Layer 3 — Size Check, Tranche Management & External RFQ
The Size Check layer validates the requested notional amount against two limits: the current Active Pool depth for the relevant corridor, and the configured maximum single-quote size. Critically, when a request exceeds the Active Pool depth entirely, the trade is not rejected — it is automatically routed to the External RFQ path, preserving execution opportunity for large institutional orders.
Decision Logic
| Condition | Outcome |
|---|---|
| Amount within max size AND pool depth sufficient | Proceed as single quote to Layer 4 |
| Amount exceeds max size, but pool can support tranches | Split into tranches; each tranche assigned a Tranche ID and processed independently through the full pipeline |
| Amount exceeds Active Pool depth entirely | Route to External RFQ — system requests quotes from external market makers and liquidity providers |
| External RFQ returns no viable quote | Return rejection: no viable RFQ quote available. Requester advised to try smaller size or retry later. |
Tranche Processing
When a large order is split into tranches, each tranche is processed independently through Layers 4 to 9. Each tranche may receive a slightly different price if market conditions or inventory skew changes between executions. All tranches share a common parent Order ID. The execution response includes the Tranche ID and status for each child order.
External RFQ Path
The External RFQ path is triggered when the requested size exceeds what the Active Pool can fill. The system simultaneously submits an RFQ to all configured external liquidity providers.
| RFQ Step | Description |
|---|---|
| 1. Submission | System sends RFQ to all configured external MMs simultaneously: Binance, Wintermute, and OTC partners |
| 2. Quote Collection | System waits for responses within a defined timeout window (configurable per corridor) |
| 3. Evaluation | Best quote compared against oracle mid-rate; accepted only if within acceptable deviation band |
| 4. Acceptance | Best viable quote accepted; requester notified with RFQ execution flag in response |
| 5. Failure | If no viable quote within timeout, request rejected with 'No Viable RFQ Quote' |
Received quotes are evaluated against the current oracle mid-rate and accepted only if they fall within a configured deviation band, protecting the protocol against predatory or off-market quotes.
Routing oversized trades to External RFQ rather than rejecting them preserves execution opportunity for large institutional clients. PSPs and remittance operators who need to move significant volume should never receive a hard rejection when external market liquidity exists to fill the trade.