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. Orders Table, 
  3. Trades Table, 

  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. Trading participants Table,
  7. Securities Table,
  8. Instrument Classes Table,
  9. Additional Instrument parameters Table,
  10. Security Limits Table, 
  11. Cash Limits Table,
  12. Limits Calculation Library settings Table,
  13. Cash Positions Table,
  14. OTC orders Table, 
  15. Table of Order reports for NDM trades, 
  16. Table of Trades for Execution, 
  17. Table of Current Positions for Securities, 
  18. Table of Current Positions for Selected Accounts, 
  19. Tables of Client Account Positions (derivatives market), 
  20. Tables of Client Account Limits (derivatives market),
  21. Table of Market Maker liabilities (derivatives market),
  22. Client Portfolio Table, 
  23. NDM Quotes Table, 
  24. Stop Orders Table, 
  25. Trading accounts Table, 
  26. Table of Asset liabilities and claims (securities market), 
  27. Table of Cash liabilities and claims (securities market), 
  28. Table of Interest rate risk parameters (securities market), 
  29. Table of Market risk parameters (securities market), 
  30. Table of Market Maker liabilities (securities and FX markets), 
  31. Table of Market Maker Extended liabilities (securities and FX markets),
  32. Table of Asset liabilities and claims (FX market),
  33. Table of Cash liabilities and claims (FX market),
  34. Table of Interest rate risk parameters (FX market), 
  35. Table of Market risk parameters (FX market), 
  36. Table of Individual risk parameters (FX market),
  37. Accrued Interest Table,
  38. Table ‘Currency: interproduct spreads’,
  39. Table ‘Data on accuracy of currency values’,
  40. Algo orders Table,
  41. Linked Algo orders Table,
  42. Table ‘Linked trades of Algo-orders',
  43. Transactions Table,
  44. Settlement Codes Table,
  45. NCC Transfers Table,
  46. 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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