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 the broker. The module allows setting up the 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 the dealer desk of a bank or investment company.
- The module automatically calculates quotes on the basis of market data for the 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 the OTC class of brokers’ instruments.
- The module registers an order in this class with parameters specified by the client.
- Depending on terms set by the broker, the order is either executed within the module or forwarded to an exchange at a transformed price.
- After on-exchange order execution, 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 Level2Quotes to a specified degree (spread). This algorithm is applicable to a client service model where the broker’s compensation is charged not as a commission percentage but as a price difference (spread). The spread can be set as an absolute value (in pips) or a relative value (as a percentage of the current value) and separately for bid and offer prices. Clients’ orders made on the basis of the changed Level2Quotes are automatically forwarded to the exchange market with backward price transformation. On the basis of the on-exchange executed order a trade is automatically executed with the client taking account of a preset price spread. All transactions executed at the exchange in this way are forwarded from a dedicated company account; therefore this algorithm allows servicing clients on the markets where the broker cannot provide them with a direct access.
- EES2 algorithm follows the path of firm quotes. Level2Quotes are used to fill the volume required by the broker and then the average price is shifted by a spread or a specified number of minimal price steps. The spread can be set as an absolute (in pips) or relative value (a percentage of the current value) and separately for bid and offer prices. Level2Quotes with firm quotes of bid and offer for a fixed volume are forwarded to clients. According to this algorithm, transactions between the client and the broker can be executed within the module or they can 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 firm quote price of the client.
This scheme allows the client to buy/sell by one transaction 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.
- EES-FX algorithm extends FX quotes’ prices by a specified spread. The ‘Quotes’ table displays one quote with the volume set in the settings and required for the FX quote of a base instrument.
The quotes of this algorithm can be displayed in the Terminal module FX. In this case, the FX plugin window shows a ladder of quotes for spread-adjusted volumes set in the settings, and it becomes possible to request quotes for an arbitrary volume.
Besides that, the algorithm allows requesting quotes in a second currency and making zero-point based calculation of quotes.
The following possibilities are implemented in the module for better flexibility:
- Order execution in the currency different from the one used at the exchange. In this case, when such an order is forwarded to the exchange, the price is adjusted according to the cross rate (market or fixed).
- Order execution by the instrument of a size not multiple of the size of the lot traded at the exchange. In such case, a multiple part is executed at the exchange and the rest – in the module. If the order size is less than the lot at the exchange, the order is fully executed in the module.
- The client’s order execution by one transaction by linking all transactions to one order. In this case, after execution of the specified size, one aggregated transaction is formed and the price of this transaction will be equal to the average weighted price of all linked orders.
- Order placement for one market asset by using various algorithms.
- Arbitrage strategy implementation - depending on the price situation on one of the broker’s own OTC markets, the module automatically maintains quotes on another OTC market organized by the broker.
- Scheduled change of the basic class and algorithm for transforming prices and volumes to forward quotes to the client.
- Algorithm parameters change by using a special transaction on the 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 2008/2012/2016/2019 (x64).
DBMS Microsoft SQL Server 2008/2012/2014/2016/2017/2019.
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