Module of smart order routing QUIK SOR
The module of smart order routing QUIK SOR is used to automate broker operations at several trading venues to achieve best execution.
- Forming aggregate quotes for several trading venues in specified instruments.
- Translating best quotes for given volumes.
- Execution of forwarded orders at available trading venues.
The module is connected to trading venues (sources of liquidity) both through the FIX protocol as well as through interfaces available in the QUIK server.
The module processes two types (classes) of instrumentsSimple class — FX pairs traded at available venues (e.g. USD/RUB).
Request for quotation in simple SOR class
- After start the module calls for quotes in all instruments of the class and forms an aggregate quote. While the module is in operation all quotes are updated.
- When a user submits an order for a given volume the module works out bid and ask quotes for a particular instrument at a weighted average or worst-case execution price for the volume of the original order.
A request for an amount may also be formed with regard to required sources of quotes and the currency of the instrument’s price.
Request for quotation in compound SOR class
- On receiving quotes the client is able to put forward limit and market orders.
- After the client puts up orders the module forwards corresponding orders to the trading venues. The total volume of an order is distributed in the same proportion as the one used for quotes calculation and prioritized liquidity sources.
Variants of Use
- The module may be used both for prop trading and client servicing.
- The module can only use the means of access to external trading venues available at the QUIK server.
- To build a more sophisticated technological infrastructure one may use other products by ARQA Technologies, such as the QUIK Matching Engine, the Module of electronic execution of sales QUIK EES and the FIX program interfaces. Thus, the QUIK SOR module is used for broker’s clients’ access to FX instruments within the system of FX Dealing.
- All variants of use employ the full functionality of the QUIK server in terms of monitoring the client’s unified position and the entire range of risk management approaches implemented in the server.
Hardware and software requirements
Processor Intel Xeon E5504 or better.
2 GB RAM.
10 GB available hard disk space.
OS Windows 2008/2012 Server x64.
DBMS Microsoft SQL Server 2008/2012.
SQL Server Native Client 10.0.
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