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EXTENT-2016: MOEX Risk Management Real-Time Technology

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EXTENT-2016: Software Testing & Trading Technology Trends
22 June, 2016, 10 Paternoster Square, London

MOEX Risk Management Real-Time Technology
Sergei Poliakoff, CIO, Moscow Exchange

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Publié dans : Technologie
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EXTENT-2016: MOEX Risk Management Real-Time Technology

  1. 1. Sergei Poliakoff CIO Moscow Exchange MOEX Risk Management Real- Time Technology
  2. 2. 3 OPERATIONSRISK MANAGEMENT COLLATERAL MANAGEMENT EQUITY MARKET REAL-TIME CLEARING RISK FX MARKET REAL-TIME CLEARING RISK ENTERPRISE SERVICE BUS DATA GRID BUSINESS PROCESS MESSAGING SYSTEM TRADING- CLEARING SUITE EXCHANGE INFORMATION FARIC API GATEWAY WEB-SERVICES API FIX API FAST FIX API FAST PRODUCTION CORE DERIVATIVES MARKET REAL-TIME CLEARING RISK FIX TWIME FAST
  3. 3. 4 BASIC REAL-TIME POST-TRADE REAL-TIME ORDER PRE-CLEARING TRADES END-OF-DAY, INTRA-DAY MARGIN CALL END-OF-DAY OR MINI BATCH ORDERS ~400 µs RISK AND MARGIN CALCULATED IN BATCHES RISK AND MARGIN CALCULATED POST-TRADE IN REAL-TIME PROJECTED RISK CALCULATED BEFORE ACCEPTING THE ORDER IF PROJECTED MARGIN REQUIREMENT BREACHES AVAILABLE MARGIN, ORDER IS NOT ADMITTED TO MATCHBOOK ORDERS TRADES ORDERS ORDERS REAL-TIME POST-TRADE RISK CHECK AND MARGIN CALL TRADES ORDERS ORDERS ~12000 orders/second HYPOTHETICAL TRADE RISK CALCULATION ~400 µsACCOUNT SHUTOFF REAL-TIME RISK MANAGEMENT
  4. 4. 5 COSTS AND BENEFITS CREATES EVEN PLAYING FIELD IN A VERY DIVERSE PARTICIPANT COMMUNITY 1 PRESERVES MARKET INTEGRITY DURING SHOCKS 2 HELPS BROKERS MANAGE CLIENT RISK 3 LIMITS THE COMPLEXITY AND SCOPE OF RISK MANAGEMENT ALGORITHMS 1 LIMITS CROSS-MARGINING2 IMPACTS OVERALL SYSTEM- STABILITY DUE TO TIGHT SYSTEM COUPLING 3 BENEFITS COSTS
  5. 5. 6 2-TIER RISK MANAGEMENT 1 ORDER INJECTED 2 ORDER SENT TO PRE-TRADE RISK MODULE 3 ORDER CLEARED BY PRE-TRADE 4 MATCHED 5 PORTFOLIO RISK RECALCULATION 6 ADJUSTED LIMITS SENT TO PRE-TRADE PRE-TRADE RISK CHECK POST-TRADE RISK CHECK AND CLEARING MATCH ORDERS LIMITS LIMIT ADJUSTMENT LIMIT REAL-TIME RECALCULATION 1 2 3 4 5 6
  6. 6. 7 NEXT STEPS FUNCTIONAL ARCHITECTURE PRE-TRADE RISK CHECK POST-TRADE RISK CHECK AND CLEARING DERIVATIVES MARKET ORDERS LIMITS LIMIT ADJUSTMENT LIMIT REAL-TIME RECALCULATION CROSS-MARGINED RISK EQUITY MARKET ORDERS LIMITS LIMIT ADJUSTMENT LIMIT REAL-TIME RECALCULATION FX MARKET DERIVATIVES MARKET ORDERS ORDERS NOW PRE-TRADE RISK CHECK POST-TRADE RISK CHECK AND CLEARING FX MARKET ORDERS LIMITS LIMIT ADJUSTMENT LIMIT REAL-TIME RECALCULATION PRE-TRADE RISK CHECK POST-TRADE RISK CHECK AND CLEARING EQUITY MARKET ORDERS LIMITS LIMIT ADJUSTMENT LIMIT REAL-TIME RECALCULATION 2017 PRE-TRADE RISK CHECK

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