QUIK digest for the second quarter of 2018
Q2, 2018
Dear users of software products from ARQA Technologies, we would like to offer to your attention the digest of events that took place in the second quarter of 2018 and most notable changes introduced in QUIK products.
Events
As it continues developing its solutions for complex trading infrastructures, ARQA Technologies put forward its OMS solution for the European markets powered by QuantHouse data and hosting services. Cooperation of the two companies opened new opportunities for ARQA OMS — a classic OMS for sell-side companies that use the Sales&Trading approach in servicing clients.
ARQA Technologies took part in International Derivatives Expo 2018 held in London on 5 - 6 of June. This year, the event gathered over 1700 representatives from exchanges, vendors, sell- and buy-side companies. ARQA Technologies participated in the exhibition displaying ARQA OMS and the QUIK trading platform.
In the role of traditional partner of Invest Trial — a contest of Moscow Exchange for novice exchange traders — ARQA Technologies will present its own nomination 'A Random Walk Down Bolshoy Kislovskiy'. It will raffle off an Apple Watch Sport among the contest participants.
The second quarter saw three more webinars of the ‘QUIK from vendor’ series, whereby company experts provided insight into the QUIK workstation functionality. The latest webinars were devoted to setting and customization of the Quotes table and Level2Quotes table, linked windows and user filters, building graphs and indicators:
New versions of software
For the full list of changes in QUIK software products see the News at the company’s website.
As part of general development of operational support by QUIK for instruments of ‘Investment unit’ type, a number of changes were introduced in QUIK modules. Some of new features that allow operations with fractional numbers of instruments were developed in Market Data Export Module, FIX adapter, FIX Client Connector and FIX drop copy program interfaces, QUIK Workstation and server. These software products are marked by ‘*’ below.
Trading interfaces
Program interface of Indicative Quote System of MOEX Derivatives Market
The new interface provides access to the System of indicative quotes (IQS) of Moscow exchange derivatives market and allows submitting orders for low liquidity derivatives without collateral but with subsequent execution of secured trades.
For this purpose, standard tables of QUIK included additional instrument classes:
- IQSFUT “Indicative quotes on futures”,
- IQSOPT “Indicative quotes on options”.
Moscow Exchange Securities Market trading interface — 11.11.0
The interface supported version 6.0 of ASTS trading and clearing system, particularly, the new trading modes:
- LIQB — TECH trades with CCP exch,
- LIQO — TECH trades with CCP off-exch.
Moscow Exchange Derivatives Market trading interface — 11.7.0
The interface supported a new version of the trading system — SPECTRA 6.0, including:
- an option of setting a virtual trading limit for a brokerage if its settlement code is included in the ‘Unified Collateral Pool’ of Moscow Exchange,
- delivery of information about disposal accounts including data on cash and position limits as well as trades generated after forced closure of positions by the trading system.
Market data interfaces
Nanex market data interface — 2.0.0
Support of MiFID II in transmission of parameters:
- for user identification — ‘Client’, ‘Investment decision maker’, ‘Executing trader’,
- for orders — ‘Price currency’, ‘Extended order status’, ‘Filled value’,
- for trades — ‘Execute Market’, ‘Liquidity’, ‘Capacity’.
Infrastructure solutions
Several OMS orders may now be executed simultaneously on exchange.
Interaction with FIX-clients embraced the options:
- Trader may inform Client that order execution during this session was terminated without changing the status of OMS order into ‘Filled’.
- If an OMS order of SellShort type was registered by FIX client and no direction qualifier was supplied by the trading system, all trades reported to Client will be identified as SellShort type.
The internal audit system of the module started keeping track of the following events:
- direct orders from Client to Trader in the workflow involving Sales,
- all order cancellation requests from a FIX client,
- an identification number of unlinked trade following ‘Unlink trade’ operation.
Improved automation of OMS order processing:
- automated booking of OMS orders on schedule,
- a new automatic execution mode of Clients’ orders without participation of Sales or Trader.
Integration solutions
Market Data Export Module — 5.8*
Export of fractional numbers of instruments in the following tables:
- Trading accounts,
- Quotes,
- Orders,
- Trades,
- Stop orders,
- Negdeal orders, etc.
Program interfaces FIX adapter, FIX Client Connector and FIX drop copy — 3.48*
Fractional instrument units are supported in:
- forwarded, replaced or cancelled orders (FIX adapter and FIX Client Connector),
- execution reports, request and delivery of level1 and level2 quotes (all interfaces).
Supporting new functionality of ARQA OMS, FIX adapter and FIX drop copy embraced a number of additional parameters in OMS order execution reports:
- settlement currency,
- average execution price in the currency of settlement,
- trade volume in the currency of settlement.
User terminals
- A separate form of order will be used for operations to buy, sell or exchange investment units.
- Сhart functionality included a ‘Market depth’ indicator that displays instrument order volumes as horizontal histograms.
- A new type of SMS – ‘Order sent’ – provides alerts about a new order for a given client code.
- A number of new tables appeared in order to transmit new types of data from the trading system of Moscow exchange: ‘Transfer types’, ‘Cash liabilities and claims’ (Currency), ‘Bank account’ and ‘Asset liabilities and claims’.
Server
Conversion of the QUIK server to 64-bit architecture helped neutralize many problems and restrictions on high numbers of users and voluminous trading data.
Client position management embraced operations with fractional numbers of securities.
The limit calculation library activated the following options:
- setting percentage of additional reservation for market orders to sell,
- charging trading system commission for operations with OFZs in accordance with Moscow exchange tariff plans,
- setting ‘Parameters for non-trade instruction accounting’ in the ‘library settings’ dialogue,
- analysis of library settings’ change using an audit log.
The training server of ARQA Technologies providing free demo access to training systems of Moscow exchange acquired the capacity of working with algorithmic orders. This will enable users to test their own strategies with such algos as ‘Volatility’, ‘Good Till Date’, ‘Stop Order’, and ‘Spread’.
Contacts
For all questions concerning the products, their terms of use and testing please contact the Sales and marketing department of ARQA Technologies: +7-383-2191619, sales@arqatech.com
For all questions on operation of the QUIK complex please call the QUIK support service: +7-383-2191606, quiksupport@arqatech.com
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