Filter

Introduction

The Filter is an essential part of the XCore and has to be configured carefully. Its purpose is to derive a clean stream of bid and ask prices from the configured liquidity sources (makers). Those filter bid and ask prices are then published into other components like for example the Account where they are used in calculations (pnl, margin, exposure) or the LiquidityPool where they are used as reference to correct or remove off market prices.

Configuration: Overview

The Filter configuration under XCore should be done carefully via Pending Config module to derive a clean stream of bid and ask prices from the configured liquidity sources (makers), refer the “Configuration: Overview” tutorial for detailed instructions.

Configuration: Priority

The "priority" parameter ensures that the filter operates based on the priority levels assigned to each row.

Configuration: Tolerance

"Tolerance" holds significant importance in both filter stages, namely Stage 1 and Stage 2, within XCore.

Configuration: factor_1

Factor_1 is the STAGE_1 sensitivity multiplier; see Filter for details.

Configuration: factor_2

Factor_2 is a pivotal element used in Stage 2 and defines the acceptable deviation of a maker’s price from the bid or ask average price derived from all valid makers (makers_avg).