Fuad-HS
09-28-2009, 05:13 PM
This is to descripe FIX4.4 bridge integration.
tech-hs
10-02-2009, 10:37 AM
2 years ago Hybrid Solutions makes absolute sense to develop Bridge, the best Forex risk management module, our objective was to identify risk management best practices including strategies, approaches, methods and techniques and how they can be used in the Forex business.
Now bridge can connect to infinite number of coverage Vertex and FIX liquidity providers and cover orders using the best coverage client as you can see in Figure 1.
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Figure 1
When new order reaches bridge chatting, bridge will check coverage clients and get the best Vertex coverage client depending on the prices (the client has the minimum price for buy orders and the maximum price for sell orders) and using the same criteria to get the best FIX coverage client, then it will get the best from these both clients (liquidity providers).
This new features working on one to one and rule based covering and working using bridge conditions (Market -> cover with better price, cover with better or equal price and always cover, Limit -> cover with better price , cover with better or equal price and always cover.
The main feature in this version is that you can cover with FIX clients and you can filter clients** to have the best one.
Login screen has new look now, since we can connect to infinite number of clients**, our login screen has clients list.
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Figure 2
Now you can add clients** by right click on the list view in the login screen and click add new client (you can add new Vertex client and add new FIX client) as show in the Figure 3
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Figure 3
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Figure 4
By right client on any client on the list you can (connect, disconnect, edit client info and you can add and delete clients**, Figure 4). Symbols association is per client now because every client has its own different symbols associated with BO symbols.
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Figure 5
When you right click on a client -> associate symbols you will have client association window for the selected client. This window allows you to delete and add symbols for a particular client (Figure 5).
Bridge will only check for clients** associate the order symbol (for example if the order is for EUR/USD and client1 does not associate this symbol, then client1 will not be in the bridge calculations to cover, the time client1 associate this symbol it will be included).
Options screen has new look as you can see in figure 6, the first tab allows you to set coverage market and limit options for one-to-one clearing and you have the check box (always cover on liquidation (it will cover regardless of the option you have checked).
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Figure 6
Rule based coverage option tab show the list of symbols (Figure 7), since you can set rules per symbol. Symbols rule attributes shown in this list (clearing type, rules count, last coverage time and percent).
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Figure 7
You can right click on any record and edit or add new rule for the symbol, and you can edit rule type.
Configuration tab (Figure 8) allows you to set the waiting time to cover (set the period of time to cover the received order), and allows you to select the BO coverage account (which is a must in order to reflect all covered positions at the liquidity provider side into this BO account for the net floating status screen calculations).
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Figure 8.
** Client = Liquidity Provider client account
Fuad-HS
10-05-2009, 09:51 PM
The following is an example of how the bridge handles new order (order opened by one of the BackOffice accounts):
First of all, you have to connect bridge clients and enable chatting. Status bar in figure 9 shows the number of connected Vertex and FIX clients.
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Figure 9
Then you have to associate symbols for all of the connected clients (see association in Figure 10)
- bridgeclient1->EUR/USD
- bridgeclient2->”EUR/USD and USD/CHF
- hybridsolutions->EUR/USD.
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Figure 10
Now bridge will handle any position opened by one of the BackOffice accounts for example: if a new buy position USD/CHF of amount 1 lot opened by one of the BackOffice accounts requested at 1.0337 as shown in figure 11.
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Figure 11
Bridge will go on the following procedure:
- Check for market coverage options (on our case it is always covered).
- Check for the symbol association (associate or not for every client in the clients list).
- Check for the symbol coverage type (whether it is one-to-one or Rule Based).
- Filter all of the vertex clients and get the best client depending on the price.
- Filter all of the FIX clients and get the best client (if there is a FIX client associate this symbol) depending on the price
- Filter both of FIX and Vertex clients and get the best client depending on the price.
On our case, there is only one client associate USD/CHF (BridgeClient2), the position covered by client BridgeClient2 and accepted at 1.0337 as shown in Figure 12.
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Figure 12
Let us create a new buy position EUR/USE of amount 1 as shown in figure 13.
(Note that EUR/USD associated on the 3 connected client).
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Figure 13
Using the same procedure bridge will filter Vertex and FIX client’s prices and cover on the best client depending on the price.
Figure 14 show you all of the connected client’s prices and how the bridge cover on hybridsolutions account (minimum ask 1.46359).
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Figure 14