Apama 10.3 | Apama Capital Markets Foundation Documentation | Capital Markets Foundation | Market Data Management | Synthetic datasources | Price spreader/skewer | Spread/skew configuration
 
Spread/skew configuration
The Price Spreader/Skewer uses the following configurable parameters:
Parameter
Type
Allowable values
Default value
Mandatory
Description
id
string
Any string
None
No
Uniquely identifies a set of spreader parameters.
skewDirection
string
bid, ask and off
None
Yes
Specifies the direction towards which the prices are to be skewed. An error returns the message: Skew direction 'given value' is not an option.
spread
Percentage
string
positive float, NORMAL, MODERATE and HIGH
None
No
Percentage by which the prices are to be skewed or to specify the level of volatility. An error returns the message: Spread percentage 'given value' is not valid, Spreader instance not created.
spreadPercent
NormalVolatility
float
float
None
No
Percentage spread to be applied to the prices at NORMAL volatility level. An error returns the message: Spread percentage for NORMAL volatility 'given value' is not valid.
spreadPercent
Moderate
Volatility
float
float
None
No
Percentage spread to be applied to the prices at MODERATE volatility level. An error returns the message: Spread percentage for MODERATE volatility 'given value' is not valid.
spreadPercent
HighVolatility
float
float
None
No
Percentage spread to be applied to the prices at HIGH volatility level. An error returns the message: Spread percentage for HIGH volatility 'given value' is not valid.
spreadMinQty
Limit
integer
positive integer
0
No
Minimum quantity of liquidity required for bid and ask for production of a valid price. If the minimum liquidity is not achieved a zero value BBA is produced. Cannot be negative or greater than spreadMaxQtyLimit. An error returns the message: Minimum quantity for spreading bid/ask prices cannot be greater than the maximum value specified or Minimum quantity for spreading bid/ask cannot be a negative.
spreadMaxQty
Limit
integer
positive integer
0
No
Maximum quantity of liquidity to be used for a valid price. An error returns the message: Maximum quantity for spreading bid/asks cannot be a negative value.
skewPercentage
string
positive float, NORMAL, MODERATE and HIGH
0
No
Specifies the percentage by which prices are to be skewed or the level of volatility. An error returns the message: Skew percentage 'given value' is not valid, Spreader instance not created.
skewPercent
NormalVolatility
float
positive float
None
No
Percentage skew to be applied to prices at NORMAL volatility level. An error returns the message: Skew percentage for NORMAL volatility 'given value' is not valid.
skewPercent
Moderate
Volatility
float
positive float
None
No
Percentage skew to be applied to prices at MODERATE volatility level. An error returns the message: Skew percentage for MODERATE volatility 'given value' is not valid.
skewPercent
HighVolatility
float
positive float
None
No
Percentage skew to be applied to prices at HIGH volatility level. An error returns the message: Skew percentage for HIGH volatility 'given value' is not valid.
pubMode
string
TOP_OF_BOOK, VWAP
None
Yes
The spreads calculated are either based on the best prices (top of the book) or the VWAP (Volume Weighted Average Price) for a give volume. An error returns the message: Publication mode 'given mode' is not an option.
vwapVol
integer
0 or greater than 0, in case of publication mode VWAP, the value should be greater than 0
0
No
Volume used to calculate the VWAP when the publication mode is VWAP. An error returns the message: VWAP volume 'given value' must not be negative or Negative or zero vwap volume is not valid, Spreader instance not created – message generated in case publication mode is specified as VWAP and the vwapVol value provided is negative or 0.
spreadAdjuster
integer
integer
None
No
Spread adjuster, used to modify spread percentage.
skewAdjuster
integer
integer
None
No
Skew adjuster, used to modify skew percentage.
minBBASpread
float
0 or greater than 0
None
No
Minimum spread that can be applied to the prices. An error returns the message: Negative minimum BBA spread 'given value' is not valid.
decimalPlaces
integer
integer
0
No
Decimal places used for rounding prices. An error returns the message: Negative decimal places 'given value' is not valid.
publishPrices
boolean
true, false
true
No
Flag to enable or disable publishing of prices.
acceptOrders
boolean
true, false
false
No
Flag to enable acceptance or rejection of client orders for the instrument.

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