QUIK digest for the third quarter of 2019

10 october 2019

Q3, 2019

Dear users of ARQA Technologies software products, we would like to offer to your attention the digest of the main changes in QUIK products and events that took place in the third quarter of 2019.

Bank of Russia Requirements for Broker Securities Transactions at Clients’ Expense in ARQA Technologies’ Products

The requirements of Bank of Russia Ordinance № 4928-U, dated 8 October 2018 and effective from 1 July 2019, were taken into account in a range of improved QUIK products.

As part of the improvements, a new ‘MD+’ positions keeping scheme was added in QUIK software. When the scheme is used, ‘RCV1’ and ‘RCV2’ client’s margin indicators are calculated for client portfolios. When checking purchasing power of the client’s order, adjusted ‘RCV1’ is checked for its validity.

The ‘MD+’ position keeping scheme is supported in the following product versions released in the 3^rd quarter of 2019: QUIK Server 8.0, QUIK Workstation 8.0, web2QUIK module 1.15, webQUIK Workstation 7.1, mobile terminals iQUIK X 3.2 and QUIK Android X 3.2, Risk manager terminal module CoLibri 4.19, Market Data Export Module 6.3, and Moscow Exchange Derivatives Market trading interface 11.11.

Detailed information on support of new Bank’s of Russia margin requirements in ARQA Technologies products see here.

Other Software Changes

Trading Interfaces

Moscow Exchange Securities Market (Main Market Sector) trading interface — 11.19 and 11.20

The interface versions support changes in the Moscow Exchange Securities Market trading system and trading modes which came into force on 5 August and 16 September 2019. In particular, it has become possible to participate in auctions CCP with GCP and engage in 9 months REPO with GCP.

An option was added to set a list of settlement codes for a chosen instrument trading class which allows shortening the list in the order entry form.

Moscow Exchange FX Market trading interface — 12.6

The version supports changes in the Moscow Exchange FX Market trading system which came into force on 5 August 2019 including work with new instruments of the USD/JPY currency pair.

An option was added to set a list of settlement codes for a chosen instrument trading class which allows shortening the list in the order entry form.

Moscow Exchange Derivatives Market trading interface — 11.12

The version supports changes in the Moscow Exchange Derivatives Market trading system which came into force on 5 August 2019.

Makler transactions can be forwarded with a specified unified cash position of a company matched with the Derivatives Market company. Thus, it allows simultaneous work in the Algorithmic trading module with Derivatives Market clients both with not fixed and fixed unified cash positions.

KASE trading interface – 1.0

The interface was fully updated due to the Kazakhstan Stock Exchange’s (KASE) transition to a new technological platform of the trading-clearing system, using the ASTS Bridge software.

Service Modules

Messaging Module

New Messaging Module serves as an online chat to exchange messages between clients and the broker’s support service as well as to send information messages to QUIK Workstations of the broker’s clients.

Non-Trade Instructions Module — 20.30

In this interface version user rights management was transferred to a special QUIK Administrator plugin in order to have a single administration point of QUIK software. This allows:

administering the module without direct access to its database,
restricting access to the module directories for specific users with separate rights to read or record.

Infrastructure Solutions

OMS Manager Module — 5.0 and 5.1

This version has a modified solution architecture which allows using the module independently of the Algorithmic trading module and increasing flexibility of infrastructure solutions setting.

Expanded functionality for automatic booking includes:

setting auto booking for a specified OMS class or client,
auto booking over a specified period of time after OMS order execution,
generating one aggregated booking trade for the full OMS order quantity,
filling in the date and time of the last executed trade of the booked OMS order in the ‘Trade time’ (booking trade dialog box) field by default.

New in work with linked orders:

in the Linked orders table, orders can be canceled and unlinked for several strings simultaneously,
it has also become possible to be notified by the trading system about linked exchange order cancelation which was not initiated by the user.

As part of integration between the module and QORT based solutions, there are additional options:

to transmit trades to QORT in the configuration without trader books,
to set the list of trade types to be transmitted to QORT,
to select a field to be transmitted to QORT as a trade counterparty.

Algorithmic trading module and Algorithmic trading module light — 5.0

Setting a number of registration attempts for a linked exchange order in case of its rejection by the system.
Filling comments in exchange orders generated by algorithmic order with a comment equal to a strategy ID: TWAP, VWAP, Iceberg, etc.
A possibility to delete outdated data on algorithmic orders with operations executed before a specified date.
A possibility to display a modal form with information about a newly cancelled algorithmic order.
Indication of the reason for algorithmic order cancellation.

Module of electronic execution of sales QUIK EES — 2.14

Setting a closing price for EES instruments.
A possibility to resend exchange orders for the EES1 algorithm to a new liquidity source when switching a source instrument link.
Settings for tracking events related to failed OTC order forwarding with sending corresponding e-mail notifications to users (in the ‘Submit OTC order on behalf of client only’ mode).

Broker quotation system — 4.31

An option to trade bonds in the currency different from the par value one.
A new ‘Currency calendar’ type for calculation of settlement dates taking account of public holidays in different countries.
A new ‘Instrument subtype’ parameter for securities, bonds, futures, and swap instruments.
A set of stored procedures which allow automated processing of class, instrument and calendar directories.
An expanded functionality to work with REPO instruments.

Integration Solutions

FIX order router program interface — 5.0

External algorithmic orders forwarded via FIX order router are displayed in the ‘Algo orders’ table of the Algorithmic trading module (in addition to the ‘Orders’ table). This allows viewing specific parameters of external system algorithms.
There are improvements in the mechanism managing sets of fields while transaction sending, their allowed values, and automatically filling in parameters of the order entry form.
When the interface compiles the instrument directory from the source class on the QUIK server, it is now possible to ignore the session status of the source class and define it by the schedule set in the interface. This allows submitting some algorithmic orders before the trading session start and executing them after the session is opened.

User Terminals and Specialized Applications

QUIK Workstation — 8.0

QUIK Workstation was converted to 64-bit architecture.
For the Moscow Exchange Derivatives Market the algorithm to place minimum/maximum possible price was changed in entry forms of stop orders with expiration dates when choosing market price for their execution (to ensure that the price gets into the actual price range of the instrument when rolling over the stop order to the next day).
The dark theme of the interface is performed in higher contrast.

webQUIK Workstation — version 7.1

Users can request reports directly from the webQUIK trading terminal.
The terminal supports a new ‘Transfer cash’ non-trade instruction.
The functionality is improved to work with graphs:

-      change of orders/stop orders in graphs

-      opening several graph windows for one instrument

-      better graphs’ usability

The minimum password length was established (8 characters) in order to comply with GOST R 57580.1−2017.
A password recovery service was added.

Mobile terminals iQUIK X and QUIK Android X — 3.2

It is possible to obtain a password online directly through the application.
The position closing functionality takes account of the ‘High-risk’ feature (as part of the ‘MD+’ position keeping scheme).
The ‘Orders’ window contains information about the filled volume of active orders.
News is displayed in HTML format and swiped by finger left or right.

Risk manager terminal module CoLibri — 4.19

Innovations related to the ‘MD+’ position keeping scheme:

the position closing functionality takes into account the ‘High-risk’ feature,
there is a possibility to transmit ‘RCV1’ and ‘RCV2’ client’s margin indicators in margin calls text templates.

Server

QUIK server software — 8.0 and 8.1

Explicit separation of administrative users from trading ones in order to meet the requirements of GOST P 57580.1-2017.
Users can receive/reset a password without the broker specialist’s help when using two-factor authentication by login and password.
The changes related to the use of the ‘MD+’ position keeping scheme:

- new logic of checking the purchasing power for non-margin assets (calculation based on the order price). This allows registering orders for such assets with all own available cash regardless of the current market price,

- reducing the client portfolio requirements in some cases by taking account of currency risk netting in the adjusted margin calculation when checking the operation with instruments traded in the currency other than the Russian ruble

Events

Another practical webinar on working with QUIK terminal took place as part of the course conducted by MOEX School and ARQA Technologies.

At the webinar ‘QUIK from vendor: FX market’, the users learnt about nuances of trading on the FX market, details regarding the work with tables, FX plugin as well as visualized positions.

You may watch videos of two previous webinars: ‘Client positions, deferred settlements, and margin lending’ and ‘QUIK for derivatives market’.

Contacts

For all questions regarding 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 QUIK software, please contact QUIK Technical Support Team: +7-383-2191606, quiksupport@arqatech.com.

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