Market Data Export module

This software* is intended for exporting online data from the QUIK server to the database through the ODBC.

* MiFID II compliant

Method of Operation

  1. The software is connected to the QUIK server in the same way as the QUIK workstation. To do so, an individual user with assigned access keys is created for the module on the QUIK server. Authentication and encryption of a communication channel are done by cryptographic tools by ARQA Technologies.
  2. Information will be exported to the ODBC-source formed on the user’s computer. Any type of data may be uploaded into one or more tables, the table fields and filter for each table being adjusted relative to QUIK classes. The ODBC-source name and the correspondence of data fields are set in the settings file.
  1. Registered as a service of OS Windows, the software enables operation in the automatic mode. Software actions are recorded in the log file. Sending email messages about some events (connection to the server, connection to the database, error messages) is also available.

Data Available for Export

  1. Quotes Table, 
  2. Table of Orders, 
  3. Table of Trades, 

  4. In addition to the table data, the margin value before and after the trade is exported as well. It might be values of the minimal, initial or corrected margin and the portfolio value if using the limiting scheme “by discounts” or margin level if using the limiting scheme “by leverage”. It should be noted that the margin value estimated in real-time in the course of trading may slightly differ from the actual value because of some mistiming between the state of current market prices for instruments in the trading system and that on the QUIK server.

  5. Time and Sales Table , 
  6. Security Limits Table, 
  7. Cash Limits Table, 
  8. Table of OTC orders, 
  9. Table of Negotiated Deals Mode Orders/Reports, 
  10. Table of Trades for Execution, 
  11. Table of the Broker’s Cash Positions, 
  12. Table of Current Positions for Securities, 
  13. Table of Current Positions for Selected Accounts, 
  14. Tables of Positions on Client Accounts (futures), 
  15. Tables of Limits on Client Accounts (futures), 
  16. Client Portfolio Table, 
  17. Table of NDM Quotes, 
  18. Stop Orders Table, 
  19. Table of trade accounts, 
  20. Table of Asset liabilities and claims (securities market), 
  21. Table of Cash liabilities and claims (securities market), 
  22. Table of Parameters of percentage risks (securities market), 
  23. Table of Parameters of market risks (securities market), 
  24. Table of liabilities of a market maker, 
  25. Table of Commitments and demands on assets in the foreign exchange market, 
  26. Table of Interest rate risk parameters in the foreign exchange market, 
  27. Table of Market risk parameters in the foreign exchange market, 
  28. Table of Individual risk parameters in the foreign exchange market,
  29. Accrued Interest Table,
  30. Table ‘Currency: interproduct spreads’,
  31. Algo orders Table,
  32. Table ‘Linked orders for Algo orders',
  33. Table ‘Linked trades for Algo-orders',
  34. 'Favorite' instruments description,
  35. Transactions Table,
  36. Settlement Codes Table,
  37. Table 'NCC Transfers',
  38. Prohibitions Table.
The server administrator determines the user’s right of access to information relative to each class.

The market data export module features a special after-hours actuation mode. In this mode, the module revaluates the margin value post factum when all instruments in the client portfolio are estimated at market prices effective at the time of transaction.

Hardware and software requirements

Hardware Product name

Processor Intel Xeon Gold 5118 or better,

2 GB RAM (4 GB is recommended),

2 GB available hard disk space.

OS Windows Server 2008/2012/2016 (x64).

Use options

Purchase Managed services / System backup Hosting Testing
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