessary, including more order types and combinations like OCAOs (offer of one assets across a range of currency pairs).

 

Copyright 2022 FXCH Ltd.

Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0

Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.

 

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