QUIK digest for the third quarter of 2021

15 october 2021

Q3, 2021

Dear users of ARQA Technologies software products, we would like to offer to your attention the digest of the main changes in QUIK products made in the third quarter of 2021.

Events

On 22 September 2021, ARQA Technologies, Moscow Exchange, and Interfax held a joint webinar for professional market participants with a discussion of methodological and technical issues of the marking of complex financial instruments. The event was organized as part of preparations for implementation of a mechanism on the Russian Securities market for obligatory testing of unqualified investors planned for launch on 1 October 2021.

The video library has extended its collection about the QUIK system capabilities. Four new videos are published on the YouTube channel and website of ARQA Technologies.

New Modules

KASE Derivatives Market trading interface

The interface allows for derivatives trading on the Kazakhstan Stock Exchange.

New Versions of Software

For the full list of changes in QUIK software products, see the News on the company’s website.

The improvements in QUIK products made to support a service for marking complex financial instruments are marked below with a «*» symbol.

Trading Interfaces

Moscow Exchange Securities Market (Main Market Sector) trading interface — 13.3 and 13.4

The interface supports changes of the Exchange on the Securities market that came into force on 27 September 2021.
A new mode was added to trade foreign securities with settlements in Hong Kong dollars.
There is support for transmission of the ‘Type of complex financial product’ parameter.*
It has become possible to deactivate stop orders of the evening trading session on the Exchange’s Securities market.

Moscow Exchange Clearing System of the Securities Market (Main Market Sector) program interface — 12.5

The interface supports changes of the Exchange on the Securities market that came into force on 27 September 2021.
There is a possibility to change a password for the Exchange’s IDs in use.

Moscow Exchange FX Market trading interface — 13.5

The interface supports changes of the Exchange on the FX market that came into force on 27 September 2021.

Moscow Exchange Derivatives Market trading interface — 12.7

The interface supports changes in Derivatives market Trading system (SPECTRA 6.12).
There is an expanded functionality to work with futures calendar spreads.
Clearing participant Broker firm parameters now can be changed (in particular, changing of default prohibition of a discount for futures is available for clients of the firm).
It has become possible to disable transmission of the 'Deposit funds in foreign currency' limit type in Russian rubles.
Transmission is supported for settlement currency in trades.
FUTRSK class is not supported anymore as a result of support termination of risk balancing between currency and derivatives markets.

Saint-Petersburg Exchange trading interface (Foreign securities market) — 2.14 and Saint-Petersburg Exchange trading interface (Russian securities market) — 1.5

Both interfaces are now able to transmit a feature of a complex financial instrument*, the instrument’s exchange ID, and an extended status of an order.

For the Foreign securities market, the interface supports the work with OTC bonds in negotiated modes and REPO modes, as well as with SWAP instruments on the FX market.

AFX special program interface — 2.5

It has become possible to execute trading operations with SWAP instruments of the FX market.
The interface works with fractional numbers.

News and Market Data Interfaces

QuantHouse market data interface — 7.8

The interface supports the work with Borsa Italiana (shares).
It has become possible to work with new instrument types: ETC (Exchange-Traded Certificate), ETN (Exchange-Traded Note), and RIGHTS (Rights Offering).
There is a possibility to set working and non-working days for a specified currency in the calendar file.

Infrastructure Solutions

OMS Manager Module — 5.13 and 5.14

The main improvements relate to the work with orders:

there is a new mode for automatic OMS orders booking. When the mode is activated, OMS orders are booked right after their status is changed to ‘Completed’, after scheduled ‘Autobooking’ regardless of the order status or after the session closure,
an option was added to specify a trader book during the registration of a new OMS order via the FIX interface,
there is a possibility to set calculation of an average weighted cross rate in the OMS order form with no account of booking trades,
it has become possible to deactivate an automatic acceptance of the OMS order for execution by user with the 'Trader' role if the order is registered by other user with the 'Sales-Trader' role,
there is a possibility to register a new OMS order in the context menu of ‘Account state’ and ‘Positions in instruments’ tables of the QUIK workstation,
it has become possible to set a number of menu items for the OMS class by using the ‘Execute’ button on the OMS order form and in the context menu of the OMS orders table,
a panel of final parameters displayed in the bottom part of the OMS orders table now can be set flexibly (it is possible to choose only parameters required to be displayed).

Also, the module supports the work with bonds with an indexed par value.

Module of electronic execution of sales QUIK EES — 2.20 and 20.21

There are innovations which relate to algorithms:

– it has become possible to set depths of transmitted Level I and Level II quotes in the EES1 algorithm,
– in the EES2 algorithm, support is provided for full intramodular execution of market orders without a check of the order volume specified in the order’s entry form,
– the EES-FX algorithm supports SWAP instruments and it is possible to set spreads for a client code filtered by types of FX instruments.

The Module allows linking EES instruments to OTC instruments with fractional numbers.
In the ‘Tenors’ directory, it has become possible to specify the number of days, weeks, months, and years of a settlement period.

Module of smart order routing QUIK SOR — 4.1 and 4.2

The Module acquired an option to view and edit the Module directories via the interface of the QUIK Administrator user rights’ editor which allows:

– administering the Module in real time without direct access to its database,
– restricting access to Module directories for specific users with separate rights to read or record.

It has become possible to send email notifications about a potentially incorrect state of Level II Quotes by SOR instruments.
A new check was added for stopping attempts to forward an order to the liquidity source.
In the ‘Tenors’ directory, it has become possible to specify the number of days, weeks, months, and years of a settlement period.

QUIK Matching Engine — 1.22

The Module has a new auction type – ‘Private Standard Auction’ – which enables placement and redemption of corporate shares and bonds.
In the Quotes table, the ‘Coupon payment frequency’ parameter was added for fixed rate bonds and floating rate bonds.
The Module supports execution of stop orders for opening auction trades.

Integration Solutions

FIX adapter and FIX drop copy program interfaces — 3.65

Both interfaces have an expanded functionality to work with the Bookbuilding module:

it has become possible to request placement parameters,
Execution Report messages can be sent for all orders in all possible statuses.

Other important improvements:

the EСHO command functionality in the FIX messages scheme, previously used only for registration and cancellation of orders, has been expanded to request quotes (QuoteRequest),
the current trading date is transmitted from the QUIK server in the ‘ClearingBusinessDate’ parameter of the ‘PositionReport’ message.

In addition, the FIX adapter program interface allows specifying a trader book during the registration of a new OMS order.

FIX order router program interface — 5.6

The interface acquired an option for automatic creation of new instruments in the Interface’s directory based on received messages about an order or a trade for instruments unavailable in the directory.
There is also a possibility to get information on a cross rate and its direction on trades.

FIX2Plaza2 program interfaces — 5.0

The interface supports changes in the Moscow Exchange Derivatives Market trading system (SPECTRA 6.12).

Market Data Export module — 7.0

The Module acquired a significantly extended list of transmitted parameters in the following tables: ‘Securities’, ‘Orders’, ‘Trades’, ‘Negdeal orders’, ‘Cash positions’, ‘Cash liabilities and claims at the FX market’.
New tables, ‘Bank accounts’ and ‘Asset liabilities and claims’, can be exported now.
Individual setting of the table clearing has become possible when starting the Module.

User Terminals

Risk manager terminal module CoLibri — 4.24

Improvements were made in the position closure functionality:

– there is an option which allows using market orders to close positions,
– when closing positions, values of portfolio margin parameters can be saved in a special table of the module’s database.

The mechanism which blocks the resending of margin calls now can be used for all types of notifications including those ones for the derivatives market.
A number of derivatives market risk parameters were added to the margin calls register.

TrustManager terminal module for asset managers — 2.8

The linked windows mode is supported for better tables usability.
The ‘Detailed’ button was added in the group orders entry form. It allows viewing distribution of the group order’s volume for each client of the group and limitations affecting the distribution.
There is a new ‘Summary table of client groups’ for easier data export on groups of clients to external sources.
The interface works with negative prices on the Moscow Exchange Derivatives Market.
It has become possible to register group orders for classes of the OMS Manager module.

QUIK workstation — 9.1 and 9.2

Innovations related to the better terminal usability:

in case of a successful connection to the server, the messages window displays information on the date and time of the previous log-in as well as on the IP address used for the connection,
it is possible to set fonts and line spacing in the ‘Level II Quotes’ table,
an order can be amended by the trading system.

New options to work with charts:

the implemented ‘Magnet’ mode allows positioning the charts’ figures according to candle prices,
it has become possible to shift figures along the time scale axis without changing the price level by using Shift,
there is a new chart pattern — ‘Horizontal ray’,
the chart marks functionality was expanded.

Changes, related to the work with windows and tables:

‘Instrument’ and ‘Country’ fields were added in the viewport for the table with newsfeed from information agencies to display a list of instruments and countries related to the shown news,
it has become possible to perform filtering and conditional formatting of this table’s newsfeed fields,
there is a significantly extended list of parameters of orders and trades tables.

There is a new negotiated order entry form for shares with a possibility to calculate:

the maximum available quantity based on the client’s current resources,
a price or quantity in the order based on the specified volume.

The ‘Instrument information’ window displays the instrument’s complexity type.*

webQUIK workstation – 7.6

The ‘Account state’ table was added which is convenient to view the state of users’ own portfolios.

New options to work with charts:

an updated menu allows setting display of own positions on the chart,
there are new ‘Alligator’ and ‘Fractals’ indicators of technical analysis,
it has become possible to build more than one indicator of an average marketable asset price for a specified period of time,
now the chart can be scaled with mouse.

New options to work with tables:

adjustment of the Level2Quotes table’s width,
transfer of table columns beyond the visible edge of a computer monitor (with automatic shift of a scrollbar).

The terminal works with ‘REPO with CCP’ classes.

Messages from the trading system are no longer saved between operational sessions in webQUIK which excludes their duplication on the user’s side.

The mobile version of the webQUIK workstation is now able:

to display of the ‘Profit/Loss’ parameter,
to save the instrument chosen last by the user during the next log-in to webQUIK.

Mobile terminals iQUIK X and QUIK Android X — 3.6

Now it is possible to draw trend lines, horizontal and vertical lines, on charts.
The mobile terminals work with the Bookbuilding module (possibilities to forward orders to participate in offerings, track their status, and receive push alerts triggered by offerings).
A new ‘List of portfolio quotes’ setting was added. When the setting is activated, a ‘Portfolio’ list appears on the ‘Quotes’ screen which contains portfolio instruments of the user.
The information on commissions is now displayed right on the order entry screen.
It has become possible to show a password in authorization and password change screens (the password is hidden by default).

Server

QUIK server software — 9.0 and 9.1

The software supports requirements of the Federal Law No. 39-FZ ‘On the securities market’ including a number of new settings in the Limit calculation library to impose restrictions on unqualified investors’ operations with certain types of financial instruments.*
‘By limits’ templates acquired an option to include clients into the template by leverage value.
The software allows for position rollover on portfolio restriction in the ‘MD+’ positions keeping scheme.
The ‘Classes without TS commission’ setting was added which allows deactivating settlements and accrual of the trading system commission for chosen classes.
In addition, the ‘Users’ directory has:

– option to display information on the user’s last connection,
– an option to display active QUIK Administrator users with a possibility of their forced disconnection,
– the ‘Inactive users’ report to display a list of users that have not logged in for a specified number of days.

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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