Unified cash position module for spot and derivatives markets
The module enables control over a client’s unified cash position on securities and derivatives markets and obviates a broker’s need for funds redistribution between the markets.
The use of the Unified cash position module significantly simplifies arbitrage operations and allows their automatic execution as it does not require the broker’s participation in limit redistribution between different markets.
- set risk management algorithm for end users in accordance with rules that may differ from the risk control rules of a particular exchange (for example, for client position keeping at operation execution on the Moscow Exchange Derivatives Market),
- provide clients with the unified cash position service between spot- and derivative markets,
- provide a full range of client services at international derivatives venues.
- combining for calculation purposes a future option, a spot asset option, a future and the spot-asset itself into a unified instrument portfolio and compensating for their risks;
- setting collateral for positions with compensatory risks for instruments with different execution terms;
- setting collateral for positions with compensatory risks for different instrument types;
- regulating the level of portfolio risks and liquidity required to pay futures variation margin;
- integrating risk management and the margin lending system on the spot market;
- estimating funds required for order execution.
The evaluation of portfolio collateral risks and funds freezing takes place after any change in the client’s position. As the portfolio may include spot assets, the funds are freezed after a change in a spot position as well.
The main principles of order accounting are as follows:
- the portfolio collateral calculation takes into account the worst possible order execution scenario;
- a position closing order is always available.
Following the order execution, portfolio collateral risks for the changed position and funds allocated for working orders are estimated again. The proposed system for resources allocation guarantees that funding reserved for orders will be sufficient to cover risks of the position resulted from execution of previous orders.
Hardware and Software Requirements
The module is installed on the same computer with the QUIK server.
|Purchase||Managed services / System backup||Hosting||Testing|