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Solutions for online pre trade risk control Danil Baburin H ead of QUIK development

Solutions for online pre trade risk control Danil Baburin H ead of QUIK development. arqa.ru. arqa.ru. Who we are and why we are here. Front-to-back solutions for financial markets DMA to Russian, Ukrainian and Kazakhstan markets

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Solutions for online pre trade risk control Danil Baburin H ead of QUIK development

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  1. Solutions for online pre trade risk control Danil Baburin Head of QUIK development arqa.ru

  2. arqa.ru Who we are and why we are here • Front-to-back solutions for financial markets • DMA to Russian, Ukrainian and Kazakhstan markets • Over 250 financial institutions and over 100K end screens

  3. arqa.ru Pre trade risk control as an embedded feature of the broker’s trading platforms in Russia • The historical reasons: • T+0 / pre paid, pre delivery • no trust / high risk • retail clients • electronic trading • strictly regulated

  4. arqa.ru Supported models of position keeping • Multi currency support • Multi asset support (equities, bonds, futures, options, FX) • Unified currency position for all markets • Multi level account structure support (subaccounts, sub-brokers)

  5. arqa.ru Supported models of risk control • Cash trading (100% collateral) • Margin trading (dynamic evaluation of collateral) • Portfolio margin for equities, futures, options • Prop-trading limits (for long, short, netto positions, volume of operations) • Unified account for T+0 and T+N markets • Netting for local equities and ADRs

  6. arqa.ru Features of all used models • Active orders under the account are being properly calculated • All models do support limit, market, stop orders as well as different kinds of REPO operations and negotiated deals • All models support brokers’ and exchanges’ commissions (over 10 plans – per order, per trade, per volume, etc) • All models are supported in “how much” mode and implemented also in our front-end screens • All models and all their settings could be applied globally or individually per customer or group of customers • Combination of modelsfor one account • All models are being extensively tested by our wide clientele

  7. arqa.ru Current state of art • QUIK server: • maintains online operations for 200-300K positions • works with up to 10 000 simultaneous connections • performs up to 1000 pre trade checks per second • gives 3-5 ms of total overhead for each transaction • processes over 5 mln transactions for one account per session

  8. arqa.ru Naked access and pre trade control Operator Trading Engine(MICEX, RTS) Co-location FIX2Market Exchange protocol FIX HFT Engine yes / no Market data and client operations QUIK Server

  9. arqa.ru Pre trade solution for broker’s network Broker’s network Trading Venue FIX2FIX FIX FIX yes / no Market data andclient operations QUIK Server

  10. arqa.ru Potential benefits • Proposed approach allows any broker or HFT • to insert the solution into any system that is based on orders routing though FIX protocol • to effectively implement pre trade checks with additional latency below 100 mcs • to use our wide expertise in risk management solutions

  11. arqa.ru Thank You! Questions?

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