RFQ vs Dutch Auction#
TetraFi runs RFQ as its primary price discovery mechanism, with Dutch auction as a fallback for specific corridor conditions. Each model has a different cost structure, latency profile, and fit for notional size.
Source material: Quote Pipeline & Auction.
Price discovery mechanisms
| Feature | RFQ | Dutch Auction |
|---|---|---|
Mechanic3 features | ||
Price formation | Solvers submit firm competing quotes | Starting price decays until a solver fills |
Number of solver quotes per trade | Typically 3–10 | 1 (first-to-fill) |
Trade-time certainty | High - firm quote before accept | Medium - price known only at fill |
Cost Structure3 features | ||
Spread driver | Solver competition | Decay curve + solver threshold |
Explicit fee to taker | 0 bps (solver-absorbed) | 0 bps |
UCCP (Uniform Clearing) | ||
Latency & Size3 features | ||
Typical end-to-end latency | 2–5s quote window | 10–60s decay window |
Best for large notionals ($1M+) | ||
Best for smaller notionals | ||
Operational2 features | ||
Requires online solvers at trade time | ||
Fallback to the other mechanism | Dutch auction if no quotes return | RFQ only if Dutch fails to fill |