Transcript Ключевые проекты 2009-2010

Pre-trade risk management in QUIK –
a spectrum of approaches
Danil Baburin, Head of QUIK development
arqa.ru
arqa.ru
Preliminary comments
Risk-management in QUIK
is sophisticated
is fast
at no extra charge
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Online position keeping
loading client starting positions from
a broker's back office
recalculating balances when
registering trades
(incl. relevant commission payments)
limits' adjustment throughout
the working day
multi-level accounts structure
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Assets, currencies and settlement
conditions
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Various risk management models
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Distinctive features
calculate open orders from the
account
support limit, market, stop orders,
REPO operations, negotiated deals,
broker and exchange commissions
applied globally or individually
used in combination for one
account
extensively tested
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Risk awareness of clients
buying power
risks monitoring
what-if calculator
closing positions
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Fast and scalable
consecutive calculation
number of clients
number of transactions
drop-copy processing
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Genuine pre-trade
Client
Trading Venue
Pre-trade
control
Risk Server
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Fast pre-trade
Client
Trading Venue
Pre-trade Control
Module
yes / no
Risk Server
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Additional checks for fast pre-trade
fat finger checks
flood-control
lag on buying power
PnL control
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Latency defines approach
Client
Client
Trading Venue
Pre-trade
control
Trading Venue
Pre-trade Control
Module
Risk Server
Risk Server
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Real-life installations
Genuine pre-trade:
• works with up to 10 000 simultaneous
connections
• maintains online operations for
400-500K positions
• performs up to 1000 pre trade checks
per second
Fast pre-trade:
• all necessary computations
are done on the server side
• 3-50 mcs of additional
latency per transaction
• millions of orders placed
daily
• 3-5 ms of additional latency per
transaction
• processes over 5 mln orders from a
single account per session
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