В журнале "FIXGlobal" (Vol.2, Issue 1, Q1 2007 (March)) опубликована статья об электронных торговых системах в России и тенденциях их эволюции. В статье дается характеристика Торговой системы DELTA.
Ниже приводится текст статьи на английском языке.
FIXGlobal, Vol.2, Issue 1, Q1 2007 (March), pages 40-42
Electronic trading and ECNs in Russia: problems and perspectives
Last year showed a strong global growth of share of investors having direct access to the markets they are interested in and trading electronically, including those who use algorithmic trading.Russia is no exception, since “The 1998 Crisis” the Russian capitalmarkets have been the most dynamic in the world (and most volatile simultaneously).
By Peter Mikhalenko, Business Analyst, IntegraSolv
In 2006, the Russian market rose more than 70%. Market access possibilities for the wide range of investors became more standard because of appearance of a large number of intermediaries and spreading of FIX protocol usage.
Currently, Direct Market Access of western institutional clients to Russian markets (RTS and MICEX mostly – the main country exchanges) is limited due to a number of reasons. Foremost, is the lack of reliable partners who own modern access technologies. However, this situation is changing quickly.
Foundations employing electronic trading in Russia were established in 1994-1995, when the first public access electronic trading systems at exchanges like MCFB (Moscow Central Stock Exchange) appeared. Any private investor could lease a workstation at a broker’s trading floor for trading futures contracts. There was no Internet trading at that time. In 1997, MICEX started operations at its foreign exchange electronic system SELT (System of Electronic Lot Trading), creating a turnover of more than $300 million per day. SELT was a real exchange with settlement guarantees, and it survived even in the crisis. But, “The 1998 Crisis” put an end to the functioning of most exchanges. After the crisis MICEX exchange became the main centre of electronic trading, allowing brokers to connect their own Order Management Systems to the MICEX electronic gateway, and to send orders to the exchange electronically. It was 1999 when Internet trading really took off in Russia, as well as rehabilitation of short-term speculators positions. In 2000, MICEX began to expand its communication network for brokers exchangeaccess through technologically unified broker gateways.Clients can also have access to MICEX through one of a number of certified broker platforms; most well-knownare GL Trade, QUIK, and NetInvestor. Nowadays,MICEX is the main electronic trading system, allowingtrading to authorized dealers, with T+0 settlement in Russian roubles, and it typically takes a few days to transfer securities into the NDC (National Depository Center).
Another main exchange, RTS, introduced an electronictrading system in November 2005, in the “Classic” section, with T+4 settlement in USD, based on a classicalorder-driven model, and using anonymous trading. Currently, Classic Anonymous Market of RTS contains only 8 stocks (the most liquid blue chips) and features Delivery Versus Payment settlement. In 2006, RTS introduced electronic access to FORTS – Futures and Options section of RTS exchange. It is an order-driven market with settlement and asset delivery at maturity of the contract. Currently, rouble-denominated options and futures are traded on most liquid stocks, some bonds, gold and oil, RTS index, MosIBOR futures (Moscow analogue of LIBOR). Furthermore, in 2007 there is the planned issuance of weather futures and some interest rate and commodities derivatives. RTS uses DCC (Depository Clearing Company) as the depository center.
Currently there is no single centralized depository in Russia, however, there is still no consensus within the governmental financial authorities about how many there should be. The main shareholder of NDC is MICEX, the main shareholder of DCC is RTS, and these two structures do not wish to merge. In the meantime market participants (brokers) wish to see a single central depository, as this is simpler, and inter-exchange arbitrage becomes much more profitable.
The brokerage business in Russia is growing rapidly and markets attract more and more participants, including Russian investment banks and brokers, foreign investmentbanks, and private investors. An IPO boom began in 2006 and continues to forge ahead, as local companies(large banks, energy companies, and others) plan to raise more than $50 billion in 2007. The turnover of the stock markets is continually increasing, with the listed derivatives market also growing, despite its infantile state in comparison with the western market. In 2006, peak daily turnover at FORTS exceeded $1 billion. Many foreign investment banks have already bought, or plan to buy in the near future, stakes in Russian investment firms, in order to ease access to local financial markets and to use already available infrastructure of the partners. Examples are the acquisitions of United Financial Group by Deutsche Bank and Brunswick by UBS.
As a consequence, changes to elecronic trading systems are also ongoing. The main efforts on their development influenced by the dynamics of the market are focused on:
• keeping trade execution performance at a high level against a background of a growing number of transactions and clients, and quick evolution of algorithmic trading;
• automation of not only exchange operations, but OTC operations as well;
• having a number of reporting services for accounting, taxation, etc. built into trading systems;
• risk management and positioning of client’s holdings.
There are two directions of electronic connectivity development. First, providing an access for foreigninstitutional clients to the Russian market. Second, providing an access for local investors to western markets. Generally the latter direction is already functioning well, as some major brokers and those brokers who specialize in such services, are providing an access to most major Europeanand American exchanges (LSE, NYSE, Xetra, NASDAQ, etc.). Some of them are also providing a transparent access to all American ECNs, delivering clients’ orders from their OMS directly to ECN via FIX gateways. Most well-known providers of access to western ECNs are FIBO, Interstock, Level II, OFIN Trade, Net Invest Securities, and some others. FIX protocol usage in Russia was initiated in 2001 by Renaissance Capital Investment Bank, when it provided the first FIX gateway to western exchanges, and in 2004 it established fully functional FIX connectivity in Russia through SolutionForge FIX.Net technology. The number of FIX connection providers is constantly growing.
The first direction is still in its initial stages of development, however, some aspects are worth mentioning. MICEX has a FIX gateway able to feed orders into the order book. Also, some brokers are working on providing electronic access to Russian markets, creating their own in-house solutions of electronic gateways.
Unfortunately, there are no ECNs in Russia for trading equities yet. All stock trades are done either on exchanges or on OTC, in the latter case the deal is done directly EMEA between counterparties, generally requiring confirmation of the deal by physical signature sent via fax. There is growing business interest in this field, as everything points to the demand for such ECNs becoming stronger and stronger along with market growth. In fact many brokers attempted to implement their own ATS, providing a clientwith the ability to send an order into their OTC venue instead of an exchange, in the hope of a better spread or faster and cheaper execution. Some brokers accept orders at night so they can be executed either inside the ATS, or at the exchange when it opens. However, such exchange places begin working only with a certain level of liquidity and order volume, which are still lacking. Russia is only just beginning to tap the opportunities ahead.In the FX field, however, the situation is not that bad. As long as the FX market is generally decentralized, most deals are done OTC via ECNs. The primary ECNs are based on world leading providers’ infrastructure – Reuters, Bloomberg, EBS. Most banks are trading there, however, there is a certain need for a variety of choice and,more importantly, lower cost. There were attempts, however, to implement a domestic ECN in order to fulfill the gap. Moscow International Currency Association (MICA) introduced ECN “Delta” which is generally seen as a leading Russian interbank, overnight loans trading venue, but FX, swaps and futures orders can also be sent and matched there. There are two separate platforms available under the Delta brand: Delta MM and Delta FX. The former is a Money Market platform and is intended for interbank overnight loans trading. The latter is an electronic foreign exchange platform. Delta is now used by member banks of MICA (78 members currently, including all major Russian and some foreign banks) and non-members, allowing them to make direct trades, within the scope of limits that banks provide to counterparties. FX trading capabilities of Delta are not very interesting for FX market participants because of the small liquidity, and larger spreads than available in Reuters. Delta FX supports most instruments required in the Russian FX market: USD/RUR, EUR/RUR, and EUR/USD at spot terms, or with delivery today or tomorrow (TOD, TOM). The main problem in providing liquidity is a lack of market makers. There is only one market maker in Delta FX currently (a medium sized Russian bank). According to MICA vice-president Alexander Kiryanov, leading banks still do not believe in OTC electronic trading. Historically FX and money market participants are still more comfortable with voice brokers than with electronictrading. There are only three voice brokers availablein the money market and foreign exchange marketcurrently available: ADIKS, NFBK, and PRBT. In fact, the Russian FX market seems to be very promising.Currently English financial company ODL Securitiesis going to become a market maker in Delta FX as well. The market definitely requires more solutions and opportunities, and I forecast an expanding number of platforms and networks in the next 2-3 years.
Delta MM is a very interesting electronic system because of its uniqueness. This is a fully-featured electronic broker on interbank loan offerings market. The system is currently being used by 160 banks during the day, with a total turnover of about 5-7 billion roubles ($190-$265 million) per day. The main traded instrument is overnight rouble loan, while US dollar overnight and weekly rouble offerings are also available.
