cases – different applications of risk management in quik for lseg markets arqa.ru vladimir...

Cases – different applications of risk management in QUIK for LSEG markets

arqa.ruVladimir Kurlyandchik, Director of Business Development

arqa.ru

Main principles of development

is an instrument to increase clients’ business

should be adopted for infrastructure

should take the client’s trading patterns into account

Risk-management

2

arqa.ru

Case 1:Equity & derivatives cross-margining

Collateral optimization for arbitrage or hedging between equity and derivatives

Task

3

arqa.ru

Case 1:Equity & derivatives cross-margining

Solution infrastructure

LSE(equity)

Turquoise (derivatives)

Broker’s EMS Infrastructure

QUIK gateway

QUIK gateway

QUIKserver

FIX adaptor

4

arqa.ru

Case 1:Equity & derivatives cross-margining

Pre-trade control

LSE(equity)

Turquoise (derivatives)

Broker’s EMS Infrastructure

QUIK gateway

QUIK gateway

QUIKserver

FIX adaptor

Portfolio margining

Pre-trade order checks

Assets blocking

Position recalculation5

arqa.ru

Case 1:Equity & derivatives cross-margining

Post-trade functions

LSE(equity)

Turquoise (derivatives)

Broker’s EMS Infrastructure

QUIK gateway

QUIK gateway

QUIKserver

FIX adaptor

QUIK screen

Position and risk parameters monitoring

Margin calls

Position closing

Position closingPortfolio margining

Pre-trade order checks

Assets blocking

Position recalculation6

arqa.ru

Case 1:Equity & derivatives cross-margining

Business advantages

Reduce collateral

Increase trading efficiency

Increase commission income

Exact risk-control

Growing client base

7

arqa.ru

Case 2:FX and equity

One currency in position – several currencies in trading

DMA access to FX with checking buying power

Task

8

arqa.ru

Case 2:FX and equity

LSE(equity)

Turquoise (derivatives)

Broker’s EMS Infrastructure

QUIK gateway

QUIK gateway

QUIKserver

FIX adaptor

FX trading venue QUIK gateway

Solution infrastructure

9

arqa.ru

Case 2:FX and equity

Pre-trade control

LSE(equity)

Turquoise (derivatives)

Broker’s EMS Infrastructure

QUIK gateway

QUIK gateway

QUIKserver

FIX adaptor

FX trading venue QUIK gateway

Portfolio margining

Pre-trade order checks

Assets blocking

Automatic FX conversion taking into account currency rates 10

arqa.ru

Case 2:FX and equity

Pos-trade functions

LSE(equity)

Turquoise (derivatives)

Broker’s EMS Infrastructure

QUIK gateway

QUIK gateway

QUIKserver

FIX adaptor

FX trading venue QUIK gateway

QUIK screen

Position and risk parameters monitoring

Margin calls

Position closing

Position closing

Portfolio margining

Pre-trade order checks

Assets blocking

Automatic FX conversion taking into account currency rates 11

arqa.ru

Case 2:FX and equity

Business advantages

One currency in position – several currencies in trading

Cross-margining for FX positions

More precise risk-control using currency rates

12

arqa.ru

Case 3:Integrating risk control in FIX infrastructure

Task

Simplifying risk control integration

13

arqa.ru

Case 3:Integrating risk control in FIX infrastructure

LSE(equity)

Turquoise (derivatives)

QUIK gateway

QUIK gateway

QUIKserver

FX trading venue QUIK gateway

Solution infrastructure

Broker’s EMS Infrastructure

FIXPreTrade

14

arqa.ru

Case 3:Integrating risk control in FIX infrastructure

LSE(equity)

Turquoise (derivatives)

QUIK gateway

QUIK gateway

QUIKserver

FX trading venue QUIK gateway

Pre-trade control

Fast pre-trade methodology

Any necessary risk control models

Broker’s EMS Infrastructure

FIXPreTrade

15

arqa.ru

Case 3:Integrating risk control in FIX infrastructure

LSE(equity)

Turquoise (derivatives)

QUIK gateway

QUIK gateway

QUIKserver

FX trading venue QUIK gateway

Post-trade functions QUIK screenPosition and risk parameters monitoring

Margin calls

Position closing

Broker’s EMS Infrastructure

FIXPreTrade

Fast pre-trade methodology

Any necessary risk control models

16

arqa.ru

Business advantages

Same as in Cases 1 and 2

Simplifying integration process for FIX enviroment

Case 3:Integrating risk control in FIX infrastructure

17

arqa.ru

Case 4:HFT and FIX2LSE

Sophisticated risk management

Applied to HFT clients

Task

18

arqa.ru

Solution infrastructure

Case 4:HFT and FIX2LSE

19LSE

QUIK gateway

ClientFIX2LSE

FIXNative API

QUIK server

Co-Location

arqa.ru

Pre-trade control

Case 4:HFT and FIX2LSE

20LSE

QUIK gateway

ClientFIX2LSE

FIXNative API

QUIK serverFast pre-trade methodology

Any necessary risk control models

Fat-fingers checks

Co-Location

arqa.ru

Post-trade functions

Case 4:HFT and FIX2LSE

LSE

QUIK gateway

ClientFIX2LSE

FIXNative API

QUIK screenPosition and risk parameters monitoring

Margin calls

Position closing

QUIK serverFast pre-trade methodology

Any necessary risk control models

Fat-fingers checks

Co-Location21

arqa.ru

Business advantages

Reduce collateral for HFT without affecting latency

Improve trading efficiency

Increase volumes and commissions

Case 4:HFT and FIX2LSE

22

arqa.ru

Case 5:Client liability management

23

Positions for different settlement days

trade T0

T1T0

trade T1 trade Tn

Tn

arqa.ru

Case 5:Client liability management

Service of displaying the client’s planned position

Pre-trade checks for non-trading operations

Service for trading with non-standard settlement dates

Task

24

arqa.ru

Business advantages

Business process automation

Improved risk management

Additional customer services

Case 5:Client liability management

25

arqa.ru

Important points

One QUIK risk server – different risk models and different infrastructure solutions

Expanding connectivity – extend risk approaches to other trading venues

»

26

arqa.ru

Thank You!

Questions?