QUIK digest for the fourth quarter of 2019
Q4, 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 fourth quarter of 2019.
New Versions of Software
For the full list of changes in QUIK software products, see the News on the company’s website.
Trading Interfaces
Belarusian Currency and Stock Exchange Securities Market trading interface
The new Belarusian Currency and Stock Exchange Securities Market trading interface provides connection of the QUIK platform to trading in bonds on the BCSE Securities Market.
Moscow Exchange Clearing System of the Securities Market program interface — 12.0 and 12.1
To support separation of the Securities Market trading system into trading and clearing systems, the new Moscow Exchange Clearing System of the Securities Market program interface was released.
It transmits transactions for changes in internal limits, for changes in individual risk parameters, banning of unsecured purchases and sales as well as for changes in the limit of unsecured sales, and some tables.
The interface supports the updates of the Securities Market trading system which came into force on 16.12.2019.
Moscow Exchange Securities Market (Main Market Sector) trading interface — 11.21, 12.0 and 12.1
The interface supports separation of the Securities Market trading system into trading and clearing systems dated 28.10.2019 and the updates of the Securities Market trading system which came into force on 16.12.2019.
Other improvements in the interface:
- a new ‘MOEX E&B: T+: Corporate bonds’ trading mode (migration of some corporate bonds and the Ministry of Finance’s Ruble Eurobonds from T0 settlement to T+1 settlement), <
- ‘global’ setting of allowed settlement codes,
- increase in the maximum number of days for the interface to request and send the ‘Interest income’ table.
Moscow Exchange FX Market trading interface — 12.8 and 12.9
The interface supports the updates of the FX Market trading system which came into force on 16.12.2019.
Other improvements in the interface:
- a new trading board ‘SDBP — MOEX Currency: Speed Bump’ (big lot order driven trading with spot instruments and a random speed bump technology),
- ‘global’ setting of allowed settlement codes,
- transmission of the ‘Yield’ parameter to the Level II Quotes of SWAP instruments.
Moscow Exchange Clearing System of the FX Market program interface — 13.1
The interface supports the updates of the FX Market trading system which came into force on 16 December 2019.
Moscow Exchange Derivatives Market trading interface — 11.12
The interface supports changes in the Derivatives Market trading system (SPECTRA 6.3) which came into force on 16 December 2019.
Saint-Petersburg Exchange trading interface (Foreign securities market) — 2.6 and 2.7
- Instruments support related to securities of foreign issuers listed on Hong Kong Stock Exchange (HKEX).
- Data filtering by orders, trades, and positions transmitted to the QUIK server (reduction of traffic and load on infrastructure elements).
- Stop orders forwarding during the evening trading session.
The MITCH data exchange protocol functionality is discontinued due to withdrawal of support for this protocol by the LSE trading system. The interface supports changes in the GTP protocol in accordance with the LSE requirements.
The trade order sending functionality was expanded:
- the ‘Capacity’ field value which is relevant to MiFID II regulation can be chosen from several variants in the order entry form,
- it has become possible to choose transaction fields mandatory for filling in by using ClientTransScheme.xml files.
The MIC market code is now transmitted to the ‘Execution venue’ field of the ‘Trades’ table and an additional current ‘Suspended’ status is transmitted to the ‘Extended status’ field of the ‘Orders’ table in the QUIK workstation.
- Support of changes in the Eurex trading system (T7 Release 8.0).
- A functionality to filter ExecutionReport messages in Drop-copy connections.
Information Interfaces
FIS Global Network (SunGard Global Network) Market Data Interface — 6.6
Support of the Johannesburg Stock Exchange Derivatives market instruments (provision of data from the JSE current trading session on futures and options, Level I and Level II Quotes as well as ‘time and sales’ information on all trades).
Market Data interface of Refinitiv system (Elektron Data Platform) — 5.6.0 and 5.7.0
- Market data feed for future spreads from the CME market.
- Provision of currency cross rates which can serve as a data source when using the Cross currency rates forming module on the QUIK server.
- A setting to deliver levelI Quotes in the ‘delayed’ mode with a 15-minute delay (reduction of costs on market data when online delivery of quotes is not required).
- An option to set a reference between CFI and ISIN instrument codes when transmitting CFI instrument codes to the Quotes table.
- A functionality which allows after a fault on the trading system side to limit the time while awaiting data and resume the work with the instruments received by the interface at the current moment.
Service Modules
- A possibility to process results of sent alerts for a universal method of integration (tracing the delivery status with quick respond if an error occurs).
- The text message alerts by client codes for the ‘Order forwarding’ service type both for anonymous and OTC orders.
Infrastructure Solutions
- The mode to work without the client directory which allows registering OMS orders by any client code.
- New options in the OMS order form:
- display of the broker commission when OMS order limiting on the QUIK server is on,
- flexible setting of the ‘Execute’ context menu.
- OMS order execution via OTC-trades with counterparties.
- A possibility to suspend the processing of OMS orders with the ‘Executed’ status.
Module of smart order routing QUIK SOR — 2.4
- An option to resend orders to the liquidity source with details of the client who forwarded the SOR order.
- An algorithm to check the possibility to execute limit orders which are being sent to the liquidity source by tracking the best counter quote price and sending the transaction only when a satisfactory price is available on the market.
Module of electronic execution of sales QUIK EES — 2.15
- Changes in the EES3 algorithm operation – market orders are resent to the trading system also as market orders. This guarantees their execution when there is a counter offer.
- A possibility to forward orders with specifying the ‘Slippage’ parameter (when used together with the Terminal module FX).
- Optimized trading data loading to speed up the module’s activation in case it is restarted during the trading day.
- A capability for holding auctions to place and repurchase bonds.
- Improvements for ‘Bonds’ instruments:
- support of zero-coupon bonds,
- a possibility to include AI into the order and trade volume,
- a possibility to set coupons in the annual interest rate of the par value.
- Execution of trades between two participants via a common counterparty.
Integration Solutions
Position management program interface — 2.7
Provision of the following data:
- a marker of completed uploading of the client positions’ initial status,
- data on client positions for the derivatives market instruments,
- only required client positions,
- debugging data by inclusion of the events log into the file.
User Terminals
Improvements in the work with tables:
- the table content is sorted by left mouse click on the column head,
- the settings of table filtering and conditional formatting are transferred to the context menu which is opened by right mouse click on the column head,
- a new ‘REPO quotes’ table is added which allows tracing all available in the system quotes in the REPO and negotiated modes in one summary table.
- A possibility to set the terminal color scheme (both the user and the broker).
- A toolkit for terminal branding by the broker.
- Changes in the work with program windows:
- the order entry window is no longer modal and can remain open,
- it is possible to move tabs within a table and from one table to another.
- There are options to change a password and choose a ‘light’ or ‘dark’ theme in the mobile version of the terminal.
Server
Innovations in the functionality of the limit calculation library (LCL):
- an option to create user templates when setting a commission (to accrue a commission for ‘Voice’ orders),
- a new logic to check cash position availability by client codes which substantially reduces the number of cash positions downloaded to the QUIK server,
- prohibited simultaneous connection of several QMonitor programs by using one UID (support of GOST R 57580.1−2017 information security requirements for the financial sector).
Events
ARQA Technologies and MOEX School finished another series of joint webinars ‘QUIK from vendor’. The last webinar was focused on the basic QUIK terminal’s settings. The participants learnt in detail how to customize the terminal’s settings and what functions to use.
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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