New version of Module of electronic execution of sales QUIK EES — 2.12.0 released

20 march 2019

The main change in this version of the Module relates to a new algorithm for execution of sales – ‘EES3’. The algorithm enables a model to provide quotes for a specified volume using a relative and absolute spread but supporting a changed approach to on-exchange execution of client orders. A peculiarity of this algorithm is lack of control for client orders price deviation from calculated quotes.

If the negotiated mode is chosen, and the order price is ‘out of market’, such order will have the ‘Active’ status in the Level2Quotes table, and will be waiting for a counter offer. Only market orders are placed in the main liquidity source for execution.
Besides that, the ‘Trading calendar’ in the Module now allows setting a schedule for currency trading. This makes it possible to avoid separate setting of trading schedules for instruments nominated or traded in this currency.

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