TODAYS TECHNOLOGIES FOR TODAYS TRADING AGENDA
ARQA Technologies is a leading independent financial software provider in Russia and CIS. Founded in 2000 in the geographical centre of Russia – Novosibirsk – it offers automated frontto- back solutions to over 300 sell- and buyside clients worldwide. The company offers its solutions for deployment at clients’ premises or as managed services on the base of three data centres. They comprise:
Front-office solutions
• EMS/OMS QUIK for desk operations and client services.
• The essential components of the front-office software are QUIK matching engine (the platform’s core), SOR, and ALGO suite.
• RISQ solutions – a family of software applications for comprehensive risk management.
Middle-and-back-office solutions
• midQORT – monitoring and control of positions/ risks across markets/clients.
• backQORT – real-time operational accounting and reporting.
RISQ solutions – different approaches to risk management in pre-trade mode
What is it?
RISQ solutions are a family of software solutions specially designed as a stand-alone complex for effective pre-trade risk control of transactions.
Two distinct cases for applying RISQ solutions are those when:
1. Transactions to trading venues come from OMS or EMS, and
2. Trading takes place through direct sponsored access often involving HFT and algorithms.
In the first case transactions are checked when they go through the RISQ server.
In the second case a special piece of software named RISQ filter (a proprietary knowhow) screens orders based on pre-set ‘fat finger’ restrictions with additional safeguards including flood control) and continuously updated computations from the RISQ server.
In both cases the sophistication of pre-trade checks depends on selected models and risk parameters. There are a number of risk control approaches (risk management models) and also various combinations that are applied for achieving a particular business goal. Such approaches extend from simple checks (‘fat finger’, flood control) to more complex ones such as cross-asset portfolio margining, involving computations of correlation between instruments.
Distinctive features of RISQ solutions
• accurate accounting for working orders in position evaluation;
• scenario-based approach;
• capability to ‘screen’ the very first HFT order;
• easy integration with other software;
• additional latency of a pre-trade check (per round trip) – 3 to 50 microseconds in case 2 (depending on infrastructure) and 0.9 to 5 milliseconds in case 1 (depending on risk control approach).
How it works
Software used
1. RISQ Server – the computation core,
2. RISQ filter – a low latency ‘screen and halt’ device. Solutions built around RISQ filter include FIXPreTrade (universal), FIX2LSE, FIX2MICEX, FIX2Plaza2, and QUIK KillSwitch.
3. RISQ terminals – GUI for risk managers and end-clients.
QUIK KillSwitch – risk solution for sponsored access to the LSE
What is it?
The latest solution incorporating RISQ filter is QUIK KillSwitch. It was designed for online risk control of low-latency sponsored access trading at the London Stock Exchange (LSE) spot market. It is built on the existing technology of the LSE (halting trading by enabling a killswitch when a drop copy connection is down). The point of this solution (as with other RISQ filter-based applications) is to leverage RISQ capacity for lower risk and more efficient trading. QUIK KillSwitch has been certified by the LSE for joint use with the exchange risk control system.
How it works
1. Client’s platform is connected to the LSE trading system.
2. ‘Fat finger’ pre-trade checks are made by the exchange according to broker settings.
3. Complex risk checks are carried out by RISQ server.
4. Drop copy comes to RISQ server.
5. RISQ server updates QUIK KillSwitch on client’s position.
6. When RISQ server detects a risk it signals QUIK KillSwitch to halt client’s transactions by breaking his drop copy connection.
7. When risk parameters are satisfactory, the separate drop copy connection is not used.
8. When the drop copy connection is broken client’s orders are rejected by the exchange.
Software used
• QUIK KillSwitch
• RISQ server QUIK KillSwitch
Aggregation & internalization
What is it?
This is a universal multi-instrument solution for equity, FX, and derivatives trading. Its infrastructure is streamlined to aggregate and internalise liquidity.
The solution interconnects a number of trading venues and dark pools, bringing together quotes and liquidity. Orders are processed and routed to liquidity pools. Instrument quotes for clients are generated internally, hedging broker positions according to selected computation schemes. Clients’ orders are registered, matched and executed. Currently the solution is mostly applied to the FX market.
How it works
Software used
1. QUIK server – global connectivity, combined positions and overall risk management,
2. QUIK SOR – liquidity aggregation.
3. Automated Order Processing – internal pricing engine, quotations for clients,
4. QUIK Matching Engine – internal matching.
QUIK OMS
What is it?
A fully automated order processing (including registration, execution, monitoring, reporting and exporting data to external systems).
An external platform or OMS (buyside or sellside) connects to QUIK OMS. QUIK OMS automatically processes order flow with the help of Sales and Trader. Execution is done by QUIK EMS (cross-instrument, cross-venue, OTC or through ALGO suite). Risk management is provided by RISQ solutions (built into QUIK server). P&L is calculated online.
How it works
Software used
1. QUIK OMS Manager – order processing automation,
2. RISQ server,
3. ALGO suite – algorithmic order processing,
4. OTC module – internal OTC trading core.
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