Solutions for direct market access with pre-trade control
A line of trading interfaces for direct access to exchange and OTC trading with built-in technology of low-latency pre-trade operation control.
Operating Principle
- The interfaces serve for connecting external trading platforms (primarily algorithmic trading systems) directly to exchange and off-exchange systems bypassing the QUIK server and ensuring pre-trade control of order flow with minimum latency of trading operations and market data reception.
- When applied for purposes of direct integration, these solutions employ the unique RISQ filter technology developed by ARQA Technologies. The technology performs pre-trade control of order flow based on market data and information on the client’s/trader’s position taking account of working orders with a negligible effect on the overall latency of the order flow. This actually represents pre-trade checks using post-trade data.
- The line of RISQ solutions employs the QUIK server as the RISQ server conducting all necessary calculations in accordance with risk control models installed by the broker. After performing the calculations, the RISQ server supplies the RISQ filter component with information on whether further trading for a certain account is permissible.
- The RISQ filter is capable of performing fat finger checks of:
- instruments allowed for trading (permitted/prohibited instruments filter, the instruments’ inclusion in the directory);
- maximum order volume;
- the order volume multiplicity of the instrument’s lot;
- order frequency (flood control) and total order volume over a time interval.
- More sophisticated models of risk control are available within the RISQ server functionality.
- This technology is applicable for pre-trade control in latency-sensitive infrastructure and to servicing HFT clients. Additionally, the technology can be used with external applications when direct integration with the QUIK server is not feasible.
General Connection Scheme
Implementations
The line of direct access solutions which use the RISQ filter technology for pre-trade checks:
- FIXPreTrade — a solution that can be integrated in any FIX-infrastructure (risk control of operations without affecting the existing trading infrastructure).
- FIX2Markets — trading interfaces for direct access to MOEX markets and the LSE spot market. The external application is connected to FIX2Market via the FIX protocol whereas FIX2Market is connected to the corresponding exchange platform via the native protocol.
- MICEXPreTrade — an interface for integration with the ASTS ‘gateway’ of the MOEX trading system. The external application is connected directly to the exchange through the native protocol and the RISQ filter operation is integrated with the exchange software.
- FIX2QME — an interface for connecting to QUIK Matching Engine. The external platform is connected to FIX2QME by the FIX protocol.
FIXPreTrade
- The module is embedded in the broker’s technological infrastructure built with the help of the FIX protocol and functions as an integrated FIX proxy-service.
- There is functionality for measuring time (in microseconds) between forwarding an order to the trading system and receiving a trade confirmation signal.
- The module allows receiving Drop Copy in situations when this cannot be done in a standard way.
FIX2Markets
- The family of FIX2Markets program interfaces includes:
as applied to Moscow Exchange
- FIX2CETS (FX market),
- FIX2MICEX (‘Main market’ sector of Securities market),
- FIX2Plaza2 (Derivatives market).
as applied to London Stock Exchange
- FIX2LSE* (spot market),
* MiFID II compliant
- Data exchange between FIX2Markets deployed by the broker and the external platform’s server is carried out via FIX protocol messages. Both solutions are often installed in the same network.
MICEXPreTrade
- The solution has resulted from a joint project with MOEX. It is integrated with ASTS Bridge and allows the external platform to use the exchange’s native protocol.
- The interface is used for trading on the Securities market (‘Main market’ sector) and the MOEX FX market.
FIX2QME
- The solution serves as a proxy-server between the client external platform and QUIK Matching Engine. The interface allows forwarding orders to the system and receiving market data from it.
- The data exchange between the client and the program interface is performed by means of FIX-messages over the TCP/IP protocol.
- The solution supports trading in spot market instruments only (equity, FX).
Comparative table of solutions for fast pre-trade operation control
| FIXPreTrade | MICEXPreTrade | FIX2MICEX | FIX2CETS | FIX2Plaza2 | FIX2LSE | FIX2QME | |
|---|---|---|---|---|---|---|---|
| Markets | For any FIX-based infrastructure | MOEX (Securities market, FX market) | MOEX (Securities market) | MOEX (FX market) | MOEX (Derivatives market) | London Stock Exchange (Spot market) | QUIK Matching Engine |
| Market Data available | No | No | Yes | Yes | Yes | No | Yes |
| Drop Copy available | Yes | No | No | No | No | No | No |
| Protocol for connecting solution to trading platform | FIX | Native API | Native API | Native API | Native API | Native API | Native API |
| Protocol for connecting client to solution | FIX | Native API | FIX | FIX | FIX | FIX | FIX |
| Latency added by RISQ filter | 5–40 mcs | 5–7 mcs | <100 mcs | <100 mcs | <100 mcs | 5–40 mcs | 100 mcs |
| Add. functionality for measuring time (mcs) between forwarding order to TS and receiving trade confirmation signal | Yes | No |
Yes |
Yes |
Yes |
Yes |
No |
| Additional |
|
Integrated with ASTS Bridge (own protocol of exchange gateway) | Supports entry and replacement of orders for MOEX closing auction | Supports entry and replacement of orders for MOEX closing auction |
Supports client requests to forward and replace ‘calendar spread’ orders |
|
Hardware and Software Requirements
FIXPreTrade, MICEXPreTrade
| Hardware | Software |
|---|---|
|
Processor Intel Xeon Gold 5118 or better, 2 GB RAM, 10 GB available hard disk space. |
OS Windows Server 2012/2016/2019/2022 (x64). |
FIX2CETS, FIX2MICEX и FIX2LSE
| Hardware | Software |
|---|---|
|
Processor Intel Xeon Gold 5118 or better, 2 GB RAM, 20 GB available hard disk space. |
OS Windows Server 2012/2016/2019/2022 (x64). |
FIX2Plaza2
| Hardware | Software |
|---|---|
|
Processor Intel Xeon Gold 5118 or better, 4 GB RAM, 30 GB available hard disk space. |
OS Windows Server 2012/2016/2019/2022 (x64). |
FIX2QME
| Hardware | Software |
|---|---|
|
Processor Intel Xeon Gold 5118 or better, 4 GB RAM, 50 GB available hard disk space. |
OS Windows Server 2012/2016/2019/2022 (x64). It is possible to use a virtual server*. |
* — If there are any complaints about performance when using a virtual server, ARQA Technologies reserves the right to conclude that it may be impossible to diagnose causes.
Use Options
| Purchase | Managed services / System backup | Hosting | Testing |
|---|---|---|---|