Codestetic

Complicated multipart system for reporting OTC trades under Russian legislation.

In 2010 most G20 countries introduced new legislation for regulating over-the-counter market, after the 2008 crisis.  Russia was at the forefront. The new legislation made a wide range of market participants to report their OTC trades to a local regulator within 3 business days. Central Bank of Russia – the main regulatory authority on the Russian market, delegated the task of reports collecting to the National Settlement Depository (a subsidiary of the Moscow Exchange). Our company won a tender and became the main IT partner for NSD in this project. We developed a core of the reporting system, a web-based client application, documentation website and did a significant amount of work in a messages format development.

Our client – crypterium.com – hired us to create an exchange trading engine from scratch.

Key development results

1. Trading system (placing orders, making deals, netting obligations, supporting market making)
2. Integration of the payment system for depositing and withdrawing funds
3. History log for user requests and transactions
4. Ability to configure algorithmic trading
5. Integration with brokers and news services
6. Plotting charts with technical analysis
7. View and filter data displayed in tables, graphs, and dashboards
8. Referral Program
9. Setting up a user profile
10. Multilingualism
11. Customization of the interface design (night and day themes)
12. Custom Chat
13. Command-line utilities for starting and managing the system

Technology Stack

Back-end

• .NET Core 3.1
• C#
• WebSocket
• REST API
• Docker (with a custom scheduler)

Front-end

• React
• TypeScript
• RxJs
• Webpack
• WebSocket
• Postcss
• Eslint
• StyleLint
• Prettier
• Jest

In the year 2019, we got a client with a complicated task – to automate the everyday work of an options traders team, who were working as official market-makers on the Moscow Exchange derivatives market. Market-making according to an agreement with the exchange, simple quoting for gathering and closing position, automatic delta-hedging, own volatility surface, visualization of actual positions and positions modeling – these are just high-level tasks. Moreover, there was a requirement that doubled the overall complexity of the project – speed. The client wanted the main algorithms to be working with the latency close to HFT systems.

Project goals

The main functionality the client wanted to have in the end:

Technology stack: Linux, Docker, .NET Core, C#, Blazor, JavaScript

• Web interface. Access from mobile devices.

• Order management automation with transactions latency under 100 microseconds

• Fully automated algorithm for fulfillment obligations of an official options market-maker on the Moscow Exchange derivatives market. Simultaneously on several options series.

• Algorithm for general-purpose options quoting with a big number of parameters

• Automatic delta-hedging of either particular trades with options or of the whole portfolio

• An integrated mechanism for building own volatility surface with both ability to automatically fit it on the market quotes and correct manually any of its parameters

• Visualization of risk-profile and Greeks of the actual positions on trading account

• Positions modeling with visualization 

• What-if scenarios

• Incremental positions calculation based on fills.

Big corporations have accounts for Settlement and Cash Services in several banks. Each bank has its own technical and user interface, own documents’ format. This makes corporations adapt their accounting systems to all these different interfaces.

Our client – National Settlement Depository – decided to create a system (Transit 2.0), that:

• work as a proxy between a bank and its client

• convert documents between various formats

• collect information from several banks of a client and show it in one place.

We became a single vendor on this project. We develop and maintain 3 parts of the system: backend, a client application for banks, and a client application for banks’ clients. 

The technological stack includes: Linux, Docker, ASP.Net Core, Angular, Typescript.

Our client – Saint-Petersbourg Exchange and non-profit partnership RTS – asked us to develop a new version of their OTC trading system – RTS Board. From scratch. Their old system allowed them to trade only one instrument class – shares. Aims for the new system included subsystems for trading bonds, derivatives, interbank loans and REPOs and FX SWAPs. 

The technological stack for this project was Windows Server + ASP.Net + MS SQL. Windows was selected as a platform because of the requirement to work with a specific crypto provider that has an implementation only for this OS. 

Our client – National Settlement Depository of Russia – is in many terms a center of infrastructure of the financial market in the country. Most counterparties communicate with NSD via their electronic document interchange (EDI) system. Technically the entry point of this system is a set of SOAP web-services.

NSD asked us to develop a Windows desktop application (File gateway, FG) that works as a proxy between the SOAP service and file system.

FG pulls incoming messages from NSD to a client from SOAP service and stores them on a filesystem in a structured folder tree. At the same time, the software monitors specific folders, specified by a user, and sends files, appearing in these files into EDI system.

The software is installed in 80% of financial institutions in Russia. We are still the single vendor who maintains this project.

OptionWorkshop – software that simplifies the everyday tasks of options traders. It has two sets of features: purely analytical functions and several simple automation features. The software can be integrated with several external systems (CQG, IQ Feed, IB TWS, etc.) simultaneously, receive market data and positions from there, and manage orders.

Desktop application development

We decided to create the application on .NET+WPF stack. Firstly, we know this stack better than any other. Secondly, C# language is obviously a good choise for creating such complicated products.

For local data storage software uses SQLite embedded database engine.

Integrations

Applications like OptionWorkshop need integrations with other systems, like CQG Web API, IQ Feed, Interactive Brokers, etc. These systems through their API feed OptionWorkshop with market data and information about positions. Without such integrations, it is impossible to create and meaningful functionality for end-users.

We have created a subsystem, which allows us to create new adapters to external systems fast. An adapter has to implement a set of interfaces, which will allow the application to load it as a plugin and call its methods. Using these interfaces the software works with

The biggest online educational platform in Russia in the field of investments. On the platform 500+ lecturers (content providers) teach 200 000+ students. Various courses about trading, investments, and financial culture.

Content providers can set up, schedule, and run a series of webinars. Enrich them with materials. Communicate with students during and after webinars. Resell webinar records and materials.  

The platform also provides a set of online services, which ease investors' everyday life: 

• options portfolio modeling, 

• bonds portfolio structuring and tracking, 

• expirations calendar

• market heat-map.

Technically, the platform is a .NET Core Web Application, containerized and running on a Linux behind a load balancer.