INFORMATION TECHNOLOGY

DEVELOPMENT OF RISK MANAGEMENT GATEWAY (RMG) KARACHI STOCK EXCHANGE

Presented by:
Group Members: Ali Shamsheer Raheel Baig Ramzan Ali Mazhar

AGENDA

ABOUT RMG RISK CONTROL & FILTERS

RMG SOLUTION DESIGN

SOLUTION BENEFITS & KEY FEATURES RMG DEVELOPMENT ROAD MAP MEMBER VENUE HOSTED SOLUTION REQUIREMENTS

RMG ORDER FLOW SIMULATION

RISK MANAGEMENT GATEWAY

Risk Management Gateway gives broker participants the connectivity and technology needed for high-performance, pre-trade risk- filtered access to market. KSE will manage the trading infrastructure and participants connectivity, leaving brokers to monitor and control their clients risk limits, via a real-time, web-based GUI or API. It offers industry-standard risk controls and filters to achieve compliance while meeting clients performance goals and privacy requirements.In-time application of risk controls ensures that latency and performance are unaffected. Risk Controls and Filters are as follows,
Order Level Management Aggregate Level Management Regulatory Level Control Terminal Level Management

ORDER LEVEL MANAGEMENT

NAME

DESCRIPTION

Maximum Value
Maximum Volume Restrict Symbol and Side Price Control Order Type

Reject order having value over the defined limits provided by broker for selected or all clients
Reject order having volume over the defined limits provided by broker for selected or all clients Confine the Client to the Symbols that are allowed to, whereas the side can also be restricted Allow only orders that are within defined range, fixed price, last trade price, last bid and ask. Client can be restricted to certain types of orders such as SL orders , Market Orders etc. Particular Symbol can be restricted for particular order types like market orders, contingent orders etc.

Symbol Restriction List for Order Type

AGGREGATE LEVEL MANAGEMENT

NAME Order Volume Per day Order Volume Per Day in a symbol Order Volume Per day in a symbol in One side Order Value Per day Order Value Per Day in a symbol Order Value Per day in a symbol in One side Restrict usage of Share Limit Loss Limits Control Exposure Limit Position Limit DESCRIPTION Restrict the total sum of the Client Volume in all Symbols Restrict the total sum of the Client s orders volume in a single Scrip. Restrict the total sum of the Client s order volume in a single or all Symbols having a particular side ( Buy or Sell ) Restrict the total sum of the Client Value in all Symbols Restrict the total sum of the Client s orders value in a single Scrip. Restrict the total sum of the Client s order value in a single or all Symbols having a particular side ( Buy or Sell ) Client can be restricted for the usage of Share cash and securities by the member . Restrictions can be implemented on Value or the percentage of the total deposits of the member . Client can also me restricted not to use the shared limit at all. Client can be restricted within certain loss limits managed by the broker . Client can be restricted for holding certain exposure limit at a time. Client can be restricted for holding certain Net Position limit at a time.

REGULATORY LEVEL CONTROL

NAME Wash Trade Restricted Short Sell

DESCRIPTION Restrict potential wash trade at Broker side Restrict Symbol Level Short Sell after verification from Client Portfolio

TERMINAL LEVEL MANAGEMENT

NAME Client Binding Terminal Limits Terminal allotment

DESCRIPTION Client can be bound on a particular Terminal Terminal can be allotted a limit from Member Deposits and Member Capital Adequacy. A terminal can be allotted to a particular Client (s).

Symbol Restrictions
Market Restrictions

Terminal can be bound to particular Symbols.

Terminal can be bound to particular Market.

SOLUTION BENEFITS & KEY FEATURES

A Member Venue Hosted low-latency execution gateway that protects broker order flow while applying in-time risk controls. Industry-standard risk controls and filters achieve compliance while meeting clients performance goals and privacy requirements. In-time application of risk controls ensures that latency and performance are unaffected. Fast market access with robust client-side risk controls. Control Bandwidth flow Fat finger filters (Order Qty/Val etc) Single Instance can support multiple clients Real time Client position monitoring.Brokers can actively oversee and manage risk filters in realtime via a web-based OR Application interface. The tool allows brokers to dynamically configure, update intra-day and monitor a risk profile for each client It provides a wide range of risk filters to meet the compliance requirements of the sponsoring broker . The risk interface allows for the broker to apply risk measures on the clients order flow while not affecting latency or violating the privacy many participants require. End of Day reporting (If Require)

RMG DEVELOPMENT ROAD MAP

It provides in line risk checks.

Pre Trade Risk Management.Evolve trade risk management based on client. Develop Risk User Interface to enhance broker support help desk Develop an Interface to update Client Risk Settings Client Reporting Services (If Require) Provide alert mechanism if Client is breaching his limits. Client Bypass mechanism to skip his limits and route order directly to KSE Develop OPS application to perform admin activities like (Check Client DB Response Time, Reload RMG with new Data )

Component require to write data in DB or separate Thread itself in RMG Server

Separate Component require at Client End for Admin Console/Ops Applciation to fetch Client limits from his DB (Incase if CLIENT exceeds from his limits or he is unable to work due to any other reason )

MEMBER VENUE HOSTED SOLUTION REQUIREMENTS

RMG require establishment and maintaince of strong and dedicated infrastructure at Client Side for high frequency trading access,high-performance and pre-trade risk-filtered access to market.

RMG require Server Machine with Good enough configuration to run and handle multiple
concurrent users. Require Database either SQL Server,mySQL or Oracle Day End Process needs to run on daily basis at Client side to re-populate client limits in their respective tables on daily basis at the end of the business day.

Connectivity require between Client and KSE over VPN