BISTECH Pre-Trade Risk Management

Transcription

1 BISTECH Pre-Trade Risk Management User Guide BORSA İSTANBUL A.Ş. Version: 1.2

2 CONTENT 1. INTRODUCTION PURPOSE AUDIENCE DEFINITIONS OVERVIEW USER TYPES MEMBER USERS EXCHANGE USERS GETTING STARTED SYSTEM REQUIREMENTS LAUNCHING THE APPLICATION WINDOW LAYOUT FILE MENU USER LIMITS MENU MARGIN MENU SUSPENSION MENU EXPANDING AND COLLAPSING PANELS STARTING AND STOPPING UPDATES RISK GROUPS OVERVIEW INTRADAY AND NEXT DAY CHANGES Intraday Changes Next Day Changes BREACHES AND BLOCKS Breaches Manual Block and Disconnection of Monitored User USER PANEL COLUMNS DISPLAYED NOTICE, WARN AND BREACH NOTICES IN THE USER PANEL Setting Warn and Notice Percentages RESTRICTING INSTRUMENTS FOR A RISK GROUP

3 6.4. AUTOMATİC MASS CANCEL OF ORDERS ON A RISK GROUP SETTING ORDER RATE LIMIT DATA TRANSFER WORKING WITH RISK GROUPS ADDING A RISK GROUP BLOCKING A RISK GROUP DELETING A RISK GROUP MASS CANCEL OF ORDERS ON A RISK GROUP UNBLOCKING A RISK GROUP UNBLOCKING AN ORDER RATE BREACH UNBLOCKING A RISK GROUP LIMIT BREACH CURRENT CONSUMPTION TAB FILTERING ON CURRENT CONSUMPTION TAB EDIT LIMITS TAB ADDING A NEW TRADE LIMIT EDITING TRADE LIMITS DELETING A TRADEABLE LIMIT FILTERING ON EDIT LIMITS TAB MANAGING USERS OVERVIEW VIEWING USERS ADDING A USER TO A RISK GROUP REMOVING A USER FROM A RISK GROUP DEFAULT GROUP CHANGING OR REMOVING A MONITORED USER MANAGING ALERTS OVERVIEW ADDING NEW ALERT RECIPIENTS SETTING ALERTS REMOVING ALERT RECIPIENTS MARGIN OVERVIEW MARGIN MENU Margin Tab

4 Margin Coefficients Tab SUSPENDED ACCOUNTS OVERVIEW SUSPENSION MENU Suspended Accounts Tab Suspension Logs Tab

5 1. INTRODUCTION 1.1. Purpose This guide is intended to help use BISTECH Pre-Trade Risk Management (PTRM) application for managing and configuring risk groups in order to limit risk exposure of user groups and margin accounts integrated with Trading and Clearing Platforms Audıence This document is intended for BISTECH PTRM application users that need to configure and monitor their trade risk exposure 1.3. Defınıtıons Definition Risk Group Sponsoring Participant Sponsored Client Monitored User Tradeable Explanation A risk group is set up by a sponsoring participant in order to monitor and control the pre-trade risk of a group of users. A market participant who sponsors the access of other traders. sponsoring participants can view the activity of, and set limits for their sponsored clients. A market participant whose access is sponsored, and monitored by a sponsoring participant. A user of a sponsoring participant, who is used to monitor the trading activities of risk groups and accounts. A set of instruments traded at the Exchange, which typically share some common characteristic. 2. OVERVIEW BISTECH PTRM system provides an Exchange with a way to monitor and control trading risk. BISTECH PTRM also shows at-a-glance risk across the Exchange, with a hierarchy of sponsoring members, sponsored members, and trading users. Specifically, BISTECH PTRM allows an Exchange to: Control the risk exposure by setting exposure limits on groups of users belonging to a participant (within the same member or for another member). Monitor real-time risk exposure of risk groups. Set limits on order rate. Set limits on max order size. Set limits on group exposure per tradeable. Restrict individual risk groups to only trade in instruments within the limits set. Generate alerts when a tradeable s exposure surpasses a notification threshold, or breaches set limits. Suspend risk group users from trading due to breached limits. Manually block and unblock a risk group. Manual mass cancel all open orders for users connected to a risk group Automatic mass cancel all open orders for users connected to a risk group after a limit breach. Monitor margin consumption per margin account. Monitor margin coefficients. 4

6 Monitor suspended accounts and suspension history. 3. USER TYPES There are two types of BISTECH PTRM users: - Member User - Exchange User 3.1. Member Users Member users can only set limits to risk group/s and can only monitor the risk exposure of risk group/s and the margin accounts Exchange Users An Exchange user, can set limits to risk group/s, can monitor the risk exposure of risk group/s and the margin accounts for all sponsoring participants and sponsored clients. 4. GETTING STARTED 4.1. System Requırements To run the BISTECH PTRM application, you must have Java 8. You will also need connectivity to the internet, and a Web browser. Supported Versions: Program Versions JAVA 8 + Microsoft Internet 7.x + Explorer Mozilla Firefox 10 + Google Chrome 13.x Launchıng The Applıcatıon To download and run the application, complete the following steps: 1. Open web browser and go to the launch page. 2. If you do not have Java installed, click the Java icon, and download it. 3. Click the Launch BISTECH PTRM Client link. 4. The application will download, and the login window will display. Select the language to use in the application: English or Turkish. 5. Enter your user name and password. 6. Click the Login button. 5

7 7. The main window of the BISTECH PTRM application will display. 8. When you install the application, a shortcut is placed in the start menu as well as on the desktop. Shortcut Screenshot: 5. WINDOW LAYOUT When first logging in, the BISTECH PTRM application workspace will be blank. From this workspace, all functionality of the BISTECH PTRM application can be opened via the menu options. Menu options: - File - User Limits - Margin - Suspension 6

8 5.1. Fıle Menu Change Password and Exit options are seen in File Menu: File Menu Options : Changing Password - Click on Change Password option. - Type your old password. (1) - Type your new password. (2) - Type your new password again (3) and click on Send button. Change Password 1: Change Password 2: 7

9 Exit In order to log out click Exit option User Lımıts Menu Click on User Limits menu, and see Member Settings. User Limits Menu Options: Member Settings The Member Settings tab allows a market participant to set limits on risk groups. Member Settings : The Member Settings tab is composed of the following parts: BISTECH PTRM Window Layout and Tabs: Area Function User Panel: This panel displays a hierarchy of sponsoring participants, their sponsored clients, 1 and risk groups assigned to each sponsored client. Current Consumption Tab:: The Current Consumption tab shows the usage of all limits set on 2 a risk group. 3 Edit Limits Tab: The Edit Limits tab lets you add and edit limits on a risk group. Users Tab: The Users tab lets you add, remove, and view which user accounts are assigned to 4 a risk group. Alerts Tab: The Alerts tab shows the alert notification list for the risk group, and 5 lets you set which kinds of alerts will be sent to that group. Intraday Changes: The Intraday Changes pane shows changes that are applied immediately 6 when saved. 8

10 7 Next Day Changes: The Next Day Changes pane shows changes that when saved in the interface, are sent to the Exchange database, and become effective when the system is started the next day Margın Menu Margin and Margin Coefficients are seen in Margin Menu. Margin Menu Options: For the details: See Suspensıon Menu Suspension and Suspension Logs are seen in the Suspension Menu. Suspension Menu Options: For the details: See. BISTECH PTRM User Interface Icons 1: Icon Explanation From left to right: Minimize: Minimizes the application to your taskbar. Maximize: Maximizes the application to fill your entire screen. Close: Closes the application. Revert: Undo any unsaved changes. Save: Saves your current changes. Filter: Helps to filter Participant/Risk Group/Account. Add: Adds a limit, user, or recipient. Remove: Removes a limit, user, or recipient. Settings Panel: Helps to filter at Current Consumption and Edit Limits tab. Stop: Stops updates to the user interface. 9

11 Start: Resumes updates to the user interface. BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu In the User, the Intraday Changes, and the Next Day Changes panel, there are several icons that indicate the status of that item. BISTECH PTRM User Interface Icons 2: Icon Explanation Added: This icon indicates that edit is saved and will be valid from nextday. (Next day changes) Unsaved: This icon indicates that edit is not saved yet. (Intraday Changes) 5.5. Expandıng and Collapsıng Panels If you do not want to view a particular panel in the BISTECH PTRM application, you can hide it using collapse buttons. Alternatively, you can display it using the expand buttons. Expanding and Collapsing Panels: Icon Explanation Clicking these buttons in the top left of every panel will hide and display panels in the application Startıng and Stoppıng Updates Click the Stop Update button to stop data updates and review details displayed in the application. Stopping data updates does not affect server processing only updates to the application will be paused. The server will continue monitoring the risk groups. To resume updates, click the Start Update button. 10

12 Stop Update Icon: Start Update Icon: 5.7. Rısk Groups Overvıew A risk group is the central conceptual unit where risk is monitored in the BISTECH PTRM application. A risk group is composed of the following parts: A sponsoring participant A sponsored client A group of users associated with the sponsored client to be controlled by the risk group limits. Position limits for tradeables. An order rate limit for the group. A list of addresses which will receive alerts concerning the groups' exposure. Control flags that select certain configurable behaviors of the group. 11

13 Components of a Risk Group: 5.8. Intraday and Next Day Changes Intraday Changes The following changes can be made, and are effective, at any time in the BISTECH PTRM application interface: Updating Limit Values Setting Warn and Notice Percentages Setting the Order Rate Limit Adding New Alert Recipients Mass Canceling Orders on a risk group Blocking a risk group Unblocking a risk group Unblocking an Order Rate Breach Restricting Instruments for a risk group Mass Cancel tick 12

14 Unsaved intraday changes are displayed in the Intraday Changes panel. Intraday Changes Panel: BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu Next Day Changes The following changes are 'next day'. When saved in the interface, these changes will be sent to the Exchange database, and become effective when the system is started the next day: Adding a New Trade Limit Deleting an Existing Trade Limit Setting Alerts Removing Alert Recipients Adding a User to a risk group Adding a risk group Deleting a risk group Removing a User from a risk group Changing a Monitored User Setting the Default User to Contribute to a risk group Next Day Changes display in a different panel to illustrate that they are pending changes to the system and will not be applied during the current trading day. If you add a next day change, and you need to modify that next day change before the next day, you must delete that change and then add a new one. 13

15 Next Day Changes Panel: 5.9. Breaches and Blocks Breaches A breach can occur on a tradeable level or a group level. a) Tradeable Level Breaches are first checked at the tradeable level. Breaches at the tradeable level are caused when orders on a tradeable surpass one of the defined tradeable limits. When a breach occurs at the tradeable level, no orders in this tradeable are allowed. New orders are rejected for a tradeable breached. See Unblocking a Risk Group Limit Breach for more information. b) Group Level Secondly, breaches are checked at the risk group level. Currently the only group level check is the order rate check. When a breach occurs at the risk group level, no orders are allowed for the traders of the related risk group Manual Block and Disconnection of Monitored User A manual block can be placed at the risk group level. No orders will be allowed for the risk group when a manual block is in effect. Please see Blocking a Risk Group and Unblocking a Risk Group for more information. Another type of block is monitored user disconnection block. This type of block is automatic. If the monitored clearing member disconnects, traders in the risk group will be automatically blocked from entering transactions. Please see Changing or Removing a Monitored User for more information. 6. USER PANEL The user panel shows all sponsoring participants, sponsored clients, and risk groups in a hierarchal tree. The hierarchy contains the following levels: Top level/sponsoring Participant: A trading participant who sponsors one or more participant s direct connection to the market. 14

16 2nd level/sponsored Client: A participant who is controlled by a sponsoring participant. A sponsored client is only associated to one sponsoring participant. 3rd level/risk Groups: A logical grouping of traders connected to one sponsored participant. The members of a risk group are defined by the trading IDs shown on the Users panel. Risk checks are enforced on each risk group in real time as orders and execution messages are sent from the trading engine Columns Dısplayed The following columns display on the User Panel : User Panel: Restricted Instruments (1): This checkbox is checked if the group is restricted to trading only instruments for which there are trading limits in place. If unchecked, the users of the risk group can trade in any instrument while only those that have defined limits will be checked for risk breaches. Mass Cancel (2): When this box is checked, all open orders of users associated with the risk group will be automatically cancelled in case of a limit breach. Breaches (3): Displays the number of risk check breaches by the participant, or risk group. Warnings (4): Displays the number of risk check warnings made by the participant or risk group. Notices (5): Displays the number of notices generated by the participant or risk group. Warn% (6): When the trader or risk group reaches this limit percentage, warning alerts will be generated. Notice% (7): When the trader or risk group reaches this limit percentage, warning alerts will be generated. Order Rate Limit (8): Displays the limit set by the participant for a risk group. The lowest of the member and Exchange order rate limits will be enforced. Exceeding the Order Rate limit will only generate breach s. Exceeding the Order Rate limit will not generate Warnings or Notices. Exchange Order Rate Limit (9): Displays the limit set by the Exchange for a risk group. The lowest of the member and Exchange order rate limits will be enforced. Exceeding the Order Rate limit will only generate breach s. Exceeding the Order Rate limit will not generate Warnings or Notices Notıce, Warn and Breach Notıces In The User Panel Risk groups in the user panel will display in different colors. The color corresponds to the any notice, warn, and breach events that have occurred for that risk group. Green: The exposure of the risk group is currently below the notice threshold. Yellow: The risk group has passed the notice level on a limit. Orange: The risk group has passed the warning level on a limit. Red: The risk group has breached a limit. 15

17 User Panel Breaches-Warnings-Notices: While the risk group limit is breached: Members of the risk group cannot submit any orders for the instruments of the breached limit. Members of the risk group can still cancel open orders. To unbreach a risk group, see Unblocking a Risk Group Limit Breach Setting Warn and Notice Percentages You can configure warn and notice percentages to monitor a risk group thresholds. The values associated with breaches are further defined by level and are color coded to provide a visual indicator. Notice is the lowest level of alert. Warning is next highest level of alert. To set warn and notice percentages on a risk group: 1. Double click a Warn % or Notice % column in the row of a risk group. 2. Enter a new value for the Warn % or Notice %. 16

18 3. Click on the save icon: 4. Click on the green arrow on the Pre Trade Limits Group Saver screen: 5. After you see the check sign that indicates saving is done, you may close the window. Note: This is an intraday change Restrıctıng Instruments for a Rısk Group The user panel displays a column for Restricted Instruments. This setting controls whether the risk group can only trade for tradeables that have defined risk limits. When unchecked, the risk group can trade in all tradeables and only the limits set will be monitored and create breaches. To restrict a risk group to only trade instruments that have defined risk limits, complete the following steps: 1. On the User Panel, select a risk group. 2. Check the box for Restricted Instruments and click to save button. 17

19 3. Click on the green arrow on the Pre Trade Limits Group Saver screen: BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu 4. After you see the check sign that indicates saving is done, you may close the window. Note: This is an intraday change Automatic Mass Cancel of Orders on a Rısk Group If this box is checked, after a limit breach, the open orders on the breached tradable of risk group users, will be cancelled automatically by the system. In order to use Mass Cancel function, complete the following steps: 1. On the User Panel, select a risk group. 2. Click to save button after mass cancel box is thicked. 18

20 3. Click on the green arrow on the Pre Trade Limits Group Saver screen: BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu 4. After you see the check sign that indicates saving is done, you may close the window. Note: This is an intraday change Settıng Order Rate Lımıt Order rate limit measures the rate of the orders entered into the trading engine from all users of a risk group. Order rate limit check is based on new orders inserted into the book. The orders stated below are ignored by the order rate limit check: Order Cancel requests Rejected orders Order amendments Order types that do not stay in the book, such as IOC or FOK. The order rate limit is checked every 1/10th of a second. This limit breaches if the order rate is higher than one tenth of the set limit within one tenth of a second. Both the BISTECH PTRM user, and the Exchange can set an order rate limit. Both are displayed on the user panel. The most restrictive of the two limits will be used. Whichever is in effect is displayed in green, and whichever is not in effect is displayed in grey. Please see Unblocking an Order Rate Breach for how to lift this breach condition. 19

21 To set an order rate limit on a risk group: 1. Double click the order rate column in the row of a risk group and enter a new value for the order rate and then click on the save button. 2. Click on the green arrow on the Pre Trade Limits Group Saver screen: 3. After you see the check sign that indicates saving is done, you may close the window. Note: This is an intraday change. 20

22 6.6. Data Transfer Data transfer feature makes it possible to save or take screenshot of "Risk Group" panel in the Member Settings tab. Right click on a spot in the Pre Trade Limits Groups rows. You ll see the options of the Export Menu as: - Settings - Open Containing Folder - Screenshot - CSV Export Menu Options: Export function includes options below: - Settings: Settings for exporting data/screenshot. Export Settings: - Open Containing Folder: Opens the folder that screenshots and data are saved. - Screenshot: Takes a screenshot with the selected image format to the export path - CSV: Saves the data with csv format to the export path. 21

23 7. WORKING WITH RISK GROUPS 7.1. Addıng a Rısk Group To add a risk group, follow the following steps: 1. Select a sponsoring participant, or a sponsored client on the user panel of the main window. 2. Right-click and select Add Pre Trade Limits Group option from the menu. 3. When the Input window appears enter the name of the new risk group. Click the OK button. (Alternatively, you can click the Cancel button to cancel the action.) Note: A risk group must be given a unique identifier. The identifier should use the following naming convention. Grey part of the identifier below will be set automatically by the system. You should enter the group name: [Sponsoring Participant ID]_[Sponsored Client ID]_[Group Name] 4. After naming the risk group, a User Picker window pops-up. Assign a user or users to your new risk group through User Picker window. 22

24 5. Add tradable/s on the Edit Limits tab by clicking the Add New Tradable icon. 6. Select the tradable on the Add New Tradable Window and than click on Use this tradable button: 7. Click on the save button in order to save your settings: 23

25 8. Click on the green arrow on the Pre Trade Limits Group Saver screen: 9. After you see the check sign that indicates saving is done, you may close the window. Note: This is a Nextday Change Blockıng a Rısk Group A risk group can be blocked manually by the participant or by Exchange personnel. Users included in a blocked risk group cannot enter new orders. Nor will they be able to alter existing ones. Blocked users of a risk group are: Allowed to login BISTECH PTRM, Able to delete existing orders and quotes, Allowed to receive broadcasts, and send queries. Thus they can view the market. The participant and the Exchange personnel can still act on behalf of a blocked risk group (in the same way as before the risk group was blocked). Risk groups are never unblocked automatically intraday. A blocked risk group can be unblocked intraday by the participant or by the Exchange. If the blocked risk group is not unblocked manually during that trading day, the blocked group will be unblocked automatically at the beginning of the next trading day. To block a risk group, complete the following steps: 1. Select a risk group.on the user panel. 2. Right-click, and select Block Pre Trade Limits Group from the menu. 24

26 3. The group will be blocked. The icon for the group changes to indicate this condition. Note: This is an intraday change. This change takes effect immediately Deletıng a Rısk Group To delete a risk group, complete the following steps: 1. Select a risk group.on the user panel.right-click, and select Delete Pre Trade Limits Group from the menu. 2. Click on the save button. 25

27 3. Click on the green arrow on the Pre Trade Limits Group Saver screen: 4. After you see the check sign that indicates saving is done, you may close the window. Note: This is a next day change. Saving the change sends it to the Exchange database and becomes effective when the system is started the next day. See Next Day Changes for more information about next day changes. Changing an Already Added Next Day Change If you add a next day change, and you need to modify that next day change before the next day, you must delete that change and then add a new one Mass Cancel of Orders on a Rısk Group Mass canceling allows you to cancel all open orders for users in a particular risk group. To mass cancel orders for a risk group, complete the following steps: 1. Select a risk group in the user panel. 2. Right-click, and select Mass Cancel Pre Trade Limits Group from the menu. 26

28 3. All open trades for the group are canceled. BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu Note: This is an intraday change. This change takes effect immediately Unblockıng a Rısk Group To unblock a risk group, complete the following steps: 1. Select a risk group in the user panel. Right-click, and select Unblock Pre Trade Limits Group. The limit group will be unblocked. The icon for the group changes accordingly. After a risk group is unblocked, users in the group are allowed to trade normally. Before unblocking, the risk group icon was seen as: After unblocking the risk group icon is seen as: Note: This is an intraday change. This change takes effect immediately Unblockıng an Order Rate Breach If a risk group breaches their order rate limit, they will not be able to submit any orders. A manual unblock is required to lift the breach restriction. Order/Rate Breach: 27

29 To unblock an order rate breach, complete the following steps: BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu 1. From the BISTECH PTRM window, in the user panel, select a breached risk group. 2. Using the mouse, right-click, and then select Unblock order rate from the right-click menu. The breach is lifted. The risk group will be able to trade normally. After unblocking the risk group icon is seen as: Note: This is an intraday change. This change takes effect immediately Unblockıng a Rısk Group Lımıt Breach When a risk group is in breach of a tradeable limit: Users in that group can: Cancel open orders. Trade in tradeables that are not breached. Users in that group cannot: Place new orders on the breached tradeable. Modify an order for the breached tradeable. If a trader cancels or reduces the size of orders until the limit group is no longer in breach state, the breach restriction is lifted and they can trade normally. A sponsoring participant can also raise the breached limit to unbreach a risk group. The sponsoring partner, or Exchange personnel can take several courses of action on a breached group: 1. Leave the group breached messages will be rejected. 2. Raise the associated limit on the group. 28

30 8. CURRENT CONSUMPTION TAB BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu The Current Consumption tab displays defined limits for the selected risk group and the current usage of those limits by trading activity. Current Consumption Tab: The following columns are shown on the Current Consumption tab: Name: The name of the tradeable instrument. Calculation: The calculation method for the limits. Indirect Usage: When checked, if the member does not set a risk limit for a instrument that has been assigned to a risk group by the Exchange and a risk limit has been set, and if the restricted contract is marked, the use of the limit will occur at the limits set by the Exchange. It is not planned to set any limit by the Exchange. Open Buy: The current consumption value of open buy orders for the tradeable. Open Sell: The current consumption value of open sell orders for the tradeable. Traded Bought: The current consumption value of executed buy orders for the tradeable. Traded Sold: The current consumption value of executed sell orders for the tradeable. Traded Net: The absolute value of traded bought minus traded sold for the tradeable. Total Buy: The current consumption value of open and executed buy orders for the tradeable. Total Sell: The current consumption value of open and executed sell orders for the tradeable. Total Net Buy: Traded Bought Traded Sold + Open Buy for the tradeable. Total Net Sell: Traded Sold Traded Bought + Open Sell for the tradeable Fılterıng On Current Consumptıon Tab You may filter the screen through available options: 1. Click on Current Consumption tab and settings panel icon: 29

31 Filter the screen through the options: Limit View Properties: Risk Check Types: 30

32 9. EDIT LIMITS TAB Tradeable limits are edited using the Edit Limits tab on the Member Settings tab. Edit Limits Tab: The exposure of all risk group users on a set of instruments is calculated together. This combined exposure can be limited according to several calculations. You can configure limits by setting the following parameters: 1. An instrument class or instrument type (regular or combination). 2. A calculation type for the risk limit. This can be one of the following: Quantity: The exposure is calculated by summing the share quantity for each order submitted by a member of the risk group. Volume: The exposure is calculated by summing the shares times price quotation factor of all orders submitted by members of the risk group. Value: The exposure will be the price times shares of all applicable orders for users in the risk group. 3. Each instrument can then have several limits set on the groups exposure to different kind of orders. The following columns are shown on the Current Consumption tab: Name: The name of the tradeable instrument. Calculation: The calculation method for the limits. Tradeable Status: Trade status of the tradable. Open Buy: The current value of open buy orders for the tradeable. Open Sell: The current value of open sell orders for the tradeable. Traded Bought: The current value of executed buy orders for the tradeable. Traded Sold: The current value of executed sell orders for the tradeable. Traded Net: The absolute value of traded bought minus traded sold for the tradeable. Total Buy: The current value of open and executed buy orders for the tradeable. Total Sell: The current value of open and executed sell orders for the tradeable. Total Net Buy: Traded Bought Traded Sold + Open Buy for the tradeable. Total Net Sell: Traded Sold Traded Bought + Open Sell for the tradeable. Max Size: The limit to the maximum size of a single order, based on the limit calculation. 31

33 Exchange Limits and Member Limits BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu Each exposure limit set for a risk group has two values. One can be set by the Exchange, and one is set by the risk group manager. The Exchange value will appear as the default for all groups on the Exchange but can be updated for the group by operators of the Exchange. The Exchange value defines the bareminimum level of risk that is enforced for the selected group. BISTECH PTRM members can then restrict these levels by setting the member limits. A limit from a member can be more restrictive than the Exchange limit, but it cannot be less restrictive. The risk engine will enforce the most restrictive of the two limits. Therefore, members can tighten risk limits, but they cannot loosen the levels set by the Exchange. Breached Limits If any of the risk limits are exceeded, the system rejects new orders submitted in any of the instruments connected to the affected tradeable from any of the User IDs that are part of the risk group. However, a user can still cancel open orders for the affected instrument when the limit is breached Addıng a New Trade Lımıt To add a new tradeable limit to a risk group, complete the following steps: 1. Click the risk group for which you want to edit limits, and then click the Edit Limits tab. 2. Click the Add new tradeable button. 32

34 The Add new Tradeable window displays. 3. Select an instrument: Market: Select the market where the tradeable is offered. Leaving this blank will show tradeables in all markets. Name: The name of the tradeable to monitor. 4. Select the calculation method for the limit: Quantity: The exposure is calculated based on the share quantity of all orders. Volume: The exposure is calculated based on the volume (shares * price quotation factor) of all orders. Value: The exposure calculated will be the price times shares of all orders. 5. Click the Use this tradeable button. A row with the new tradeable instrument will appear in the Edit Limits Panel / Next Day Changes screen: 33

35 6. Set any limits to be enforced on the selected securities. BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu 7. Click the save button. 8. Click on the green arrow on the Pre Trade Limits Group Saver screen: 34

36 9. After you see the check sign that indicates saving is done, you may close the window. Note: A limit value of zero means no limit, and no breach is possible for that risk counter. 10. The new limit appears in the Next Day Changes panel and will go into effect the next trading day. Note: This is a next day change. Saving the change sends it to the Exchange database and becomes effective when the system is started the next day. See next day change for more information about next day changes. Changing an Already Added Next Day Change If you add a next day change, and you need to modify that next day change before the next day, you must delete that change and then add a new one. 35

37 9.2. Edıtıng Trade Lımıts To edit a limit on a risk group, complete the following steps: 1. From the BISTECH PTRM window, click the risk group for which you want to edit limits, and then click the Edit Limits tab. 2. In the Intraday Changes panel, review or change the fields as necessary. Pls. see the Editing Limits Overview for definitions of any of the fields. 36

38 3. Click the save button. 4. Click on the green arrow on the Pre Trade Limits Group Saver screen: 5. After you see the check sign that indicates saving is done, you may close the window. Note: Changing a tradeable limit can be either an intraday day or a next day change. If the change only affects risk counter limits, it will be an intraday change. If the change affects the limit calculation, the limit will appear in the Next Day Changes panel and be applied the next day. Setting a limit to zero disables the pre-trade limit check. Changing a limit from zero to a non-zero value intra-day may cause unpredictable results. BISTECH PTRM ignores credit consumption while the limit is zero. 37

39 9.3. Deletıng a Tradeable Lımıt To delete an existing tradeable limit to on a risk group, complete the following steps: 1. Click the risk group for which you want to edit limits, and then click the Edit Limits tab. 2. Select the limit to delete. 3. Click the Remove Tradeable button. 38

40 After clicking on the Remove Tradable button, you ll see the deleted tradable on the next day changes screeen. 4. Click the save button. 5. Click on the green arrow on the Pre Trade Limits Group Saver screen: 6. After you see the check sign that indicates saving is done, you may close the window. 39

41 Note: This is a next day change. Saving the change sends it to the Exchange database and becomes effective when the system is started the next day. See Next Day Changes for more information about next day changes. Changing an Already Added Next Day Change If you add a next day change, and you need to modify that next day change before the next day, you must delete that change and then add a new one. To delete an tradeable limit edited intraday on a risk group, complete the following steps: 1. Click the risk group for which you want to edit limits, and then click the Edit Limits tab. 2. Select the limit to delete. 40

42 3. Click the Remove Tradeable button. After clicking on the Remove Tradable button, you ll see that Next Day Changes screen disappears: 4. Click the save button. 5. Click on the green arrow on the Pre Trade Limits Group Saver screen: 41

43 6. After you see the check sign that indicates saving is done, you may close the window Fılterıng on Edıt Lımıts Tab You may filter the screen through available options: 1) Click on Edit Limits tab and Settings Panel icon: 2) Filter the screen through the options: Limit View Properties: 42

44 Risk Check Types: 10. MANAGING USERS OVERVIEW The Users tab shows which BISTECH PTRM user accounts are assigned to a given risk group Vıewıng Users To view users that are assigned to a risk group, complete the following steps: 1) From the main window, click the risk group for which you want to view users, and then click the Users tab. 2) Review the users assigned to the group. Name: Displays the signature of the user. Participant: Shows the participant the user belongs to Addıng a User to a Rısk Group BISTECH users need to be assigned to a risk group. A user can belong to only one risk group. To add a user to a risk group, complete the following steps: 43

45 1. From the BISTECH PTRM window, click the risk group for which you want to add a new user, and then click the Users tab. 2. Click the Add New User button. 3. The User Picker window displays. 44

46 4. The table shows users who are unassigned to risk groups. Review the following fields to determine which user you want to add: Name: Displays the signature of the user. Participant: Shows the participant ID the user belongs to. 5. Select a user from the table and than click the Select User Button: 6. The new user is added to the Users tab as a Next Day Changes : 7. Click the save button. 8. Click on the green arrow on the Pre Trade Limits Group Saver screen: 45

47 9. After you see the check sign that indicates saving is done, you may close the window. Note: This is a next day change. Saving the change sends it to the Exchange database and becomes effective when the system is started the next day. See Next Day Changes for more information about next day changes. Changing an Already Added Next Day Change If you add a next day change, and you need to modify that next day change before the next day, you must delete that change and then add a new one Removıng a User From a Rısk Group To remove a user from a risk group, complete the following steps: 1. Click the risk group you want to modify, and then click the Users tab. 46

48 2. Select the user to remove and click the Remove User button: BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu The removed user will be seen in red colour at Next Day Changes screen: 3. Click the save button. 4. Click on the green arrow on the Pre Trade Limits Group Saver screen: 5. After you see the check sign that indicates saving is done, you may close the window. 47

49 Note: This is a next day change. Saving the change sends it to the Exchange database and becomes effective when the system is started the next day. See Next Day Changes for more information about next day changes. Changing an Already Added Next Day Change If you add a next day change, and you need to modify that next day change before the next day, you must delete that change and then add a new one Default Group Designating a group as the default group associates transactions from the default user into the group. Transactions by the default user are those where the user field does not contain a valid user ID. This can occur when a two-party trade is entered, or when the Exchange enters or modifies an order on behalf of a member. Unless a risk group is designated as the default group, these transactions will not be represented in the overall risk calculated by BISTECH PTRM. To assign the default user to a risk group, complete the following steps: 1. Select a risk group where you will add the default user risk and click the Users tab. 2. Click the Default Group check box. 48

50 3. Click the save button. 4. Click on the green arrow on the Pre Trade Limits Group Saver screen: 5. After you see the check sign that indicates saving is done, you may close the window. Note: This is a next day change. Saving the change sends it to the Exchange database and becomes effective when the system is started the next day. See next day change for more information about next day changes. Changing an Already Added Next Day Change If you add a next day change, and you need to modify that next day change before the next day, you must delete that change and then add a new one Changıng or Removıng a Monıtored User A risk group can be configured to monitor the connection status of a sponsoring participant s real-time feed session (FIX and/or OMnet). For example, this can be used to monitor the drop-copy feed connection status of a specific clearing member user. If the clearing member disconnects, traders in the risk group will be automatically blocked from entering transactions. If the Monitored User disconnects from the Exchange, any risk groups that monitor that users will: Cancel all open orders. Be blocked (unable to submit orders and quotes) until the Monitored User reconnects. Setting a Monitored User is optional. The monitored user must belong to the risk group's sponsoring participant. Note: The monitored user ID should NEVER be used to log into the BISTECH PTRM client application. Doing so will trigger monitoring groups to block. 49

51 To change a Monitored User, complete the following steps: BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu 1. From the BISTECH PTRM window, click the risk group for which you want to change a Monitored User, and then click the Users tab. 2. Click the Change button. Alternatively, click the Remove button to remove the selected user. 3. The user picker window appears. Click the user to be monitored, and then click the Select User button. 50

52 4. Click the save button in the user panel to save your changes. BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu 5. Click on the green arrow on the Pre Trade Limits Group Saver screen: 6. After you see the check sign that indicates saving is done, you may close the window. Note: This is a next day change. Saving the change sends it to the Exchange database and becomes effective when the system is started the next day. See Next Day Changes for more information about next day changes. Changing an Already Added Next Day Change If you add a next day change, and you need to modify that next day change before the next day, you must delete that change and then add a new one. 11. MANAGING ALERTS OVERVIEW The BISTECH PTRM server monitors the activity of all risk groups at all times. If the calculated current risk of a risk group exceeds any of the notification levels, s are sent to all members of the notification list for that risk group. The notification levels are set as a percentage of the limit and can be set individually for each risk group. There are three types of alerts: 1) Breach: Alerts recipients that activity that has crossed the assigned limit. 2) Warning: Alerts recipients that the activity that has crossed a warning threshold and is approaching the assigned limit. 3) Notice: The activity has crossed the Notice threshold. Activity that has crossed any of the assigned thresholds displays as red, orange or yellow to visually indicate the risk level: Red: The activity has breached the assigned limit. Orange: The activity has crossed the Warning threshold. Yellow: The activity has crossed the Notice threshold. 51

53 Each limit defined for a risk group will only send one notice, warn, and breach alert per trading day. If a limit is altered during the trading day, this limitation will be reset, and the limit will again generate one alert for each notification level regardless of any that were sent previously. Only one Notice, Warning, and Breach will be per day per risk group. Users receiving the s should check the BISTECH PTRM application user interface for details. If any limit is changed intraday, the counters will be reset and new alerts will be generated. Note: The Order Rate limit only generates breach s. It does not create notice or warning alerts. Each time the Order Rate limit breaches it will send an alert Addıng New Emaıl Alert Recıpıents You can add new addresses to receive alert notifications for a risk group's activity. After you add the new alert recipient and click the save button, the address is immediately added to the notification list for the risk group. To add new alerts, complete the following steps: 1. From the BISTECH PTRM window, in the user panel, select the risk group for which you want to define new alerts, and then click the Alerts tab. 52

54 2. Click the Add New button. The Add window displays. BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu 3. Enter the new address. Click the OK button. 4. Click the save button in the user panel to save your changes. 5. Click on the green arrow on the Pre Trade Limits Group Saver screen: 6. After you see the check sign that indicates saving is done, you may close the window. 53

55 Editing new mail takes effect immediately. Note: This is an intraday change. This change takes effect immediately. See Intraday and Next Day Changes for more information about intraday changes Settıng Emaıl Alerts You can edit the address of any notification recipient at any time. After you edit the alert recipients and click the save button, they begin to receive alerts immediately. If you want to edit alarms for the recipients that were added to risk group at previous days, your changes will take effect in the next day. Note: In the example below, edits are done for the recipients that were added to risk groups at previous days. So changes will take effect in the next day. To edit alerts, complete the following steps: 1. Select a risk group in the user panel for which you want to define new alerts, and then click the Alerts tab. 54

56 2. Select or clear the following checkboxes to turn notifications on or off: Breach: Notify recipients when the risk group breaches a limit. Warning: Notify recipients when the risk group passes the warning threshold and is close to a breach. Notice: Notify recipients when the risk group passes the notice threshold. 3. Click the save button in the user panel to save your changes. 4. Click on the green arrow on the Pre Trade Limits Group Saver screen: 5. After you see the check sign that indicates saving is done, you may close the window. Note: This is an intraday change. This change takes effect immediately. See Intraday and Next Day Changes for more information about intraday changes. 55

57 11.3. Removıng Emaıl Alert Recıpıents BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu After you remove the recipient and click the save button, the removed address appears in the Next Day Changes panel. This change will apply the following trading day. To remove an address from the alert list, complete the following steps: 1. Select a risk group in the user panel andclick the Alerts tab. 2. Click the desired recipient and than click the Remove button. 56

58 3. A confirmation dialogue appears. Click the Yes button. The change will be shown in the next day changes screen 4. Click the save button in the user panel to save your changes. 5. Click on the green arrow on the Pre Trade Limits Group Saver screen: 6. After you see the check sign that indicates saving is done, you may close the window. Note: This is a next day change. Saving the change sends it to the Exchange database and becomes effective when the system is started the next day. See Next Day Changes for more information about next day changes. Changing an Already Added Next Day Change If you add a next day change, and you need to modify that next day change before the next day, you must delete that change and then add a new one. 57

59 12. MARGIN OVERVIEW Margın Menu The Margin menu opens two tabs relating to real-time margin. These two tabs are: Margin Tab: Review the current state of real-time margin consumed by the trading activity of market participants. The margin tab includes near real time information of "Available Collateral", "Margin Consumed", "Remaining Collateral" and Calculation Type at account level. Available Collateral is calculated by clearing system using post-trade margin model. Margin Consumption is calculated by pre trade margin model which is a simplified margin calculation method developed for BISTECH PTRM. Remaining Margin is the difference between the available collateral and the margin consumed. Calculation Type shows whether the account is omnibus (global) or not. Margin Tab Columns: Margin Coefficients Tab: Margin consumption can be tuned on a case by case basis. This tab will show coefficient adjusting Real Time Margin consumption. Margin Menu: 58

60 Margin Tab You can search for margin information by: 1. Click on the filtering icon in the margin screen 2. Filter the screen through the options: Participants: You can enter a participant in the Search Participant field to show all accounts under that participant. Accounts: You can enter an account in the Search Account field to show the account/s related to the participant. Available Collateral: You can enter a minimum and maximum value to filter the Real Time Margin, Margin Surplus. Margin Consumed: You can enter a minimum and maximum value to filter the Consumption. Remaining Collateral: You can enter a minimum and a maximum value to filter the Remaining Margin for an account. Calculation Type: You can search by calculation type: Omnibus: Select the Omnibus checkbox to search for accounts with an Omnibus calculation type. Non-Omnibus: Select the Non-Omnibus checkbox to search for accounts with a Non- Omnibus calculation type. Note: You can clear a search value by entering "**" into any of the search fields. Note: Enter a 0 or -1 into the Maximum Value field of the remaining margin to view all accounts that have breached the margin limit. Breached accounts will display in red. Right clicking on the filter panel shows the options to save your filters, to reload your filter file that you have already saved and to clear the filters: 59

61 Data Transfer 1. Please right click on a spot in the Margin Tab rows. 2. Export menu and Table Settings menu will appear. BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu Export Menu You ll see the options of the Export Menu as; Export Menu: - Settings: Settings for to export data/screenshot. - Open Containing Folder: Opens the folder that screenshots and data saved. - Screenshot: It takes the screenshot with the selected image format to the export path - CSV: It saves the data with csv format to the export path. 60

62 Table Settings Menu If you tick table settings, the margin columns will be dynamically updated through your collateral filters. If you uncheck this filter, there will be no update. Viewing Trading Accounts The Participants/ Account column can be expanded down to the Margin Calculation Account level. By using the right-click menu, you can also view the information down to the Trading Account level Margin Coefficients Tab Click on Margin Coefficient in Margin Menu : Margin Coefficient Tab: 61

63 Columns displayed in margin coefficient tab: Participants/Accounts: Member code and member accounts. Consumption Coefficient: Parameter that weights the Margin Consumed value. Open Order Coefficient: Parameter that weights unit margin value for open orders. Unit Margin Coefficient: Parameter that weights unit margin value. Filtering 1. Click on the filtering icon in the margin screen 2. Filter the screen through the options: Participants: You can enter a participant in the Search Participant field to show all accounts under that participant. Accounts: You can enter an account in the Search Account field to show the account/s related to the participant. Data Transfer Data transfer function works as the same as it works in Margin Tab. Please see for details. 62

64 13. SUSPENDED ACCOUNTS OVERVIEW Suspensıon Menu Suspension Menu: BISTECH PTRM/İşlem Öncesi Risk Yönetimi Uygulaması Kullanıcı Kılavuzu Suspended Accounts Tab Suspended Accounts may be seen through this tab. Click on Suspension on Suspension Menu: You ll see Suspended Accounts tab as seen below: Columns displayed in Suspended Accounts tab are: Account/Suspension Source: Suspended account/s and source/s of suspension. Participant: Member code Account: Suspended account. Suspension level:: Suspended account level. (Participant, Margin Requirement Acc, Margin Calculation Acc., Trading Acc. ) State: The states are Block All Orders and Block Position Increasing Order 63

65 - Block All Orders: Blocks all orders for the account. - Block Position Increasing Orders: Blocks only position increasing orders for the account. Open Order Status: Indicates if the suspended account s open orders are cancelled or not. If this column is null it means open orders of the suspended account are not cancelled, if it states Cancel Open Orders it means they are cancelled. Time: Suspension Time Suspension Reason: Reason stated for suspension Filtering You can filter suspended accounts. Click on the filter icon: You can filter the screen through the options as seen below: Data Transfer 1. Right click on a spot in the Suspended Accounts Tab rows, Export Menu will appear. You will also see the options of the menu Options of the menu are: - Settings: Settings for to export data/screenshot. - Open Containing Folder: Opens the folder that screenshots and data saved. - Screenshot: It takes the screenshot with the selected image format to the export path - CSV: It saves the data with csv format to the export path. Export menu function works as the same as it works in Margin Tab. Please see for details. 64

66 Suspension Logs Tab Click on Suspension Logs in Suspension Menu: Suspension Log History: You will be able to see the log history of the suspended account in details by clicking on it: Suspension Log History Details: 65

67 Data Transfer Pls right click on a spot in the Suspension Log History Tab rows, Export Menu will appear. You will also see the options of the menu Options of the menu are: - Settings: Settings for to export data/screenshot. - Open Containing Folder: Opens the folder that screenshots and data saved. - Screenshot: It takes the screenshot with the selected image format to the export path. Export menu function works as the same as it works in Margin Tab. Please see for details. Version List: Revision Date Explanation March version date June version date 66