4 ms·
Explanation/translation for those of us that don't understand?
by jaflo 7y ago
Explanation/translation for those of us that don't understand?
- goatinaboat 7y agoIt is exactly as exciting as anyone would find a ChatOps Slack channel. Maybe less so.
- rbavocadotree 7y agoA trader has an idea about what inflation will look like in 2025-2030 (The 5 Year period starting 5 years from now). Lots of other people have ideas about the same thing, so there is a product you can buy or sell to bet on it. She asks her broker what price they can buy or sell it. The broker asks how much she wants and gives a price. This conversation is so common that there is an agreed upon structure for it. Bloomberg parses all your conversations and provides you with an aggregated view of all quotes brokers have offered you. You can then chart/do whatever you want with this data.
- yjftsjthsd-h 7y ago> This conversation is so common that there is an agreed upon structure for it. Bloomberg parses all your conversations and provides you with an aggregated view of all quotes brokers have offered you. You can then chart/do whatever you want with this data. I appreciate when a human interaction becomes so formalized that it becomes a de-facto API that computers can use. It would be funny to imagine a future where that interaction is happening between 2 chatbots and report results back to their humans.
- rbavocadotree 7y agoThat's actually what is happening a lot of the time. The humans are just monitoring and stepping in when needed or when they get bored.
- swyx 7y agoformer trader here. did indeed write a parser based on simple regex to read in these price quotes for our custom pricing tool. :)
- bluejay2 7y agoPerson A: where do u see 5y5y = where is XYZ financial instrument trading? (in this case, a 5y5y forward swap, I'm guessing) B: size? = how much do you want to buy or sell? A: 20k = $20,000 B: 2.4456/2.4511 = bid/offer = price/rate that A can sell/buy at A: tx
- twic 7y agoOne amendment: 20k means dollars per basis point, rather than dollars of notional. That is, enough notional that a 0.01% change in interest rates would cause a $20 000 change in the net present value of the instrument. Traders often think in these terms because it makes it much easier to compare across different instruments. Also, if you tried to trade 20k dollars notional, dealers would tell you to get lost, because an amount that tiny isn't worth their time.
- bluejay2 7y agoThanks, $20k seemed exceedingly low on a notional basis but I'm obviously not familiar with that market.
- swyx 7y agoalso known as DV01 https://en.wikipedia.org/wiki/Bond_duration#Dollar_duration,_DV01,_BPV,_Bloomberg_%22Risk%22 https://en.wikipedia.org/wiki/Bond_duration#Dollar_duration,... traded like this because it is a meaningful measure of risk regardless of tenor. also its the same whether you're doing bonds or interest rate swaps (or, rarer, options)
- swyx 7y agoand if that 2.* header is stable enough brokers often drop it because they're lazy AF
- jawilson2 7y agoThe size matters because the bid-ask spread will be different based on the size, due to factors like liquidity, volatility, order book, etc.