Market Data Export module
The module* allows exporting online data from the QUIK server to a database via ODBC.
* MiFID II compliant
- The software is connected to the QUIK server in the same way as the QUIK workstation. For the module, a separate user is registered on the QUIK server with assigned access keys. Authentication and encryption of a communication channel are carried out with the help of the cryptographic tools developed by ARQA Technologies.
- An ODBC-source is generated on the user’s computer for further export of data. Any type of data may be uploaded to one or more tables, with table fields adjusted and a filter by QUIK classes set for each table. The name of the ODBC-source and a correspondence of data fields are set in the settings file.
- Registered as a service of OS Windows, the software enables operation in the automatic mode. Software actions are recorded in the log file. It is also possible to send e-mail messages about some events (connection to the server and the database, error messages).
Data Available for Export
- Quotes Table,
- Orders Table,
- Trades Table,
In addition to the data from the table, margin values before and after the trade are exported as well. These may be values of a minimal, initial or adjusted margin and a portfolio value if using the “by discounts” limiting scheme or the margin level if using the “by leverage” limiting scheme. It should be noted that the margin values estimated in real-time during the trading may slightly differ from actual values because of a time gap between the state of the current market prices in the trading system and that on the QUIK server.
- Time and Sales Table,
- Trading participants Table,
- Securities Table,
- Instrument Classes Table,
- Additional Instrument parameters Table,
- Security Limits Table,
- Cash Limits Table,
- Limits Calculation Library settings Table,
- Cash Positions Table,
- OTC orders Table,
- Table of Order reports for NDM trades,
- Table of Trades for Execution,
- Table of Current Positions for Securities,
- Table of Current Positions for Selected Accounts,
- Tables of Client Account Positions (derivatives market),
- Tables of Client Account Limits (derivatives market),
- Table of Market Maker liabilities (derivatives market),
- Client Portfolio Table,
- NDM Quotes Table,
- Stop Orders Table,
- Trading accounts Table,
- Table of Asset liabilities and claims (securities market),
- Table of Cash liabilities and claims (securities market),
- Table of Interest rate risk parameters (securities market),
- Table of Market risk parameters (securities market),
- Table of Market Maker liabilities (securities and FX markets),
- Table of Market Maker Extended liabilities (securities and FX markets),
- Table of Asset liabilities and claims (FX market),
- Table of Cash liabilities and claims (FX market),
- Table of Interest rate risk parameters (FX market),
- Table of Market risk parameters (FX market),
- Table of Individual risk parameters (FX market),
- Accrued Interest Table,
- Table ‘Currency: interproduct spreads’,
- Table ‘Data on accuracy of currency values’,
- Algo orders Table,
- Linked Algo orders Table,
- Table ‘Linked trades of Algo-orders',
- Transactions Table,
- Settlement Codes Table,
- NCC Transfers Table,
- Prohibitions Table.
The Market data export module features a special post-trading activation mode. In this mode, the module performs post factum revaluations of margin indicators when all instruments in the client portfolio are evaluated at market prices effective at the time of the transaction.
Hardware and Software Requirements
Processor Intel Xeon Gold 5118 or better,
2 GB RAM (4 GB is recommended),
2 GB available hard disk space.
OS Windows Server 2008/2012/2016/2019 (x64).
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.
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