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

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Presentation transcript:

Cases – different applications of risk management in QUIK for LSEG markets arqa.ru Vladimir 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

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

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

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

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

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

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

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

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

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

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 12

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

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

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

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

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

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

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

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

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

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

arqa.ru Case 5: Client liability management 23 Positions for different settlement days trade T0 T1 T0 trade T1trade Tn Tn

arqa.ru 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

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

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

arqa.ru Thank You! Questions?