Algorithmic trading module
The Algorithmic trading module* allows forwarding and executing algorithmic orders in accordance with built-in algorithms.
Algorithmic orders (algo orders) are special orders. The conditions of their execution are defined by a preset algorithm. When the event, specified in the algorithm, takes place, the module sends transactions to the trading system to submit/cancel orders until the algorithmic order volume is fully executed.
This module is available in two versions. Beside the fully functional Algorithmic trading module, which is mostly used by brokers’ desks, there is an ‘Algorithmic trading module Light’, which is used by brokers’ clients.
Module Functions
- Reception of users’ algorithmic orders, their storage and execution with cancellation by the user,
- Display of the execution status of algorithmic orders and the orders (child orders) and trades generated by these algorithmic orders in the form of the QUIK workstation tables,
- Display of a detailed report on the algorithmic order execution in the HTML format.
Operating Principle
- The module consists of server and client components. The client component is integrated into the QUIK workstation; access to its functions is available via the Trade operations / Algo orders menu item.
- The server component is connected to the QUIK server and also to the MS SQL server database for saving the information about transactions.
- The user generates an algo order using the QUIK workstation. Own order entry form is provided for each algorithm. The rights to use algorithmic orders are granted by the QUIK server administrator.
- While receiving algorithmic orders, the module does not check the adequacy of the client’s funds; the limits are checked each time when a generated order is being formed. When the client has enough funds, the algorithmic order registers generated orders until the completion of its work or exhaustion of all available funds of the next generated order. If the generated order cannot be sent to the trading system or is rejected by the trading system, the algo order will be canceled.
Execution status of algorithmic orders is monitored from special QUIK workstation tables:
- ‘Algo orders table’ contains a list of the registered algorithmic orders and allows performing operations with them.
- The ‘Orders, generated by algo orders’ table contains a list of the orders registered in the trading system as a result of selected algo order execution.
- ‘Trades generated by algo orders’ contains a list of orders executed as a result of the orders generated by the selected algo order.
- When detailed information on a specific algorithmic order is required, it is possible to form a detailed report in the HTML format.
Supported Algorithms
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Algorithmic trading module |
Algorithmic trading module Light
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Iceberg — execution of an order by parts, the executable number of each iteration should not exceed the ‘visible number’. |
supported |
— |
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Volatility is a possibility to buy/sell options with the given volatility. |
supported |
supported |
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TWAP (Time Weighted Average Price) — a purchase/sale of a definite volume for a preset number of iterations, in a definite period of time, at the market price. It is guaranteed that during each iteration the price will not deviate from the best current sell/buy price for more than a fixed percent. The total volume of the order can be executed proportionally within a fixed time period or based on volume distribution ratios throughout a trading session. |
supported |
— |
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VWAP (Volume Weighted Average Price) is the same as TWAP but with a condition that the buying/selling price does not exceed the market weighted average price. A price range can be set to filter trades used in calculations. |
supported |
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Order with a period of validity — placement of the exchange order with the following validity periods: ‘Good-Till-Date’, ‘Good-Till-Cancel’ or ‘Good-Till-Time’. It is also possible to set a working range for orders in a trading session as well as transfer unfilled balances with the specified criterion to the next day. |
supported |
supported |
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Stop-order — closure of the client’s position in a particular instrument. When the instrument price deviates from the range set by the user relative to the average weighted price of the client’s position, the algorithm cancels all active client orders in this instrument and forwards an order to close the client’s position.
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supported |
supported |
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Spread — provides performance of operations to buy one instrument and sell another one while maintaining the spread (not less than minimum set by the user) within the buy and sell prices of instruments. |
supported |
supported |
Hardware and Software Requirements
| Hardware | Software |
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Processor Intel Xeon Gold 5118 or better, 2 GB RAM, 50 GB available hard disk space. |
OS Windows Server 2012/2016/2019/2022 (x64), Astra Linux 1.7.4 (Voronezh). DBMS Microsoft SQL Server 2012/2014/2016/2017/2019/2022, Postgres Pro 13/14/15 (Standard, Enterprise) for OS Astra Linux. |
Use Options
| Purchase | Managed services / System backup | Hosting | Testing |
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