cases – different applications of risk management in quik for lseg markets arqa.ru vladimir...
TRANSCRIPT
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
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Case 1:Equity & derivatives cross-margining
Collateral optimization for arbitrage or hedging between equity and derivatives
Task
3
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Case 1:Equity & derivatives cross-margining
Solution infrastructure
LSE(equity)
Turquoise (derivatives)
Broker’s EMS Infrastructure
QUIK gateway
QUIK gateway
QUIKserver
FIX adaptor
4
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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
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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
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Case 1:Equity & derivatives cross-margining
Business advantages
Reduce collateral
Increase trading efficiency
Increase commission income
Exact risk-control
Growing client base
7
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Case 2:FX and equity
One currency in position – several currencies in trading
DMA access to FX with checking buying power
Task
8
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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
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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
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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
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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
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Case 3:Integrating risk control in FIX infrastructure
Task
Simplifying risk control integration
13
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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
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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
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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
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Business advantages
Same as in Cases 1 and 2
Simplifying integration process for FIX enviroment
Case 3:Integrating risk control in FIX infrastructure
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Case 4:HFT and FIX2LSE
Sophisticated risk management
Applied to HFT clients
Task
18
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Solution infrastructure
Case 4:HFT and FIX2LSE
19LSE
QUIK gateway
ClientFIX2LSE
FIXNative API
QUIK server
Co-Location
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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
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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
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Business advantages
Reduce collateral for HFT without affecting latency
Improve trading efficiency
Increase volumes and commissions
Case 4:HFT and FIX2LSE
22
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Case 5:Client liability management
23
Positions for different settlement days
trade T0
T1T0
trade T1 trade Tn
Tn
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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
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Business advantages
Business process automation
Improved risk management
Additional customer services
Case 5:Client liability management
25
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Important points
One QUIK risk server – different risk models and different infrastructure solutions
Expanding connectivity – extend risk approaches to other trading venues
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Thank You!
Questions?