QUIK digest for the fourth quarter of 2020
Q4, 2020
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 fourth quarter of 2020.
New Modules
ICE Data Services market data interface
The new interface provides access to trading data of international venues, delivered from the ICE Consolidated Feed.
Moscow Exchange ISS information interface
The released interface serves for transmitting data to the QUIK server from the Exchange’s Informational & Statistical Server (ISS) containing data on indicative risk rates which can be used by trading participants to comply with the Bank of Russia requirements for broker securities transactions at clients’ expense (Ordinance No. 4928-U, dated 8 October, 2018).
Directory Storage and Distribution module
The new service module is used as a single centralized storage of information about asset types, instruments, par values, ACI and calendars, received from external sources.
SB Markets special program interface
The developed integration solution serves for delivery of quotes and execution of currency transactions on the FX market of Sberbank Markets platform via the broker’s QUIK server by means of the FIX protocol.
New Versions of Software
For the full list of changes in QUIK software products, see the News on the company’s website.
Trading Interfaces
Moscow Exchange Securities Market (Main Market Sector) trading interface — 12.8 and 12.9
There are new trading modes:
- for unit investment funds and the Increased investment risk (IIR) Sector, with settlements in US dollars and Euros,
- for credit operations without a central counterparty in Russian rubles, US dollars, and Euros,
- MOEX E&B: Auction CCP with GCP 5 weeks.
Moscow Exchange FX Market trading interface — 13.1
- Support of a new trading board — ‘MOEX Currency: Clearing of OTC trades with CCP’.
- Conversion to 64-bit architecture (х64).
- A possibility to set more than two information connections to the trading system.
- Support of a functionality to change passwords of the Moscow Exchange’s trading IDs.
Moscow Exchange Derivatives Market trading interface — 12.5
The interface supports changes in the Derivatives Market trading system (SPECTRA 6.6) which, among others, significantly speeded up the execution of transactions for non-trade operations.
New modes were added to trade shares, bonds, government securities, and autorepo (as part of a new ASTS+ trading and clearing system interface).
Astana International Exchange trading interface — 1.1
The interface supports shares multi-currency trading (MCT) which allows forwarding orders in a currency different from the one the instrument is traded in.
- Support of changes in the Eurex trading system (T7 Release 9.0).
- Work with the T7/FX segment where FX derivatives (FX Futures and Rolling Spot Futures) are traded.
AFX special program interface — 2.4
There is a possibility to execute trading operations by using the Terminal module FX.
News and Market Data Interfaces
Market data interface of Refinitiv (Elektron Data Platform) — 5.11
- The Interface supports provision of current market data feed from the following markets: NASDAQ TotalView, OTC Markets Group, and NYSE (bonds market).
- There is an expanded functionality to filter a list of instruments which excludes the instruments by using the SEDOL code.
- The ‘Adjusted closing price’ parameter was added to the ‘Quotes table’ of the QUIK workstation. This parameter displays corrections in the official closing price of shares and bonds on U.S. venues, related to corporate events.
Infrastructure Solutions
OMS Manager module — 5.9 and 5.10
- It has become possible to execute OMS orders in the negotiated deal modes on the stock exchange.
- The OMS orders table allows adding the displaying of a market sector where the security issuer of the OMS order is operating, and also filtering a list of OMS orders by a selected sector in the table of OMS orders.
- There is a functionality to display aggregated parameters simultaneously selected in the of OMS orders.
- A setting was added to specify the rounding accuracy of a weighted average execution price of the OMS order (VWAPnet and VWAPgross) depending on the instrument price and for a specified list of client codes.
Module of smart order routing QUIK SOR — 3.0
It has become possible to work with shares. If the client order cannot be immediately executed by current quotes of the aggregated Module’s quotes, it will be resent to the Level2Quote table of a trading system and executed when there is a counter offer.
Broker quotation system — 4.37
- There is a new basis for instruments of the ‘Bonds’ type, which takes account of the actual number of days in the period, and an option was added to indicate a bond coupon in the annual interest rate.
- It has become possible to set multiplicity of quantity specified in orders for the instrument.
- There is also an expanded functionality to work with REPO instruments.
- It is possible to set pre-trade and post-trade periods for trading modes with double counter auction rules.
- There are new parameters in the Quotes table – Total bid and Total offer – which show the total number of lots in buy and sell orders.
- A new ‘30E/360’ basis type is supported for bonds.
Module of electronic execution of sales QUIK EES — 2.18
The changes relate to one-way OTC reporting:
- session status control was improved for EES instruments — a session of an EES instrument opens automatically after the session of a linked OTC instrument is opened,
- OTC orders, which were not executed during the specified timeout, can be automatically cancelled, and in such cases sending of EES trades can be blocked.
Other improvements are as follows:
- coverage of an accumulated position can be done in the QUIK workstation,
- there is a possibility to specify OTC requisites per OTC instruments,
- the trading calendar has a new option to set a non-trading days schedule for EES instruments.
- The coupon rate auction has an option to forward orders with a consent to any coupon rate.
- When opening a new ‘Set coupon rate’ transaction form, the preset values of the coupon rates are placed automatically.
- Automatic cancellation is performed for active orders previously forwarded with an explicitly specified coupon rate, if they do not get into a new range of the coupon rates set after this transaction’s processing.
- Once the ‘Sending orders to exchange’ period starts, the client can send a command to forward an order to the Trading system from the QUIK workstation if the mode is on to forward orders at client request.
- The broker specialist now can simultaneously forward all orders with the instrument to the Trading system in the ‘at client request’ mode.
- If placement parameters contain a price, this price will automatically appear in the order placement form.
Integration Solutions
FIX adapter and FIX drop copy program interfaces — 3.61 and 3.62
- Transition was made to a single ‘Security Definition’ message for receiving data on a variety of instruments with a possibility to set a number of instruments sent in one message. Also, for derivative instruments, transmission of the original lot value is supported.
- ‘Cross rate’ and ‘Cross rate direction’ parameters were added to reports of the ‘Execution Report’ format.
In addition, the FIX adapter has:
- a functionality to work with the Bookbuilding module,
- an XML scheme functionality expanded by the ‘ForwardToTransField’ command which allows forwarding values of nonstandard tags to arbitrary transaction fields.
FIX order router program interface — 5.3 and 5.4
- A FIX message contains an arbitrary unique order identifier – ClOrderID – which allows saving a class mark (for example, trading mode) in order to assign the order generated by the transaction to the right class.
- A number of user fields, used for transferring the values to transactions and completing the order entry form, was expanded to 100.
- It is possible to display:
— the ‘Done for Day’ status in the ‘Extended status’ field of the QUIK workstation’s table of orders,
— the parameters ‘Settlement date’ and ‘Settlement code’ for instruments of ‘Stocks’ and ‘Bonds’ classes.
User Terminals
- The terminal supports the Lua integrated programming language version 5.4.1.
- There is a new option to display the status of DDE and ODBC export in the ‘Window manager’.
- Some existing parameters were renamed and transferred and the trading terminal acquired new parameters and settings.
- The ‘Position WAP currency’ field was added to the ‘Positions in instruments table’ to ensure correct work with a weighted average price of a position for instruments traded in different classes with different currencies.
- A unified dialog of color settings and an interface for color management were implemented for tables of orders, stop orders, algo orders, OMS orders, client OMS orders, OMS repo orders, OTC orders, quotes, and for trades for execution.
- Log in to the mobile version is now performed in the authorization window of the full webQUIK version by using the ‘Simplified mode’ item.
- The user interface of webQUIK Mobile has become more user-friendly.
Server
The improvements were made in the limit calculation library:
- it has become possible to set a market risk rate level depending on the securities evaluation class,
- there is an expanded functionality to set time limits on order prices,
- when recalculating limits on the client position, the system saves the result of the current balance correction,
- new settings were added to limit operations of the specified volume and the settlement currency with the specified counterparty and the REPO term,
- for REPO operations, it has become possible to accrue commissions in the currency different from the settlement currency.
When using two-factor authentication, alerts can be sent about the password change.
Contacts
For all questions regarding the products, their terms of use and testing, please contact the Sales and Marketing Department: +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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