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

Cases – different applications of risk management in QUIK for LSEG markets. Vladimir Kurlyandchik, Director of Business Development. arqa.ru. arqa.ru. Main principles of development. Risk-management. i s an instrument to increase clients’ business s hould be adopted for infrastructure

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

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  1. Cases – different applications of risk management in QUIK for LSEG markets Vladimir Kurlyandchik, Director of Business Development arqa.ru

  2. arqa.ru Main principles of development Risk-management • is an instrument to increase clients’ business • should be adopted for infrastructure • should take the client’s trading patterns into account

  3. arqa.ru Case 1:Equity & derivatives cross-margining Task Collateral optimization for arbitrage or hedging between equity and derivatives

  4. arqa.ru Case 1:Equity & derivatives cross-margining Solution infrastructure LSE(equity) QUIK gateway QUIKserver Broker’s EMS Infrastructure FIX adaptor QUIK gateway Turquoise (derivatives)

  5. arqa.ru Case 1:Equity & derivatives cross-margining Pre-trade control LSE(equity) QUIK gateway QUIKserver Broker’s EMS Infrastructure FIX adaptor Portfolio margining Pre-trade order checks Assets blocking Position recalculation QUIK gateway Turquoise (derivatives)

  6. arqa.ru Case 1:Equity & derivatives cross-margining Post-trade functions Position and risk parameters monitoring Margin calls Position closing QUIK screen LSE(equity) QUIK gateway QUIKserver Broker’s EMS Infrastructure FIX adaptor Portfolio margining Pre-trade order checks Assets blocking Position recalculation Position closing QUIK gateway Turquoise (derivatives)

  7. arqa.ru Case 1:Equity & derivatives cross-margining Business advantages Reduce collateral Increase trading efficiency Increase commission income Exact risk-control Growing client base

  8. arqa.ru Case 2:FX and equity Task One currency in position – several currencies in trading DMA access to FX with checking buying power

  9. arqa.ru Case 2:FX and equity Solution infrastructure QUIK gateway LSE(equity) QUIKserver Broker’s EMS Infrastructure FIX adaptor Turquoise (derivatives) QUIK gateway QUIK gateway FX trading venue

  10. arqa.ru Case 2:FX and equity Pre-trade control QUIK gateway LSE(equity) QUIKserver Broker’s EMS Infrastructure FIX adaptor Portfolio margining Pre-trade order checks Assets blocking Automatic FX conversion taking into account currency rates Turquoise (derivatives) QUIK gateway QUIK gateway FX trading venue

  11. arqa.ru Case 2:FX and equity Position and risk parameters monitoring Margin calls Position closing Pos-trade functions QUIK screen QUIK gateway LSE(equity) QUIKserver Broker’s EMS Infrastructure FIX adaptor Portfolio margining Pre-trade order checks Assets blocking Automatic FX conversion taking into account currency rates Turquoise (derivatives) QUIK gateway Position closing QUIK gateway FX trading venue

  12. 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

  13. arqa.ru Case 3:Integrating risk control in FIX infrastructure Task Simplifying risk control integration

  14. arqa.ru Case 3:Integrating risk control in FIX infrastructure Solution infrastructure QUIK gateway LSE(equity) QUIKserver Broker’s EMS Infrastructure FIXPreTrade Turquoise (derivatives) QUIK gateway QUIK gateway FX trading venue

  15. arqa.ru Case 3:Integrating risk control in FIX infrastructure Pre-trade control QUIK gateway LSE(equity) QUIKserver Broker’s EMS Infrastructure FIXPreTrade Turquoise (derivatives) QUIK gateway Fast pre-trade methodology Any necessary risk control models QUIK gateway FX trading venue

  16. arqa.ru Case 3:Integrating risk control in FIX infrastructure Position and risk parameters monitoring Margin calls Position closing Post-trade functions QUIK screen QUIK gateway LSE(equity) QUIKserver Broker’s EMS Infrastructure FIXPreTrade Turquoise (derivatives) QUIK gateway Fast pre-trade methodology Any necessary risk control models QUIK gateway FX trading venue

  17. arqa.ru Case 3:Integrating risk control in FIX infrastructure Business advantages Same as in Cases 1 and 2 Simplifying integration process for FIX enviroment

  18. arqa.ru Case 4:HFT and FIX2LSE Task Sophisticated risk management Applied to HFT clients

  19. arqa.ru Case 4:HFT and FIX2LSE Solution infrastructure QUIK server QUIK gateway FIX Native API Co-Location FIX2LSE LSE Client

  20. arqa.ru Case 4:HFT and FIX2LSE Pre-trade control QUIK server Fast pre-trade methodology Any necessary risk control models Fat-fingers checks QUIK gateway FIX Native API Co-Location FIX2LSE LSE Client

  21. arqa.ru Case 4:HFT and FIX2LSE Position and risk parameters monitoring Margin calls Position closing QUIK screen Post-trade functions QUIK server Fast pre-trade methodology Any necessary risk control models Fat-fingers checks QUIK gateway FIX Native API Co-Location FIX2LSE LSE Client

  22. arqa.ru Case 4:HFT and FIX2LSE Business advantages Reduce collateral for HFT without affecting latency Improve trading efficiency Increase volumes and commissions

  23. arqa.ru Case 5:Client liability management Positions for different settlement days T0 Tn T1 trade T0 trade T1 trade Tn

  24. arqa.ru Case 5:Client liability management Task Service of displaying the client’s planned position Pre-trade checks for non-trading operations Service for trading with non-standard settlement dates

  25. arqa.ru Case 5:Client liability management Business advantages Business process automation Improved risk management Additional customer services

  26. arqa.ru Important points » One QUIK risk server – different risk models and different infrastructure solutions Expanding connectivity – extend risk approaches to other trading venues

  27. arqa.ru Thank You! Questions?

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