Algorithmic trading module

The Algorithmic trading module* allows inputting and execution of algorithmic orders in compliance with built-in algorithms.

Algorithmic orders (algo-orders) are special assignments; their conditions of execution are defined by a preset algorithm. When the event, set in the algorithm, takes place, the module sends transactions to a trading system to put/withdraw orders till a complete execution of an algorithmic order volume takes place.

This module has been implemented in two options. Beside the fully functional Algorithmic trading module which is mostly used by brokers’ desks there is a ‘Algorithmic trading module light’ intended for use by brokers’ clients.

* MiFID II compliant

Module functions

  • Receiving a user’s algorithmic orders, their storage and execution with the possibility to cancel an algorithmic order by a user, 
  • Reporting a status of execution of algorithmic orders and the orders (child orders) and trades generated by algorithmic orders in the form of the QUIK Workstation tables, 
  • Preparing a detailed report on an algorithmic order execution in the HTML format.

Method of operation

  1. The module consists of server and client components. The client component is integrated into the QUIK Workstation; access to its functions is available via the Trade operations / Algo-orders menu item.
  2. The server component is connected to the QUIK server and also to the MS SQL Server database for saving the information about transactions.
  3. A user forms an algo-order using the QUIK Workstation. Own form of entering orders is provided for each algorithm. The rights of using algorithmic orders are granted by a QUIK server administrator.
  1. While receiving algorithmic orders, the module does not check the adequacy of a client’s funds; the limits are checked each time when a generated order is being formed. When a client has enough funds, an algorithmic order will register generated orders until completion of its work or when the next generated order exhausts all available funds. If a generated order can not be entered in a trading system, or if it is rejected by a trading system, then an algo-order is being canceled.
  2. Monitoring algorithmic orders execution status is carried out from the special QUIK Workstation tables:
    • “Algo-orders table” contains a list of the registered algorithmic orders and allows operating with them. 
    • “Orders, generated by algo-orders” table contains a list of the orders registered in a trading system as a result of a selected algo-order execution. 
    • “Trades generated by algo-orders” contains a list of orders executed as a result of the orders generated by a selected algo-order.
  3. When receiving detailed information on a specific algorithmic order is required, the possibility to form a detailed report in the HTML format does exist.

Supported algorithms

Algorithmic trading module

Algorithmic trading module Light

Iceberg —  execution of an order in parts, executable number at each iteration should not exceed "visible number".

supported

Volatility  is the possibility to buy/sell options with the given volatility.

supported

supported

TWAP (Time Weighted Average Price) — buy/sell of a definite volume for preset number of iterations, in definite period of time, at market price. It is guaranteed that in time of an iteration the price would not vary from the best current sell/buy price for more than a fixed percent. The overall volume of an order may be executed proportionally within a fixed time period or based on volume distribution ratios throughout a trading session.

supported


VWAP (Volume Weighted Average Price) is the same as TWAP, but with a condition that buying/selling price does not exceed the Market Weighted Average Price. A price range may be set to screen for trades used for calculation.

supported


Order with a period of validity — placement of the exchange order with the following validity periods: “Good-Till-Date”, “Good-Till-Cancel” or “Good-Till-Time-“. It is also possible to set a working range for orders in a trading session as well as transfer unexecuted parts of orders with the same tag to the next day.

supported

supported

Stop-order — closing a client’s position in a particular instrument. When the price of the instrument moves out of the range set by the user around the average weighted price of the client’s position the algorithm cancels all working orders of the client in this instrument and forwards an order to close the client’s position.

supported

supported

Spread — implies that one instrument is bought and another is sold while the spread is kept (not less than minimum set by the user) within the buy and sell prices of instruments.

supported

supported

Hardware and software requirements

Hardware Product name

Processor Intel Xeon E5504 or better.

2 GB RAM.

50 GB available hard disk space.

OS Windows 2008/2012/2016 Server x64.

DBMS Microsoft SQL Server 2008/2012/2014/2016.

The indicated hardware and software requirements are minimal. With ample resources the interfaces may be installed on the same PC as the QUIK server. Any arising questions may be addressed to the QUIK support service.

Use options

Purchase Managed services / System backup Hosting Testing
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