capQORT allows automation of trading operations of asset management companies.
Trade orders are generated in the system’s terminal with their further sending via QUIK servers of execution brokers to available trading venues. The orders are routed to QUIK servers automatically.
Before being sent, a trade order is approved by the asset management company’s users of various roles (risk managers, controllers, traders, managers). Rights of the system users can be adjusted for the work with specified portfolios. Also, orders of each trader can be signed with an individual digital signature.
Reference and market data and data on executed trades are in turn downloaded online from QUIK servers of execution brokers.
capQORT allows execution of exchange and OTC trades on Russian and foreign venues with the following instruments:
- securities — stocks, bonds (spot, REPO, NDM),
- FX (including ‘currency SWAP’ trades),
- derivative financial instruments,
- equity units (open-end, interval, closed-end, ETF).
capQORT processes TWAP and VWAP algorithmic orders which can be forwarded if the execution broker uses the Algorithmic trading module QUIK.
capQORT has a functionality to forward orders both for a particular portfolio and a group of portfolios. For this purpose, the system is supplemented with a ‘pool’ order mechanism. It allows forwarding general orders to execute operations with assets for several portfolios simultaneously. It is possible to set a total volume of assets as well as an asset share in specified portfolios. capQORT calculates volumes, generates elementary orders for chosen assets, and takes into account results of client portfolios.
To forward a pool order, the portfolios can be combined in groups (analytical accounts). An analytical account can correspond to all portfolios with similar trust management declarations or to IIA in one trust management strategy or portfolios grouped by any other parameter.
capQORT allows using model portfolios to implement various investment strategies. One or several model portfolios can be specified for each group of clients that simplifies monitoring a state of portfolios and their adjustment. Any of the current portfolios can be used as a model one.
In case of portfolio deviation from the model one, the system calculates parameters and generates orders to adjust the structure of chosen portfolios to a specified model portfolio upon the user’s request.
Model portfolios can be generated manually. When made so, a proportion of assets in a portfolio is set either as a quantitative indicator or a share of the portfolio’s net asset value. Besides that, an index composition can be used as a model portfolio and automatically downloaded from the Moscow Exchange website through integration with RU DATA, Cbonds databases or manually from csv files.
The system allows setting a restriction to control a maximum deviation of the portfolio structure from the model one. Notifications are sent if the deviation exceeds a specified value.