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 allows to set up an OTC mode at the broker’s QUIK server. This mode uses 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 for algorithms set by the broker and forwards them to the client's QUIK workstation.
- 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 executed 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 volume transformation algorithms
- EES1 algorithm moves all prices in Level2Quotes 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 Level2Quotes are automatically forwarded to a stock market with backward price transformation. On the basis of an order executed 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 algorithm allows to service clients in such markets where broker cannot provide them with a direct access.
- EES2 algorithm follows the path of a firm qoutes Level2Quotes 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 Level2Quotes with firm 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.
- EES3 algorithm, like EES2 algorithm, provides quotes for a specified volume using the spread set as an absolute value (in pips) or a relative value (as a percentage of the current value). The difference is that another approach is supported for on-exchange execution of client orders. Thus, in the main execution mode only market orders can be placed in the liquidity source, while in the negotiated mode or full intramodule execution if the order price (market or limit) is ‘out of market’, such order has the ‘Active’ status in Level2Quotes and is waiting for a counter offer.
The following features are implemented in the module for more flexibility:
- Execute 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).
- Execute an order at a size which is not divisible by lot sizes traded at the exchange. In such case a divisible part is executed at the exchange and the rest inside the module. If the order size is less than a lot at the exchange the order is executed inside the module.
- Execute 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.
- Place orders in one market asset using various algorithms.
- 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.
- To make a scheduled change of the basic class and algorithm of transforming prices and volumes for forwarding quotes to a client.
- To change algorithm parameters by using a special transaction on a manager’s QUIK Workstation.
Hardware and Software Requirements
Processor Intel Xeon Gold 5118 or better,
4 GB RAM,
50 GB available hard disk space.
OS Windows Server 2008/2012/2016 (x64).
DBMS Microsoft SQL Server 2008/2012/2014/2016.
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