Solutions for direct market access with pre-trade control

The line of trading interfaces for direct access to exchange and OTC trading with incorporated technology of low-latency pre-trade control. 

Operating principle

  1. The interfaces are designated for connecting external trading platforms (primarily algo trading systems) directly to exchange and off-exchange systems bypassing the QUIK server while ensuring pre-trade control of order flow with a minimal added latency to trading operations and market data reception.
  2. Applied for purposes of direct integration these solutions employ the unique technology of ‘RISQ filter’ developed by ARQA Technologies. The technology performs pre-trade control of order flow on the basis of market data and information on client/trader’s position and working orders with negligible effect on the overall latency of the order flow. This actually represents a pre-trade check of the basis of post-trade data.
  3. The line of RISQ solutions employs QUIK server as the RISQ server conducting all necessary computations in accordance with risk control models set by broker. The RISQ server performs necessary computations and supplies the RISQ filter component with information on whether further trading for a certain account is permissible.
  1. The RISQ filter itself is capable of fat finger checks including:
    • instruments allowed for trading (permitted / prohibited instruments filter, inclusion in the list of reference);
    • maximum order size;
    • divisibility of order volume by instrument lots;
    • order frequency (flood control) and total order volume over a time interval.
  2. More sophisticated models of risk control are available within the RISQ server functionality.
  3. This technology is applicable for pre-trade control in low-latency infrastructure and is aligned with servicing HFT clients. Additionally the technology dovetails with external applications when direct integration with QUIK server is not feasible.

General connection scheme

Implementations

The line of direct access solutions using RISQ filter technology for pre-trade checks:

  • FIXPreTrade — a solution that may be integrated in any FIX-infrastructure (risk management implemented without affecting the existing trading infrastructure). 
  • FIX2Markets — trading interfaces for direct access to MOEX markets and LSE spot market. In these solutions client application is connected to FIX2Market through FIX protocol whereas FIX2Market is connected to the exchange platform through the latter’s native protocol. 
  • MICEXPreTrade — an interface for integration with the ‘gateway’ of MOEX. A client application is connected directly to the exchange through native protocol and RISQ filter operation is integrated with the exchange software.
  • FIX2QME – an interface for connecting to QUIK Matching Engine.  An external platform is connected to FIX2QME by FIX protocol.

FIXPreTrade

  1. The module is fitted into broker’s technological infrastructure which is built on FIX protocol and functions as an integrated FIX proxy-service.
  2. It has time keeping functionality measuring (in microseconds) the length of time between forwarding an order to the trading system and receiving the trade confirmation signal.
  1. The module also allows receiving Drop Copy in situations when this cannot be done in a standard manner.

FIX2Markets

  1. The family of program interfaces FIX2Markets includes: 

    as applied to Moscow Exchange
    • FIX2CETS (FX market), 
    • FIX2MICEX (‘Main market’ sector of Securities market), 
    • FIX2Plaza2 (Derivatives market). 
    The interfaces have ‘Cancel on disconnect’ functionality that is available in gateway interfaces of the Securities (‘Main market’ sector) and FX markets of the Moscow Exchange. This functionality allows automatic cancellation of orders when a threshold of temporary inaction is reached or the connection to the trading system and/or external platform is deactivated or lost.

    as applied to London Stock Exchange
    • FIX2LSE* (spot market),

    • * MiFID II compliant
  1. Data exchange between FIX2Markets deployed by the broker and an external platform’s server is carried out via FIX protocol messages. Quite often both solutions are in the same network.

MICEXPreTrade

  1. The solution has resulted from a joint project with MOEX. It is integrated with ASTS Bridge and employs the native API of the exchange.
  1. The interface is used for trading at the Securities market (‘Main market’ sector) and at FX market of MOEX.

FIX2QME

  1. The solution serves as a proxy-server between the client and QUIK Matching Engine. The interface delivers orders in the system and retrieves market data from it.
  2. The data is transmitted by FIX-messages over TCP/IP protocol between the client and the program interface.
  1. The solution supports trading in spot market instruments only (equity, FX).

Comparison table for fast pre-trade solutions

FIXPreTrade MICEXPreTrade FIX2MICEX FIX2CETS FIX2Plaza2 FIX2LSE FIX2QME
Markets For any FIX-based infrastructure MOEX (securities market, FX market) MOEX (securities market) MOEX (FX market) MOEX (derivatives market) London Stock Exchange (spot market) QUIK Matching Engine
Market Data available No No Yes Yes Yes No Yes
Drop Copy available Yes No No No No No No
Protocol for connecting solution to trading platform FIX Native API Native API Native API Native API Native API Native API
Protocol for connecting client to solution FIX Native API FIX FIX FIX FIX FIX
Latency added by RISQ filter 5–40 mcs 5–7 mcs <100 mcs <100 mcs <100 mcs 5–40 mcs 100 mcs
Time measuring function (mcs) to clock the interval between order forwarding and fill confirmation receipt Yes No Yes
Yes
Yes
Yes
No
Additional
Integrated with ASTS Bridge (native protocol of exchange gateway) Support entry and modification of orders for MOEX closing auction Support entry and modification of orders for MOEX closing auction Support client requests to forward and replace ‘calendar spread’ orders

 

Hardware and software requirements

FIXPreTrade, MICEXPreTrade

Hardware Product name

Processor Intel Xeon 3.2 GHz or better.

1 GB RAM.

10 GB available hard disk space.

OS Windows Server 2008/2012/2016 (x64).

FIX2CETS, FIX2MICEX и FIX2LSE

Hardware Product name

Processor Intel Xeon E5504 or better.

2 GB RAM.

20 GB available hard disk space.

OS Windows Server 2008/2012/2016 (x64).

FIX2Plaza2

Hardware Product name

Processor Intel Xeon E5504 or better.

4 GB RAM.

30 GB available hard disk space.

OS Windows Server 2008/2012/2016 (x64).

FIX2QME

Hardware Product name

Processor Intel Xeon E5504 or better.

4 GB RAM.

50 GB available hard disk space.

OS Windows Server 2008/2012/2016 (x64).

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

It is possible to use a virtual server.*

* — If a virtual server is used, in cases of complaints concerning performance ARQA retains the right to conclude that it may be impossible to diagnose causes.

Use options

Purchase Managed services / System backup Hosting Testing
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