QUIK digest for the first quarter of 2018
Dear users of software products from ARQA Technologies, we are happy to offer to your attention the digest of notable features introduced in QUIK products and events that took place in the first quarter of 2018.
MiFID II and products of ARQA Technologies
European regulations MiFID II that came in force on 3 January brought about developments in a number of QUIK software products. Among versions released in the first quarter of 2018, features supporting MiFID II were introduced in the server software, OMS Manager Module, QUIK Workstation, market data interfaces and FIX program interfaces. For more details of MiFID II support in products of ARQA Technologies see this.
Support of MiFID II in QUIK server — 5.17 required development of existing and incorporation of additional restrictions to the limit calculation library. They include – on maximum number of transactions per time interval, maximum size of long or short position, maximum order size as percentage of instrument volume per period, maximum/minimum lot number per order, etc.
For QUIK Workstation — 7.16, OMS Manager Module — 4.1 and 4.2, as well as market data interfaces Bloomberg B-PIPE — 2.0, TREP RT (Thomson Reuters) — 5.0.0, SunGard Global Network — 6.3.1, new parameters in tables of orders and trades identify users as ‘Client’, ‘Investment decision maker’ and ‘Executing trader’.
Besides that, program interfaces FIX adapter — 3.45, FIX Client Connector и FIX drop copy — 3.44 contain «’Liquidity indicator’, ‘Capacity’, ‘Trading venue identifier’ in their execution reports.
- client report indicates time of registration by trading system,
- trade reports transmit OrderCapacity parameter in all cases,
- Market Data Incremental Refresh messages submit information on current trading status and an exchange number of an anonymous trade.
Other changes in software products
Bloomberg B-PIPE Market Data InterfaceFor FX trading there is an option to use Terminal module FX, which transmits quotes in a format convenient for traders, executes trading operations with one click and displays quotes for standard preset volumes.
Trading access is provided to instruments, execution of which is considered to be OTC trades in line with existing ‘Rules of clearing activity on CC MFB securities market’.
Market data interfaces
Support is provided for bitcoin future contracts on Cboe XBT.
Transmission is available for LSE, NYSE and NASDAQ index parameters.
A new field was added to the ‘Non-trade instructions’ table: ‘Registered’ with the name of QUIK user who forwarded the order.
- Each contract type (Securities, Bonds, Futures) acquired a new ‘instrument subtype’ parameter.
- Support was provided to operations with new instruments — bonds and FX.
- The system acquired a ‘House-order’ type for proprietary operations by broker.
- There is fast registration of ‘SellShort’ orders.
- The alert system notifies Sales on order execution by a Trader.
- OMS-order processing is accessible from the table of OMS-orders and may be carried out with ‘hot’ key combinations.
The functionality of FIX-client includes:
- switching off trade reporting mode so that clients receive only finally approved execution reports,
- direct interaction between FIX-client and Trader on order cancellation or modification.
- There is a possibility to add ‘internal comments’ for users without transmitting the former to the trading system.
- The use of GTD algorithm may include obligation to specify the start and termination of execution period.
Improvements were made in algorithms for price and volume transformation:
- the EES2 algorithm acquired an option to forward orders inside spreads with price better than that of the current counter quote,
- the order execution mode in the trading system may be set by classes of instruments.
There is optimized dissemination of updates in coupons and traded instruments’ reference data that appear on QUIK users’ workstations in online mode.
Forwarded instruments may be identified by different types of instrument codes within one FIX connection to execution broker.
Reports are sent about rejected cancellation of a negotiated deal order when this negotiated deal order gets an execution status.
Support is provided to group orders forwarded in REPO-M (negotiated) and REPO with CCP (negotiated and anonymous) trading modes of the Moscow Exchange Securities market.
There are additional functions of graphical analysis:
- a price step of instrument may be set as a minimum in settings of vertical graph scale,
- Fibonacci levels may be annotated both on the right and on the left side,
- it is possible to draw the ‘Fibonacci fan’ trend by countertrend,
- the ‘Ruler’ instrument may be arbitrarily moved around plotting area.
To see the full list of changes in QUIK software products please visit News at the company’s website.
The 14th annual seminar of ARQA Technologies gathered 360 participants from over a hundred client companies (more about the seminar).
There were several reports delivered by ARQA representatives:
- New products and services of the company (Danil Baburin)
- QUIK as ecosystem (Roman Anokhin)
- MiFID II requirements implemented in company's products (Konstantin Prosvirov)
- OTC trading with QUIK products (Mikhail Shubin)
A new series of monthly webinars ‘QUIK from its vendor’ was launched this quarter. The company representatives will tell about functionalities of QUIK Workstation and mobile terminals from initial installation to setup and complex algo orders and internal programming languages.
Videos of recent webinars are available on the official channel of ARQA Technologies on YouTube:
For all questions on operation of the QUIK complex please refer to the QUIK support service:
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