The QUIK KillSwitch module has used the exchange KillSwitch technology which reacts to a break-up of drop copy connection when risk parameters set by the broker are breached.
QUIK KillSwitch solution includes
- QUIK KillSwitch (LSE spot)
- QUIK KillSwitch (MOEX spot)
- QUIK KillSwitch (MOEX FX)
- QUIK KillSwitch (MOEX FM)
QUIK KillSwitch has been certified by LSE as operationally compatible with the exchange’s own risk control system.
Solution infrastructure (for LSE)
Comments to the scheme
- (1) The Client’s trading platform is connected to the trading system of Moscow Exchange or LSE with the help of its broker’s identification. Forwarded orders do not go through pre-trade risk checks at the broker’s server.
- (2) Simple pre-trade checks are made by the exchange in accordance with settings selected by the broker. Possible checks include price range, maximum order size, instruments available for trading, etc. The trading system of LSE may also check for number of instruments per order, maximum total order volume per session, and maximum transactions per second. A client is not allowed to put forward orders without specifying a price (market orders).
- (3) Complex risk checks (dynamic revaluation of buying power with account for trading various instruments and working orders, portfolio margining for optimized collateral based on complex risk evaluation models) are carried out by the RISQ server.
- (4) Market data and information about all orders and fills of the broker’s clients (drop copy) comes to the RISQ server through a standard QUIK interface to the trading system (Moscow Exchange Securities Market Interface, Moscow Exchange FX Market Interface, Moscow Exchange Derivatives Market trading interface, LSE Trading Interface). As long as the risk level of the client’s operations remains acceptable for the broker, the latter’s risk control system does not add to the latency of operations from the client’s trading platform. If risk calculations require information about transactions performed at other markets the Market Data from those markets may be obtained through QUIK interfaces to the markets.
In the LSE case there are alternative ways of receiving Market Data and information about transactions at the spot market of this exchange:
- SunGard Global Network Program Interface,
- Market data from one of the three information interfaces (SunGard Global Network Market Data Interface, Market Data Interface of TREP RT system (Thomson Reuters), QuantHouse Market Data Interface) and drop copy from LSE.
- (5) On receiving the drop copy for each trade executed for the client the RISQ server updates the QUIK KillSwitch on whether further trading for the client is permitted.
- (6) Whenever risks of clients’ operations exceed criteria set as limits in the broker’s risk management system the RISQ server sends a signal to the QUIK KillSwitch module that all further client trading operations are impossible. In the LSE case the QUIK KillSwitch module then disconnects the drop copy loop for this particular client. In the cases of Moscow Exchange — QUIK KillSwitch will send to the trading system of the exchange as transaction prohibiting trading for the client as specified by its identification and cancels the client’s working orders (optional on settings in the QUIK KillSwitch). As for LSE, working orders of clients will be automatically cancelled by the trading system of the exchange in the following cases:
- When the broker has activated the Kill Switch option for its client in the exchange risk management system;
- The drop copy connection has not been used for a certain period of time;
- The sponsored access connection has not been used for a certain period of time.
- (7) In the normal course of trading when risk parameters set by the broker for a particular client have not been exceeded, the information received by QUIK KillSwitch from the trading system is not used.
- (8) Disconnection of drop copy for a client (or transaction prohibiting the client’s trading) makes the exchange refuse accepting the client’s orders forwarded through sponsored access. (Such orders are rejected.)
When risk parameters return to normal levels: in the LSE case the QUIK KillSwitch module restores drop copy connection and the exchange resumes accepting the clients’ orders; in the Moscow Exchange case the QUIK KillSwitch module sends to the trading system a transaction allowing trading for this client.
The module QUIK KillSwitch is installed either at the broker’s computer connected to the QUIK server by TCP/IP protocol, or on the same computer as the QUIK server.
The client’s trading platform software which is used for sponsored access to the trading system of an exchange is certified by the client. The RISQ server and QUIK KillSwitch software is certified for the broker by ARQA Technologies.
Hardware and software requirements
Processor Intel Xeon E5504 or better.
2 GB RAM.
10 GB available hard disk space.
OS Windows Server 2008/2012/2016 (x64).
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