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Sergei Poliakoff
CIO
Moscow Exchange
MOEX Risk
Management Real-
Time Technology
EXTENT-2016: MOEX Risk Management Real-Time Technology
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
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
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
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
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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EXTENT-2016: MOEX Risk Management Real-Time Technology

  • 1. Sergei Poliakoff CIO Moscow Exchange MOEX Risk Management Real- Time Technology
  • 3. 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
  • 4. 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
  • 5. 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
  • 6. 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
  • 7. 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