Module of electronic execution of sales QUIK EES
The Module of electronic execution of sales QUIK EES automatically processes clients’ orders to buy/sell financial assets in accordance with quotes set by a broker. The module may be used to set up an OTC mode at the broker’s QUIK server. This mode would use the information received from the exchange and transformed according to pre-set algorithms.
The module automates operations of a dealer desk of a bank or investment/management company.
- The module automatically calculates quotes on the basis of market data in accordance with algorithms set by the broker and forwards them to the QUIK client’s workplace.
- The client makes an order to buy or sell financial instruments in OTC class of brokers’ instruments.
- The module registers an order in this class with parameters specified by the client.
- Depending on the terms set by the broker the order is either executed within the module or is forwarded to an exchange at a transformed price.
- After the order is crossed at the exchange the module registers the transaction in its own asset class with backward price transformation.
- Information about executed transactions is forwarded to the client.
The module supports the following price and size transformation algorithms
- “EES1” algorithm moves all prices in the trade blotter to a specified degree (spread). This algorithm is applicable to a client service model where the broker’s remuneration is calculated not as a commission but as a price difference (spread). The spread may be set as an absolute value (in pips) or a relative value (as a percentage of the current value) and also separately for bid and offer prices. Clients’ orders made on the basis of a changed blotter are automatically forwarded to a trading venue with backward price transformation. On the basis of an order filled at the exchange the client makes a transaction with account of a set price spread. As all transactions executed at the exchange in this way had been forwarded there from a dedicated company account, this approach may be used to service clients in such markets where it can not provide them with a direct access.
- “EES2” algorithm follows the path of exact quoting. The trade blotter is used to fill the volume required by the broker and then the average price is shifted by a spread. The spread may be set as an absolute (in pips) or a relative value (a percentage of the current value). One may also set a spread for bid and offer prices. Clients are forwarded an altered trade blotter with exact quotes of bid and offer for a fixed volume. According to this algorithm transactions between the client and the broker may be concluded inside the module or it may be covered at the exchange at available quotes. In the latter case the broker immediately fixes the financial result of the operation as a difference between the exchange price and the exact price of the quote at which the deal was concluded. This scheme allows the client to buy/sell a large size at a fixed price.
The following possibilities are implemented in the module for improved flexibility:
- A possibility to fulfill an order in other currency than the one used at the exchange. In this case when such order is put on the exchange the price will be adjusted according the cross rate (market or fixed).
- A possibility to fulfill an order at a size which is not divisible by lot sizes traded at the exchange. In such case a divisible part is filled at the exchange and the rest inside the module. If the order size is less than a lot at the exchange the order is filled inside the module.
- A possibility to fulfill a client’s order by one transaction by connecting all transactions to one order. In this case one aggregated order will be formed for the purpose of executing the specified size and the price of this transaction will be equal to the average weighted price of all connected orders.
- A possibility to put up orders in one market asset using various algorithms.
- A possibility to implement an arbitrage strategy - depending on the price situation at one market the module automatically maintains quotes at another OTC market organized by the broker.
- A possibility to make a scheduled change of the basic class and algorithm of transforming prices and sizes for forwarding quotes to a client.
- A possibility to change algorithm parameters by using a special transaction on a manager’s QUIK Workstation.
Hardware and software requirements
Processor Intel Xeon E5504 or better.
4 GB RAM.
50 GB available hard disk space.
OS Windows 2008/2012 Server x64.
DBMS Microsoft SQL Server 2008/2012.
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