Asking Three Desks for the Same Price at the Same Time

I asked one desk for a price for a year because that is who we had a relationship with. Comparing properly took one change of method. I had assumed these numbers were unknowable until I found an OTC crypto desk publishing them.

My first attempt

I asked one desk, noted the price, then asked another a few minutes later.

The second was better. I concluded the second desk was cheaper, which was wrong, because the market had moved in between.

A quote is valid for seconds. Comparing across minutes measures the market, not the desks.

What works

Request from all of them within the same few seconds, then convert each to a percentage against the market price at that moment.

We do it with a group message and three replies. It is not sophisticated and it works.

What we found

No desk was consistently cheapest. The best one varied trade by trade.

The average gap between best and worst was meaningful on our sizes, and during volatile periods it widened considerably.

Our long-standing desk was not the worst and was not usually the best.

Why they differ

As far as I understand it: what they already hold. A desk that is already long something and wants less of it will quote a buyer better. If you are being paid rather than paying, a corporate crypto wallet with segregated accounts handles the same thing in reverse.

You cannot see that. Over time you notice which desk is consistently competitive on which side of which asset.

What I record now

Date, asset, direction, size, the market price at the moment, each quote, which we took.

Twenty entries told us who prices our flow well at our sizes. Nothing else would have told us that.

The relationship question

Comparing every trade can strain a relationship, and relationships do produce better pricing because a known counterparty is less risky.

Our compromise: most flow to two desks, all three quoted on anything large, and a look at the averages each quarter.

Raising it when a desk drifts

We did this once, with data rather than an accusation. Over the quarter our average with them had been wider than a comparison quote.

They improved. A desk that cannot explain a gap and does not improve has answered the question.

The thing that is not about price

Who sends first, and what prevents the other side from not sending back.

We settle through a regulated intermediary holding both legs for anything with a new counterparty. The fee is small and it converts a risk we cannot assess into one we can. Compare anything you are offered against the published coverage list before committing.