RFQ systems rarely fail because of pricing models. They fail because the infrastructure surrounding those models becomes unstable when message rates surge.
Under load, queues behave unpredictably. Timestamps drift. Market data snapshots lose synchronisation. Curves and volatility surfaces no longer reflect the exact moment the RFQ is evaluated.
The result?
A quote that appears fast, but is already stale. And when speed masks staleness, the real risk is not latency. It is misaligned decision-making.
In modern markets, an RFQ is not just a pricing request. It is a real-time risk event.
Each trade should be evaluated against:
• The exact market-data state at that instant
• The firm’s current exposure
• The incremental impact on VaR and Expected Shortfall
Without deterministic binding between RFQ, market snapshot, pricing and risk, consistency becomes fragile under pressure.
In a world where decisions are made in seconds, stability is not a performance feature. It is a prerequisite for trust.
If you would like to learn more about Algorithmica’s RFQ solutions, please contact our sales department.