Knight Direct FX User Guide

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Knight Direct FX

User Guide

Release 3.8

June 4, 2010

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Overview of FX Trading Platform

This document provides an overview of the Knight Direct FX Trading Platform. The FX screens are designed to provide information and visual cues to enable users to react quickly to changes in the market.

Ticket Display

The Ticket Display is the primary trading screen for the FX Trading Platform. This view displays each currency pair’s full depth-of-book that is, all bids, asks (offers) and available quantities.

FX Order Ticket

A user can enter bids and offers or execute trades instantaneously via the FX Order Ticket screen.

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Currency Pair Symbol

The Currency Pair Symbol textbox allows a user to specify which currency pairs are visible. A user may change the currency pair name by using the Down arrow and selecting another value or by entering a valid currency pair name.

Top of Book Price

The Top of Book Price button will execute an aggressive order at the price displayed and the quantity specified in the Order Quantity field.

Top of Book Quantity

The Top of Book Quantity button will execute an aggressive order with the displayed quantity and the price displayed on the Top of Book Price button.

Sweep Price

The Sweep Price button will execute aggressive trade(s) at the displayed price. The Sweep Price functions with the Order Quantity field; updates to the Order Quantity value will change the sweep price value. The Sweep Price is a weighted average price which may represent a single order or multiple orders; the value is accurate to the nearest 100th of a pip.

The Sweep Price option will seek to execute all orders at or better than the weighted average price displayed. This means the actual total amount sent for execution in its first iteration will often be lower than the original order amount.

After the results of this first wave of orders (filled, partially filled or no fill), it recalculates a new marginal weighted average price required for the next wave of orders so that the original guaranteed price is respected. The process will continue to launch orders until all iterations are completed.

When the Chase Factor option is enabled the option will attempt to execute trades at a price slightly worse than the original price submitted; then attempt to execute additional trades at the weighted average price.

Chase Factor

The Chase Factor allows a user to set a default number of pips that the Sweep Price button may deviate from the weighted average price to fill the entire order quantity.

Programmable Quick Order Quantity buttons

The Programmable Quick Order Quantity buttons will execute an aggressive order at the opposite Top of Book Price with the quantity specified.

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Price Ladder

The Price Ladder option provides an easy way to submit a passive or aggressive order at a specific price. Press the Buy/Sell Currency button to populate the Price Ladder Bar.

a. Press the Up/Down arrow to scroll prices up or down. b. Passive Prices appear in black.

c. The current focus price will be highlighted with a

Yellow Box. Pressing the Yellow Box will result in the release of an order at this price and with the quantity specified in the Order Quantity field.

d. Orders inside the spread will appear in yellow. e. Aggressive Prices will appear in red.

Detailed Order Ticket

The Detailed Order Ticket button populates an FX Popup Ticket. This ticket will provide

additional functionality to facilitate advanced order types. Once the FX Popup Ticket appears a user is allowed to update each field.

a.

Side

Press the Side field’s Down arrow to change the order’s side from Buy to Sell or Sell to Buy.

b.

Quantity

Press the Up/Down arrows to increase or decrease the Quantity. To enter amounts in millions include mm (Exp: 1.5=1.50 and 1.5mm=1,500,000.00).

c.

Currency

Press the Currency button to change the base currency to secondary currency. When the secondary currency name is selected trade amount will be in Counter currency not Deal currency (exp: Buy 5.0mm JPY / Sell 55,247.40 USD).

d.

Destination

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e.

Order Type

Press the Down arrow to change the Order Type. The Order Types available are as follows:

Order Type Description

Limit (LMT)

The LMT order type will either submit a passive order to the FX market or submit an aggressive order executing trade(s) against open order(s).

Tradeview (TRD_VIEW)

The TRD_VIEW order type will submit an aggressive order to execute trade(s) against open order(s). For more details refer to FX Display section.

One Cancels Other (OCO)

The OCO order type contains two legs, (1) leg is an SL order and (1) leg is a TP order. An OCO order will execute a trade with either the SL leg or the TP leg. Once one leg of the order is filled the other leg is automatically cancelled.

Take Profit (TP) The TP order type submits a passive order to the FX market.

Stop Loss (SL)

The SL order type submits a pending order to the FX market. When the SL order’s trigger price is reached the SL order will execute trades as a MKT order.

Market (MKT)

The MKT order type executes aggressive trade(s) against the best bids / asks on the FX market. When a MKT order’s amount is greater than the best bid / ask price, the MKT order will trade with the next

best bid / ask price until the order is completely filled or there is no liquidity available.

Peg Same Side (PEG/SAME)

The PEG/SAME order type submits a bid / ask order to the FX market. The PEG/SAME order automatically reprices itself as the FX market moves.

Peg Opposite Side (PEG/OPP)

The PEG/OPP executes aggressive trade(s) against the best bid / ask price on the FX market unless a Peg value is included with the submitted order.

f.

Chase Factor

The Chase Factor field functions with the TRD_VIEW order type. The Chase Factor allows a user to set a default number of pips that the TRD_VIEW may deviate from the weighted average price to fill the entire order quantity.

g.

Limit Price

Press the Up/Down arrows or enter a Limit Price. This field functions with most order types. When the order type is PEG/SAME or PEG/OPP, the Limit Price field allows a user to choose a stop pegging price. If this field is blank, the pegged order will remain on the FX market until a trade occurs, the order is cancelled or the application loses connection with the FX platform.

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h.

Display Qty

Press the Up/Down arrows or enter a specific Display Qty. The Display Qty is the amount that appears on the FX market.

i.

Stop Price

Press the Up/Down arrows or enter a specific Stop Price. The Stop Price field functions with the OCO and SL order types.

j.

Peg

Press the Up/Down arrows or enter a specific Peg. This field enables a user to set the peg order price less than or greater than the best bid / ask price. The Peg field functions with PEG/SAME and PEG/OPP order types.

k.

TIF

Press the Down arrow to change the TIF. The Order Type and Time in Force combinations are as follows:.

Order Type Time In Force Options Field Name

LMT Day or Immediate or Cancel DAY or IOC

TRD_VIEW Day DAY

OCO Good Til Cancelled GTC

TP Good Til Cancelled GTC

SL Good Til Cancelled GTC

MKT Immediate or Cancel IOC

PEG/SAME Day DAY

PEG/OPP Day DAY

Base Currency

The Base Currency button will change the base currency name from the Deal currency to the Counter currency name. This option provides flexibility for our users to select either name to complete transactions.

Order Quantity

Press the UP/Down arrow or entering a specific Order Quantity. This field indicates the amount to be traded when not superseded by one of the other quantity facilities described.

Summary Display

The Summary Display provides the total volume of Bid / Ask orders on the FX market. The

Top of Book Price and Top of Book Quantity values are highlighted in yellow. The

Top of Book Quantity value is rounds down to the nearest million.

Market Depth

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FX Display

Tradeview is a different way to view market depth. Tradeview enables a user to see the weighted average prices for specified quantities as opposed to amounts that are available at given prices on the Ticket Display.

Tradeview also provides a special execution algorithm and related functionality that ensures your order is filled at the displayed price or better, effectively allowing a user to manage and all but eliminate slippage when sending “at best” orders for large amounts.

The main feature of Tradeview is its trade entry view, which displays weighted average prices, accurate to the nearest 100th of a pip. The Tradeview screen displays a series of amounts and the weighted average price for each of the amounts. Amounts are color-coded for instant cognition: lighter blue indicating smaller amounts and progressively darker blue indicating progressively larger ones.

Users may launch a purchase/sale of an amount by clicking, single-clicking or double-clicking (if selected) in the cell showing the weighted average price for that amount. This will trigger the execution algorithm described below, which ensures the final execution price will not be worse than the price clicked on. However, the order may or may not be completely filled.

FX ECN Order Ticket

The FX ECN Popup Ticket will appear when the Weighted Avg Price, Bid, Sell, Buy or Offer button is pressed. This window will not appear when Single/Double Click Dealing is turned on.

The FX ECN Popup Ticket provides the same fields described on the FX Popup Ticket section. This window is designed to automatically populate Side, Quantity, Currency, Destination, Order Type and TIF fields. If a field is modified there may be an impact to other field values. For example, when the Order Type field is modified the corresponding fields are also modified requiring a user to update fields with no data.

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Tradeview Algorithm

Tradeview will seek to execute all orders at or better than the weighted average price displayed. This means the actual total amount sent for execution in its first iteration will often be lower than the original order amount.

When Tradeview gets the results of this first wave of orders (filled, partially filled or no fill), it recalculates a new marginal weighted average price required for the next wave of orders so that the original guaranteed price is respected. Tradeview will continue to launch orders until all iterations are completed.

When the Chase Factor option is enabled the option will attempt to execute trades at a price slightly worse than the original price submitted; then attempt to execute additional trades at the weighted average price.

Order Blotter

The Order Blotter window is the main view for all order activity. The Order Blotter view is color-coded to distinguish between buy and sell activity. This window allows a user to view order activity updates as they occur, modify open orders, remove open orders and view an order’s history.

The Order Blotter allows a user to resize and/or reorder the following columns.

Columns Description

Create Time The order submission time.

Status Order updates which may include order sent, acked, partial, cancelled, filled, average trade acked and average trade filled.

Status (Execution)

Order execution updates which may include open, partially open, executed, partially closed, closed, partial averaged and average trade filled.

Side (ccy) The base currency side (Buy or Sell).

Qty

The amount of base currency.

Currency The base currency name. Vs. CCY The secondary currency name.

Type The order type.

TIF

The order time in force.

Exec Qty (ccy) The base currency executed amount. Unexec (ccy) The base currency unexecuted amount.

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Lmt The submitted limit price.

Stp The submitted stop price.

Peg The submitted pegged order +/- pip.

Avg Price The order’s average price which includes all partial fills. Exec Qty (vs. ccy) The secondary currency executed amount.

SysMsg The system messages; errors will appear within this field. Display Qty The FX market amount.

Filters

Filter options are controlled by the Order Blotter window’s Toolbar. Order activity may be filtered to view all currency pairs, a currency pair, open orders, closed orders or executed orders. The

The Filter options are as follows:

a. Symbol

The Symbol field allows a user to enter a specific currency pair to be view (exp: EUR/USD). Click in the textbox the <All> disappears allowing a user to enter a currency pair name. Press the Enter button, all other currency pair orders disappear. To remove the order filter press the funnel symbol next to the Symbol field.

a. Open

To view only Open orders uncheck the Closed and Executed checkboxes.

b. Closed

To view only Closed orders uncheck the Open and Executed checkboxes.

c. Executed

To view only Executed orders uncheck Open and Closed checkboxes.

New Replace Ticket

The Order Blotter window allows a user to replace an open order. To replace an open order, highlight the open order, from the Order Blotter window press the button. A

New Replace Ticket window appears.

The New Replace Ticket provides most fields described on the FX Popup Ticket section. The Order Type should not be modified, if a user attempts to change the Order Type a system error will occur. The Quantity and limit price may be modified by using the Up/Down arrows or by entering a new value.

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New Order Ticket

The Order Blotter window allows a user to submit a new order from an order on the Order Blotter window. From the Order Blotter window, double click on an order.

The Quantity field amount will vary based on the original order’s Status (Execution) field; the details are as follows:

Status (Execution) Quantity

Open Quantity is equal to original order’s amount.

Partial Quantity is the original order’s Unexec Qty field’s amount.

Executed Quantity is 0.

Closed Quantity is the original order’s Unexec Qty field’s amount.

Cancel

The Order Blotter window allows a client to cancel orders by using the Cancel All or Cancel Selected buttons. To cancel all orders press the button.

A Cancel All Warning window appears, press the Yes button to finish the cancel process or the No button to return to the Order Blotter window.

To cancel individual orders highlight the orders to be canceled and press the button.

A Cancel Selected Order(s) Warning window appears, press the Yes button to finish the cancel process or the No button to return to the Order Blotter window.

Export/Print options

The Order Blotter window may be exported by using the button on the right corner below the title bar. The window may be printed by using the button on the right bottom corner. Use the horizontal scrollbar to view more orders and the vertical scrollbar to view more columns.

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Order History

The Order Blotter window allows a client to view an order’s history by using the History button. To retrieve an order’s history highlight an order and press the button. An Order History window appears with the order’s activity as it occurred. The Order History window displays the same fields as the Order Blotter window.

Export/Print options

Trade Blotter

The Trade Blotter is laid out similar to the Order Blotter. The Trade Blotter window displays all executed trade activity. This window includes the following columns: Exec Time, Side, Qty, Symbol, Type, Price, Account, DestRefNo, Trade Date, Settlement Date and User Name.

Filters

The Trade Blotter window allows a user to view filtered trade activity. The Filter options are controlled by the Trade Blotter window’s toolbar. The options are as follows:

a. Partially Filled

Press the Partially Filled checkbox to view only partially filled trades. The Partially Filled option refers to all trades linked to a single order.

The Partially Filled option will not include the last partially filled trade.

b. Filled

Press the Filled checkbox to view only filled trades. The Filled option refers to a single trade linked to a single order or the last partially filled trade.

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c. Averaged

Press the Averaged checkbox to view only averaged trades. The Averaged option refers to trades with AVG in the Type field.

Average

The Trade Blotter window provides a tool to select a group of trades to be calculated into a single trade with an average price. The Average options are as follows:

a. Average Selected FX

The Average Selected FX option allows a user to average selected trades. To perform this type of average, highlight a single trade or multiple trades from the same currency pair and the same buy/sell side, then press the button.

The Average Trade window appears; this window displays the follows columns:

Columns Description

CCY The currency pair name.

B/S The side which may be Buy or Sell. Amount1 The base currency amount.

Rate The price at which the deal was done.

Amount2 The equivalent amount of the secondary currency. Settlement The settlement date.

Ref No. The reference number (transaction number) for the trade. Time The trade’s time and date.

The Average Trade window separates each average by currency pair name and buy / sell side. Each average section has a button, Total Buy/Sell, Amount1, Rate and Amount2. The values in this row are the total amount1, average rate and total amount2 values associated to the trades below.

An average may be performed by pressing the button or by pressing the button at the bottom of the Average Trade window.

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b. Average All FX

The Average All FX option allows a user to average all trades at once. To average trades with this option press the button; all non-averaged trades will appear on Average Trade window.

The Average Trade window separates each average by currency pair name and buy / sell side. From the Average Trade window perform a single average by pressing the

button or average all trades at once by pressing the button.

Export/Print options

Position Blotter

The Positions Blotter allows a user to view ongoing positions. The Positions Blotter window displays the Symbol, Position, Avg Price (PnL Adj), Unrealized P&L, Realized P&L and Account. The Realized P&L also appears on the window’s footer.

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Credit Blotter

The Credit Blotter shows the Actual Exposure which is the current account profit or loss, the Maximum Exposure which is the full amount of account credit or collateral and the Available Exposure which is the remaining credit or collateral available. The Credit Blotter area is automatically updated as trades are executed.

Alerts

The Alerts window allows a user to hear sound and view popup messages when specific activity occurs. A user may access the Alert window by going to the speaker’s down arrow located on main window’s title bar. To display a message within the Message Log window press each option’s checkbox.

News

The News window provides real time Knight Direct News. This feature allows a user to view the news headline and the full news story.

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Ticker

The Ticker screen displays order transactions as they occur. The Ticker option will start populating order activity when the Ticket window is opened. This window is also per session which means when a user logs off the application all records are removed from the Ticker screen.

Exit Knight Direct

To exit the application, go to File > Exit Application or press the title bar’s X button.

The Exit window has the following options:

a. Exit

Press the Exit button to logoff the application. The Exit button will terminate the session without saving settings or cancelling open orders.

b. Cancel and Exit

Press the Cancel and Exit button to logoff the application. The Cancel and Exit button will cancel all open orders.

c. Save settings on exit

Press the Save settings on exit check box to save application settings. The Save settings on exit checkbox will function with the Exit and Cancel and Exit buttons.

d. Return to Knight Direct

Press the Return to Knight Direct to cancel the logoff process. The Return to Knight Direct button will close the Exit window and return to the Knight Direct application.

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Frequently Asked Questions

1. What are FX Defaults?

FX Defaults are Persistent Fields. Persistent Fields are Currency Pair’s Destination/Type/TIF, Deal CCY, Quantity, Display Qty and Chase.

When Available Fields are added to the Chosen Fields list and updates are saved; the fields become persistent. An update to the New FX Order Ticket or FX Popup Ticket applies to all windows.

2. What are the limitations of Persistent Fields?

Persistent Fields supported on ECN/Tradeview window are Deal CCY and Chase. Updating the FX ECN Popup Ticket window does NOT update the ECN/Tradeview,

New FX Order Ticket or FX Popup Ticket windows.

3. What happens when a Persistent Field is disabled?

When the Persistent Field name is moved from the Chosen Fields list to the Available Fields and the updates are saved; the field is no longer persistent. An update to the

New FX Order Ticket, FX Popup Ticket or FX ECN Popup Ticket ONLY applies on the current window.

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4. How does a user change the Currency Pair name on the New FX Order Ticket window?

The Currency Pair name may be changed by clicking on the Symbol field and entering a valid Currency Pair name (example: EUR/USD). The Symbol field remembers the

last 10 entries which allow a user to press the Down Arrow to retrieve a Currency Pair name. Be aware if an invalid Currency Pair name is entered (example: AUY/CAD) the

New FX Order Ticket window will be empty.

When an empty window appears, enter a valid Currency Pair name; the valid symbol populates market prices.

5. How does a user enable/disable Order Confirmation?

Order Confirmation option is enabled for new clients. The Are you sure window appears when the New FX Order Ticket (Top of Book price, Top of Book Quantity or

Programmable Quick Order Qty) buttons are pressed; this window also functions with the FX 1 (Bid, Offer, Buy, Sell and Default Qty Size) buttons .

The Order Confirmation window can be disabled by pressing the Don’t Ask me again (Order Confirmation) checkbox; this option can also be disabled/enabled from

File > Show Configuration > My Setup > Order Confirmation checkbox.

6. If Order Confirmation option is disabled, does the user get an Are you sure window when the New FX Order Ticket (Top of Book price, Top of Book Quantity or

Programmable Quick Order Qty) button is pressed?

No. If the Order Confirmation option is unchecked an aggressive trade may occur when the New FX Order Ticket (Top of Book price, Top of Book Quantity or Programmable Quick Order Qty) button is pressed.

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7. What fields can be modified on the Replace Ticket window?

Only the Quantity, Limit Price and Stop Price may be modified on the Replace Ticket window. The Order Type may not be changed.

8. What Order Type cannot be modified?

The Peg/Same and Peg/Opp order types cannot be modified.

9. Does the KD GUI have a Lock Screen option?

No. The KD GUI doesn’t have a Lock Screen option.

10. Is Bid/Offer Balance option available?

No, Bid/Offer Balance option is not available for Level I Market Data

(Top of Book Price/Quantity, Sweep Price and Programmable Quick Order Qty) buttons.

11. What is the Minimum Match Size option?

The Minimum Match Size provides a user with the ability to set up a minimum match size preventing any amount below the preset size to match with your bid or offer. The maximum value for this option is 0.5mm.

When a partially filled order results in a final amount below the preset size, the rule will be disabled so that the order can be fully filled.

12. What is the Warning option?

The Warning Size option provides a user with the ability to set a warning quantity

preventing order submission of an amount equal or greater than the preset size. Instead a Warning Message appears to confirm the order should be submitted.

13. Is the Buy/Sell Price Follows Market (Prior to Sending) option available?

Yes, right click on the FX Popup Ticket window Show Configuration > General > Miscellaneous > Order Submission Mode (Aggressive, Passive and Neutral). The Aggressive option will only function with LMT, TRD_VIEW and TP order types. The Passive Only option will only function with LMT and TP order types. The Neutral option will disable Aggressive and Passive prices.

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14. Does the Order Submission Mode (Aggressive or Passive) function with Limit Price?

Knight Direct FX User Guide

Knight Direct FX

User Guide

Release 3.8

June 4, 2010

Table of Contents

Overview of FX Trading Platform

Ticket Display

FX Order Ticket

Currency Pair Symbol

Top of Book Price

Top of Book Quantity

Sweep Price

Chase Factor

Programmable Quick Order Quantity buttons

Price Ladder

Detailed Order Ticket

a.

b.

c.

d.

e.

f.

g.

h.

i.

j.

k.

Base Currency

Order Quantity

Summary Display

Market Depth

FX Display

FX ECN Order Ticket

Tradeview Algorithm

Order Blotter

Qty

TIF

Filters

New Replace Ticket

New Order Ticket

Cancel

Export/Print options

Order History

Export/Print options

Trade Blotter

Filters

Average

Export/Print options

Position Blotter

Credit Blotter

Alerts

News

Ticker

Exit Knight Direct

Frequently Asked Questions