midqort automated middle-office. principal functions 1 ̶ online evaluation and monitoring of...
TRANSCRIPT
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Principal Functions
� Online evaluation and monitoring of positions
� Risk-management by customers
� Own position risk-management
� OTC trade document flow
� Management reports
� Unified storage of all information
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Types of operations
� Exchange and OTC trades (spot, REPO, negotiated trades with securities)
� Exchange and OTC trades to buy/sell FX, SWAPs
� OTC trades to invest/raise cash
� Trades with derivative instruments (futures, options)
� Trades at international trading venues
� Non-trading operations of clients
� Corporate action processing
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Trading venues and instruments
� Trading venue is a place where trade operations take place
� Trading venue section is a trading mode at a particular trading venue
� Assets are traded items (tied to an issuer, industry)
� Instruments are assets displayed at a particular venue section
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Account Structure
� Sub-account is a minimum asset accounting unit in analytical accounting (a
client account, a trader position)
� Analytical account is a grouping of selected subaccounts
� Physical account is a minimum asset accounting unit by a storage place (trade
section, a bank account, etc.)
� Virtual account is a grouping of physical accounts (for example, by a storage
place)
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Position in QORT
The set of indicators processed online and broken down by:
� subaccounts (by ownership)
� physical accounts (by location)
� assets (by types)
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Position in QORT (parameters)
� Balance
� Purchase cost evaluation
� REPO obligations
� Forward obligations
� Today’s obligations
� Collateral
� Variation margin
� Blocked
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Operations that change positions
� Trades – change planned results
� Trade stages – change balances and planned REPO performance
� Adjustments – change actual results
� Redemptions – change balances of two positions
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Position management
� Confirmation of trade execution at registration
� Automated registration of exchange trade stages
� Registration of OTC trades, stages, entered manually
� Change of a trading day, storage of the day position breakdown (backdated
data entry)
� Double record (an account pair in every operation, possibility to specify the
second account pair in operations)
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Risk management
� Online data processing, post-trade control
� Monitoring of operation risks on stock and derivative markets
� Generating limits for pre-trade control in the front-office
� Automated closure and transfer of positions
� Monitoring of internal limits on a counterparty, an issuer, an asset group
� Settlement / delivery planning
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Internal Limits
� Application area - subaccounts or analytical accounts
� Limit currency, used for operation and position evaluation
� Various types of limits
� Setting group limits
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Internal Limits (types)
� Limit on maximum volume of obligations for open (not settled)
trades
� Limit on position opened in a group of securities
� Limit on position opened for REPO trades
� Limit on volume of open FX trades per counterparty
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Document Flow
� Types of agreements:
� trade orders
� orders to traders
� tickets
� Actions:
� role system administration
� generation/ examination / signing of documents
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Reports
� Reports on PnL calculation contain data on positions by an account, portfolio or a
group of chosen accounts over a period
� Reports on open obligations contain data on open obligations broken down by
assets, trading venues, counterparties
� Reports on portfolio structure contain data on own and client portfolio structure,
and on correlation with other portfolios
� Reports on operations contain data:
� on activity indicators for a chosen account group
� on executed trades
� on a status of trade agreements
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Financial result
� Reports on portfolio status for a particular date
� Portfolio revenues over a period by instruments
� Portfolio revenues over a period for selected accounts (online data)
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Integration with QUIK
� Market data feed
� Automated generation of assets and
instruments
� Trade and order transfer
� Forwarding of technical transactions
– closure of margin position, transfer
of short and long positions, transfer
of positions at currency markets
� Loading of stock market limits
� Loading of cash limits for the derivatives
market
� Loading of accrued commissions
� Integration with Non-Trade Module (order
import and signing, directory export for
Non-Trade Module)
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Integration with IDB
� Directory import (assets, instruments, accounts, etc.)
� Import of transactions and settlement stages
� Adjustment import
� Redemption import
� Import of accrued commissions
� Currency import
� Export of transactions, settlement stages, adjustments
� Market data export
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Services
� Reconciliation with exchangees, clearing companies
� Schedule service
� Marking for data that cannot be changed
� Automated analysis of the statistics data
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Security
� Secure traffic between the server, user desktop and server components
� Key authentification
� Two-factor authentication with RSA Secure ID, SMS, AD
� Role system and different levels of access for different roles
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Performance
� Processed transactions: 10 000 per minute
� Online margin indicator calculation – 10 000 accounts
� Simultaneous users: up to 100