Module of smart order routing QUIK SOR
The module of smart order routing QUIK SOR is used to automate broker operations at several trading venues for the best execution.
Module Functions
- Generation of aggregated quotes for several trading venues in specified instruments.
- Transmission of best quotes for given volumes.
- Execution of forwarded orders at available trading venues.
Connection Scheme for FX Market
Connection Scheme for shares
The module is connected to trading venues (sources of liquidity) both through the FIX protocol or interfaces available on the QUIK server.
The Module Processes the Following Classes of Instruments
Shares – a class with shares traded on connected trading venues.Bonds – a class which combines liquidity of sources the bonds are traded in.
Simple FX pairs — FX pairs traded at connected venues (e.g. USD/RUB).
Compound FX pairs — a set of instruments consisting of FX pairs from the simple class of SOR instruments. Thus, an FX pair USD/EUR can be set with USD/RUB and EUR/RUB pairs. In this case, quotes are calculated on the basis of SOR instruments USD/RUB and EUR/RUB.
Compound FX pairs — a set of instruments consisting of FX pairs from the simple class of SOR instruments. Thus, an FX pair USD/EUR can be set with USD/RUB and EUR/RUB pairs. In this case, quotes are calculated on the basis of SOR instruments USD/RUB and EUR/RUB.
Request for Quotation in Simple SOR Class
- After initialization, the module requests quotes for all instruments of the class and forms aggregated quotes. During the module‘s operation all quotes are kept up to date.
- When the user submits an order for a given volume, the module calculates buy and sell quotes for the instrument at the weighted average or worst execution price for the volume of the order. The request for an amount can also be formed with regard to required sources of quotes and the currency of the instrument’s price.
Request for Quotation in Compound SOR Class
This class has access only to quotation requests for a given volume which are consequently transmitted to venues of simple instruments in accordance with a specified algorithm. Quotes are calculated on the basis of quotes for simple instruments the pair is comprised of. Thus, changes in quotes for simple instruments lead to changes in compound instruments’ quotes.
Trading Operations
- The client can forward limit or market orders for the quotes received.
- After the client submits an order, the module forwards corresponding orders to the trading venues. Distribution of the total order volume is based on the proportions used for quotes calculation and on prioritized liquidity sources.
Resending of limit orders to platforms
Limit orders for shares and currency with the ‘Put in queue’ execution term can be resent to the platform if the Module has calculated that immediate execution for current quotes is not possible. The algorithm works on any stage of SOR order processing from registration and makes attempts to send the order’s unfilled balance to various platforms in accordance with the platforms’ priorities and routing rules preset in the database.
Variants of Application
- The module can be used both for own trading and client servicing.
- The module can only use the means of access to external trading venues available on the QUIK server.
- To build a more sophisticated technological infrastructure, other products by ARQA Technologies can be used, for example, QUIK Matching Engine, Module of electronic execution of sales QUIK EES and FIX program interfaces. Thus, the QUIK SOR module is used for access of the broker’s clients to FX instruments within FX Dealing.
- All variants of application employ the full QUIK server functionality in terms of monitoring the client’s unified position and the entire range of risk management approaches implemented in the server.
Hardware and Software Requirements
| Hardware | Software |
|---|---|
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Processor Intel Xeon Gold 5118 or better, 2 GB RAM, 10 GB available hard disk space. |
OS Windows Server 2012/2016/2019/2022 (x64). DBMS Microsoft SQL Server 2012/2014/2016/2017/2019/2022, Postgres Pro 13/14/15 (Standard, Enterprise) for OS Astra Linux. SQL Server Native Client 10.0. |
The indicated hardware and software requirements are minimal. With sufficient resources the interface can be installed on one PC with the QUIK server. For additional information, please contact QUIK Technical Support.
Use Options
| Purchase | Managed services / System backup | Hosting | Testing |
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