Overview
User Stories
Let’s divide the product in three modules
We’ve two major personas using the platform
Admin (all internal teams) Note: Below user stories are put considering only spot transactions
Pre-Trade
Trade Inquiry
Client is able to
inquire about the quotes on telegram, web interface etc. [optional] run pre-trade risk assessments: volatility, price slippage etc. see the expired quote in case market conditions change quickly provide feedback in case quote seems too high Admin is able to
fetch quotes from MM for instant fills (time window, volatility risks included) with symbol, size, side, time window etc. share the quote with the client (preferably automatic) able to set dynamic spreads basis volatility able to see deviation from major exchanges in terms of price impact - it can be a function of liquidity across major exchanges define pre-trade risks: max trade size per client, high-volatile duration, max price slippage receive alert on client liveness as soon as client is live on interface - to suggest alternate execution method kill the quotes presented to the client in case market conditions change too quickly Inner Workings
Client chooses between Instant Fill and Advanced Execution (TWAP, VWAP, Iceberg Orders) Client needs quote for the trade (instant fill) Client tells Asset, Order Size, Side, Instant Fill (Yes or No) Basis this, Admin requests for quote from Quant Desk using QD’s APIs after entering all the required values with quote ID | REST API QD acknowledges the quote | REST API response Quant desk shares the quote with expiry time with quote ID as above | WebSocket Message to CoinDCX Quote gets shared with the client with quote ID automatically over telegram (TG Bot) or web interface | CoinDCX stores the quote response in the Database and shares the quote with Client on Websocket Client accepts/rejects the quote [additionally can provide feedback - too high, too less expiry time etc.] | Client hits the API with Quote ID Market Data: We can continue to stream combined order book data - (sum of) quantity and prices - QD can stream this data KYC [We’ll do Offline]
Admin is able to
Mark Client as verified | Access control on all Pre-Trade, Trade, Post-Trade APIs until KYC is true In-Trade
Pricing
Admin is able to
fetch quotes from MM for instant fills (time window, volatility risks included) with symbol, size, side, time window etc. add spread (margin risk) to it share the quote with the client (preferably automatic) Client is able to
receive quote on web interface, telegram etc. express the interest on the pricing Inner Workings
Risks include: Settlement Risk, Slippage Risk (time window) For the sake of simplicity: We don’t model settlement risk at the beginning and carry slippage risk Slippage risk is covered by QD in the quote - hence we don’t add spread to the quotes Before sending the quote with client | CoinDCX adds the spread % on top of quote in WS API response to the client Trade Execution
Admin is able to
run advanced execution for the client place TWAP order with symbol, size, side, duration, aggression etc. place VWAP order with symbol, size, side, duration, aggression etc. place Iceberg order with symbol, total size, visible portion size etc. define maximum slippage impact, limit price and other additional parameters in the order entry Inner Workings
client/admin requests any of TWAP, VWAP, POV execution algorithms client quotes below parameters | REST API with request params percentage participation - % maximum slippage impact - if any CD stores the request params with order Id and hit the QD’s REST API for advanced execution with order Id Order and Trades Updates
Admin is able to
monitor the progress of the orders on the dashboard: Fill Percentage, progress, status etc. kill/pause the order with remarks Client is able to
monitor the progress of the orders on the web interface: Fill Percentage, progress, status etc. kill/pause the order with remarks receive notifications on web interface, chat and email regarding order-trade updates view failed order (in case it happens)and notify admin Inner Workings
CD receives the Order ID trade fills over Websocket Response from QD trade# e.g. 1/n, 2/n .. 12/12 CD saves all the trade fills in the database CD sends the trade fills for Order ID with trades IDs to client over Websocket Response WS comms can be received either on web interface or telegram Post-Trade
Orders and Trades History
Admin is able to
track all quotes, orders, trades history within admin interface for each client track price deviation between quotes and trades for each quote id for the client export in CSV, JSON formats Client is able to
track all quotes, orders, trades history with the web interface export in CSV, JSON formats Inner Workings
CD provides all the quotes, orders, trades over REST API to client/admin percentageParticipation - % maximum slippage impact - if any trade# e.g. 1/n, 2/n .. 12/12 CD provides REST API for client/admin to view the trades against every executed order CD provides API to export the data from database in S3 bucket and provides link to download the historical data Transaction Costs Analysis
Admin is able to
track TCA reports for the orders track TWAP and VWAP execution quality: Execution Price vs Benchmark Price. E.g. For 5% volumes of VWAP for 1 hour duration. The price should be equal or better than benchmark VWAP price. track Quote price vs Executed Price and Savings % track orders split on various exchanges with executed prices and trades track spread (revenue) earned vs price improvement for each of the quotes provided to the client track costs of each orders: executed prices, fees paid etc. Client is able to
track execution quality of order with price improvement from benchmark price Inner Workings
CD provides API to client/admin to track the execution price and benchmark price benchmarkPrice (TWAP, VWAP) How to calculate benchmark price
POV’s benchmark price should mirror VWAP price as per the execution. Idea is to blend the volumes in the market volumes. Settlements
Admin is able to
track balances across all assets track all the incoming and outgoing settlements with timestamps and statuses initiate a required amount of deposit initiate a settled asset (stable in case of sell, asset in case of buy) show flagged CD and CW transactions settle unclaimed asset in off-exchange, if client fails to collect the asset Client is able to
track balances across all assets track settlements with statuses: initiated, pending, completed, or failed track due settlements with time left (usually T+1) receive notifications for settlement reminders and statuses initiate settlement to deposit required amount of asset open ongoing settlement and withdraw assigned asset whitelist wallets to receive and deposit the assets track flagged transactions from AML Inner Workings
CD provides REST API to clients to fetch current NET balances across assets - balance in negative means due for settlement NET Balance = Client Deposits (total) - Client Withdrawals (total) - Margin Facilitated + Unsettled Assets CD provides ledger transactions for different assets including all the pre-funded, trade on margin balances TxnId, timestamp, Asset, Qty, type (deposit, withdrawal), status, txnHash TxnId, timestamp, Asset, Qty, status CD provides REST API to fetch settlement amount and due date-time CD provides REST API to show the deposit address basis params like asset and network CD provides confirmation REST API to submit the deposit request - params - asset, network, quantity and txnHash CD provides REST API to whitelist wallet addresses for each network CD provides REST API to withdrawal for client - asset, quantity, network, destination address (whitelisted) and returns response with txnId, timestamp, txnHash, asset, quantity, network, destination address (whitelisted) etc. the withdrawal should block unsettled assets [locked] CD sends push notification to client’s email, telegram, chrome for every successful deposit and withdrawal Other important modules
Access Control
As super admin, I should be able to create and assign roles (e.g. compliance, risk, trading operations etc.) so that each admin user gets access only to functions relevant to their responsibilities. Inner Workings
CD provides REST API to client to provide access to key functions for each specific role and assign it to person CD provides REST API to admin to provide access to key functions for each specific role and assign to person System Health Metrics
As an admin (trading operations), I should be able to see real-time dashboard displaying system health metrics e.g. Uptime, Exchange downtime, API latency, error rates etc. As an admin, I should be able to receive notifications in case of deviation from usual norms Inner Workings
CD provides REST API to fetch below response Order API error rate: number of failed order API requests/total order API requests Quote API error rate: number of failed quote API requests/total quote API requests API latency : Median latency of Order API (QD) response Request parameters: Time window (starttime, endtime) Business Metrics
As super admin, I should be able to track real-time business metrics (revenue, costs, slippage data etc.) As an admin, I should be able to receive notifications on periodic business reports (similar to superset pro-futures reports) Inner Workings
CD provides REST API to fetch: Request Params (starttime, endtime) total qty traded in USDT (volume) total qty traded over telegram, web interface, API in USDT total qty by strategy type CD provides trend API for duration array of [qty traded in USDT (volume)] array of [revenue in USDT] array of [revenue by strategy type] Fund Operations
As an admin, I should be able to track margin balances and transfer funds in real-time to ensure sufficient margin for trade execution As an admin, I should be able to receive notifications in case we fall short of margin below certain threshold Inner Workings
CD provides REST API to fetch balances across multiple exchanges (nodal accounts) CD maintains 80% of daily trading balances [How does QD transfer balances across exchanges] Seed amount: $5mn USDT (maybe) Assets for shorting: Not sure how we handle this - do we facilitate the margin here over client pre-funds CD sends push notifications in slack for balance limit <80% of average of last 7d daily rolling margin requirements Client Trading Limits
As an admin, I should be able to set and adjust trading limits (trade margin, margin to be extended) for each client based on their risk profile to manage exposure As an admin, I should be able to update and manage margin limits of each client As an admin, I should be able to monitor the exposure in terms of assets due for settlement
OTC Product Requirements
