Application Roadmap for an Electronic Trading System


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Application Roadmap for an Electronic Trading System

  1. 1. Application Roadmap for an Electronic Trading System Punit Sahni [email_address]
  2. 2. Contents <ul><li>Introduction </li></ul><ul><li>Functional Architecture </li></ul><ul><ul><li>Business Functions </li></ul></ul><ul><ul><li>Business Processes </li></ul></ul><ul><li>Data Architecture </li></ul><ul><ul><li>Reference Data </li></ul></ul><ul><ul><li>Data Standards </li></ul></ul><ul><li>Application Architecture </li></ul><ul><ul><li>Application Components </li></ul></ul><ul><ul><li>Application Environment </li></ul></ul><ul><li>Technology Architecture </li></ul><ul><ul><li>Execution Environment </li></ul></ul><ul><ul><li>Operations Environment </li></ul></ul><ul><ul><li>Development Environment </li></ul></ul>Identify Sections of the Application Roadmap
  3. 3. 1. Introduction Application Roadmap <ul><li>Capture Background Information on the Application </li></ul>
  4. 4. 1. Introduction Application Identification This application provides <front>, <middle>, <back> office trading capabilities for < products >. It provides < order capture >, < pricing >, < trading > and < booking > functionality for < these products >. Trading takes place on the < these exchanges > and < ECNs >. Capture Background Information on the Application
  5. 5. 2. Functional Architecture Application Roadmap <ul><li>Describe the business functions of this application, including: </li></ul><ul><ul><li>Business products processed </li></ul></ul><ul><ul><li>Business areas supported </li></ul></ul><ul><ul><li>Geographical scope of the functionality </li></ul></ul><ul><li>Also highlight : </li></ul><ul><ul><li>Key business processing flows </li></ul></ul><ul><ul><li>Interaction with other business processes </li></ul></ul>
  6. 6. 2. Functional Architecture Business Functions <ul><li>Identify asset classes to be traded using this system </li></ul><ul><ul><li>Equities </li></ul></ul><ul><ul><ul><li>… </li></ul></ul></ul><ul><ul><li>Fixed Income </li></ul></ul><ul><ul><ul><li>… </li></ul></ul></ul><ul><ul><ul><li>… </li></ul></ul></ul><ul><ul><li>Commodities </li></ul></ul><ul><ul><ul><li>… </li></ul></ul></ul><ul><ul><li>FX </li></ul></ul><ul><li>Identify where trading will happen < exchanges >, < ECNs >, < markets > etc. </li></ul><ul><li>Identify user community (by geography ) </li></ul><ul><li>A new application, <Asset Class> Trading System, based on the <homegrown or commercial package> will be developed to support this business. </li></ul>Provide a summary of the Business Functions provided by this Application
  7. 7. 2. Functional Architecture Business Functions <ul><li>Identify < front-office >, < middle-office > and < back-office > functions for <asset classes, product groups> provided by this system. </li></ul><ul><li>Identify phases for delivery of business functions. </li></ul><ul><li>Pre-Trade </li></ul><ul><li>Trade Pricing </li></ul><ul><li>Risk Analytics </li></ul><ul><li>Client Portfolio Analytics </li></ul><ul><li>Order Management </li></ul><ul><li>Order Capture </li></ul><ul><li>Order Routing </li></ul><ul><li>Order Notification </li></ul><ul><li>Execution Management </li></ul><ul><li>Order Crossing </li></ul><ul><li>Market Execution </li></ul><ul><li>Order to Execution Allocation </li></ul><ul><li>Position Management </li></ul><ul><li>Position Valuation </li></ul><ul><li>Risk Management </li></ul><ul><li>Interfacing Services </li></ul><ul><li>Market Data </li></ul><ul><li>Client Gateways </li></ul><ul><li>Exchange Gateways </li></ul><ul><li>Exchange Trading </li></ul><ul><li>Floor Trading </li></ul><ul><li>Electronic Trading </li></ul>Identify the business functions provided by this Application
  8. 8. 2. Functional Architecture Business Processes - 1 <ul><li>Draw the key business flows </li></ul>Pre-Trade – Trade Pricing Client requests price quote Route to Sales Trader Assemble price quote Dispatch quote to client Client views price quote Client Sales-Trader Market Data Pre-Trade – Client Portfolio Analytics Client requests portfolio analytics Route to Sales Trader Run analytics modelling Dispatch results to client Client views results Client Sales-Trader Market Data Trader Pre-Trade – Risk Analytics Run risk modelling Market Data Trader Positions Map the business processes handled by this Application
  9. 9. 2. Functional Architecture Business Processes - 2 <ul><li>Draw key transaction processing steps. </li></ul>Capture manual order Validate order Capture electronic order Sales-Trader Reference Data To Transaction Management Cross orders Dispatch results to client Value positions Market Data Route to Trader Route to market Receive execution results Assemble market trades Allocate orders to executions Run risk modelling Market Data A A Exchange Gateways Exchange Gateways Order Management Execution Management Interfacing Services Position Management Position Management Map the business processes handled by this Application
  10. 10. 3. Data Architecture Application Roadmap <ul><li>Describe the data components of this application, including: </li></ul><ul><ul><li>Use of Reference Data </li></ul></ul><ul><ul><li>Data standards used within the application </li></ul></ul><ul><li>Also highlight : </li></ul><ul><ul><li>Data created and supplied to other applications </li></ul></ul><ul><ul><li>Reference data not sourced from standard sources (e.g. internal, external) </li></ul></ul>
  11. 11. 3. Data Architecture Reference Data <ul><li>List the key items of reference data used by this application, and their sources </li></ul>Identify Reference Data used by this Application
  12. 12. 3. Data Architecture Data Standards <ul><li>List the key data standards used by this application. </li></ul>Identify Data Standards used by this Application
  13. 13. 4. Application Architecture Application Roadmap <ul><li>Describe the key components of this application, including: </li></ul><ul><ul><li>Application layers and processing tiers </li></ul></ul><ul><ul><li>Functional software products used within the application </li></ul></ul><ul><li>Also highlight : </li></ul><ul><ul><li>Geographic instances of the application </li></ul></ul><ul><ul><li>Interfaces to other applications </li></ul></ul><ul><ul><li>Existing applications that are to be de-commissioned </li></ul></ul>
  14. 14. 4. Application Architecture Application Components <ul><li>Identify the key components in n-tier architecture </li></ul>Sales-Traders, Traders TradeBlotter and TraderFrontEnd Used by Trading staff primarily Provide a real-time, multi-dimensional deal capture and position-tracking environment. Core trading engine provides key functions covering order and execution management, position and risk management, Exchange connectivity, market data management messaging components to connect to other apps Exchange Gateways Internal Gateways DBMS Database to store transactional information. Separate application processes for communicating with other internal applications (e.g. for order capture and feeds to downstream systems) and with gateways to Exchanges Describe Components of this Application TradeBlotter TraderFrontEnd Order Management Execution Management Position Management Interfacing Services
  15. 15. 4. Application Architecture Application Environment Trading Application ISV market gateway Other Trading systems Market Prices, Product Reference Data Trades, Executions Text in blue describes key data items on each interface Trades, Executions Transaction messaging and routing Standardised pricing & risk analytics library Transactions, Analytics Results Completed transactions Reference Data Cash transaction payments Credit risk data warehouse Transaction data warehouse Books & records for cash transactions Payments Completed transactions Transactions, Analytics Results Reference data Book data Client data Reference data Product reference data Identify Interfaces to other applications
  16. 16. 5. Technology Architecture Application Roadmap <ul><li>Describe the technology to be used to implement the application. It includes: </li></ul><ul><ul><li>Tools, techniques and infrastructure used to develop and maintain the application </li></ul></ul><ul><ul><li>Software products and infrastructure used to run the application </li></ul></ul><ul><ul><li>Tools and infrastructure used to operate the application </li></ul></ul><ul><li>Also highlight : </li></ul><ul><ul><li>Changes in the components, platform or infrastructure used by the application </li></ul></ul><ul><ul><li>Functions or capabilities that can be re-used by other areas </li></ul></ul><ul><ul><li>Services used by the application </li></ul></ul><ul><ul><li>Adherence to security standards </li></ul></ul>
  17. 17. 5. Technology Architecture Execution Environment <ul><li>Identify Components of the Execution Environment </li></ul><ul><li>Draw Logical Layout of the Execution Environment </li></ul><ul><li>Figure Implementation of Clustering & Redundancy </li></ul><ul><li>Figure Implementation of Data Center Strategy </li></ul><ul><li>Identify Components of the Operations Environment </li></ul><ul><li>Identify Components of the Development Environment </li></ul>