FRONT ARENA

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FRONT ARENA
Architecture Technology June 2007
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Agenda

• Overview
• Overview SOA
• Performance and Scalability
• Integrations Framework
• Extensions Framework

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FRONT ARENA Technology

• Flexibility, Reliability and Performance
• SOA
• Scalability
• Security
• Openness
• ARENA Integration Framework
• Adaptable and extensible
• ARENA Extensions Framework

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Service Oriented Architecture
Thin client Browser
Rich client Windows
Rich client Windows
PRIME
Thin client Browser
PRIME
JMSHTTP SOAP ...
TechnologyAdapters
Calc
Calc
Web Server
Web Server
CustomAdapter
BO ...
Clients
Tradefeed
FIX ...
FRONT ARENA Service Bus
Payments
SWIFT ...
GRIDEngine
Instruments Trades Service
GRIDEngine
ClusteredService
Batch Reports
Portfolio Engine
Limits
Global Limits ...
Calc
Calc
Calc
Calc
EUREX, XETRA...
Services
AMAS
Data Access service
APH
ARENA Data Service
Reuters ...
ADM
Integration
Data storage
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FASB Overview
PRIME
Thin client
Web client
FRONT ARENA Service Bus
Service Explorer
Admin Console
TIBCO HAWK
Registry
JMS
JMS Middleware
Log
WebService Gateway
SOAP/HTTP
Messaging Middleware (TIBCO EMS)
Audit
External Service consumers
Controller
FASB SDK
FASB SDK
FIX Adaptor
Business Service
Grid Service
Customer Added Service
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FASB SDK
FRONT ARENA Service Bus, FASB
Directory Service
FRONT Service Bus (FSB)
(FAMI)
FRONT Message Service (FMS)
FMS Implementation
FAMI Implementation
TIBCO-EMS
TIBCO-HAWK
Public part
Protected part
Private implementation
TIBCO EMS, TIBCO HAWK third-party products
bundled with FRONT ARENA
) FRONT Application Management Interface
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Performance and Scalability
Using highly tuned analytic models where
applicable saves work
Total amount of work calculate portfolio
Approximations for small changes, only calculate
large moves
Only little work left after deferring slow
calculations to grid
Do not calculate or read cached values and
parameters
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Valuation Trees - Principle
Update
Invalidate
PV(5,5)10
PV(5,5)10
PV(7,5)12
Recalculate
Invalidate
vol(b1,b2) 5
5
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Theor PV(Undprice,V) Undprice 5 V
vol(b1,b2) B1 3 B2 2
2
3
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Valuation Trees and Performance

• Lazy evaluation
• Cache intermediate values
• Saves a lot of processing time (but costs memory)

portfolioDelta
...
posDelta
undPrice
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Valuation Viewer
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Distributed portfolios and calculations
ACM
Sheet model
Sheet Model
Thin Sheet model
De-serializer
View only
Simulations
Simulations
FASB
Portfolio Service
ATS Calc Engine
ATS Portfolio Engine
ATS Calc Engine
ATS Portfolio Engine
ATS Calc Engine
ATS Portfolio Engine
Serializer
Sheet model
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Scalability distributed PRIME sheets

• Off-load rich client
• Shared output
• Feed thin clients

Web Client
Java Client
PRIME
FRONT ARENA Service Bus
Report Engine
Report Engine
Report Engine
Report Engine
Sheet Engine (ATS)

• Score-based routing

• Manages subscriptions
• Caches latest report version
• Publishes new report/fragments from engines in
  real time

• Dynamic of engines(ATS)
• Some engines pre-started
• Some engines dynamically started
• Recalculate report periodically and publish

ADS
ADS
ADM
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Performance impact from Grid Calculations
Benchmark
PRIME (standard)
If the number of engines is greater than the
maximum number of concurrent calculations, the
total time for this scenario will be 1,5 second
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Agenda

• Overview
• Strategy SOA
• Performance and Scalability
• Integrations Framework
• Extensions Framework

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ARENA Integration Framework

• Objective
• Be a good citizen in the enterprise
  infrastructure.
• Low Total Cost of Ownership
• Sophisticated pre-built integrations
• Exchange connectivity Xetra, Eurex, SWX,
  Euronext etc.
• Price providors Reuters.
• Information providers WM
• Deal capture Reuters Dealing, BLB
• Quoting - Reuters
• 3rd party adaptors...
• Open, Loosely coupled API
• Access to all data via services
• Real-time or batch
• Messaging middleware, XML
• Standards strategic direction
• FIX toolkit
• SWIFT
• FpML

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AIF AMBA

• Integration Platform
• Reliable real-time replication
• Batch
• Import/export
• Decoupled components
• Message Oriented Middleware
• Publish/subscribe
• Store and forward
• Direct forward
• Simple API
• C/C/Python
• XML messages
• AMBA
• Intelligent data conversion
• Standard Adaptors
• Reuters, Bloomberg etc.
• WebSphereMQ Bridge

ADS
ADM
AMBA
MOM
AMB SDK Adaptor
AMB SDK Adaptor
Trade Source
BO System
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AMBA Messages, basic structure
XML Tagged format with tag names corresponding to
field names in the ADS database
ltMESSAGEgt ltTYPEgtINSERT_TRADElt/TYPEgt
ltVERSIONgt1.0lt/VERSIONgt ltTIMEgt2002-08-10
112907lt/TIMEgt ltSOURCEgtAMBAlt/SOURCEgt
ltTRADEgt ltINSADDR.INSIDgtDEM/BND/128000
ltINSADDR.INSIDgt ltINSADDR.ISINgtDE00123456lt/INSA
DDR.ISINgt ltACQUIRE_DAYgt2002-08-12lt/ACQUIRE_DAY
gt ltACQUIRER_PTYNBR.PTYIDgtBond Nat Desk
lt/ACQUIRER_PTYNBR.PTYIDgt ltCURR.INSIDgtDEMlt/CURR
.INSIDgt ltVALUE_DAYgt2002-08-12lt/VALUE_DAYgt
ltTIMEgt2002-08-10 122906lt/TIMEgt
ltQUANTITYgt5lt/QUANTITYgt ltPRICEgt99.78lt/PRICEgt
ltPREMIUMgt-5205389lt/PREMIUMgt ltSTATUSgtFO
Confirmedlt/STATUSgt ltCOUNTERPARTY_PTYNBR.PTYIDgt
Commerzbanklt/COUNTERPARTY_PTYNBR.PTYIDgt
ltTRADER_USRNBR.USERIDgtSMITHlt/TRADER_USRNBR.USERID
gt lt/TRADEgt lt/MESSAGEgt
Message header
List of trade record fields and corresponding
values
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Batch Example Exporting ß-factors from Excel
ARENA System
AMBA
ARENA Message Broker
C\ temp \ beta_mess
MB Client 1
MB Client 2
MB Client n
ltMESSAGEgt ... ... lt/MESSAGEgt ltMESSAGEgt ... ... lt/M
ESSAGEgt
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Enterprise Integration View
Bonds
Repos
Derivatives
Equity
FX MM
Price Rate Feeds
Trade, Position Risk Management
FRONT ARENA Service Bus
Enterprise Risk Management Service
Limits Management Service
Back Office Modules
Static Data Management
Accounting
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Agenda

• Overview
• Strategy SOA
• Performance and Scalability
• Integrations Framework
• Extensions Framework

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ARENA Extension Framework Principles

• Objective Controlled Flexibility
• Strike balance between packaged application and
  toolkit
• Scripting
• Rather than traditional APIs.
• Same principle as Excel
• Extension Points and Extensions
• Built-in development tools
• Real-time deployment and monitoring
• Business Extension Areas
• Focus on use cases.

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AEF - Business Extension Areas
AEF for Automated Trading
AEF for Automated Trading
AEF for Pricing
AEF for Equity Pricing
AEF for Monte Carlo
AEF for Credit Pricing
AEF for IR Pricing
AEF for UI
UI Customization
Menu Extensions and Automation
AEF Base
AEF for Reporting
AEF for BDP
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AEF Extension Techniques

• Extending the data model Additional Info
• Python scripting
• Main extension technique
• Open Source (www.python.org)
• Multi platform highly performant
• ASQL
• Based on SQL standard ARENA functions
• For batch reports and real-time reporting apps.
• XSLT XML based Report formatting
• ARENA Data Flow Language ADFL
• Implements hierarchial valuation engine.
• The brains of PRIME
• Fronts own development advanced customers

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ARENA Information Model

• ARENA Class Model vs. ARENA Data Model
• Small core financial model
• Common representation for all contracts
• All relevant data in
• the database
• Open and extendable

AdditionalInfo
instrument
trade
leg
party
cashflow
reset
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Python-AEL Sample
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Python-AEL Extension Points

• Pricing models
• ASQL functions
• Broker fee calculations
• Ex-coupon calculations
• Inflation index calculations
• Credit limit calculations
• Trade status rules
• Data input validations

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Customizable UI

• Use extensible layouts to
• Change field location and order.
• Remove unused fields.
• Include AdditionalInfo fields.
• Add Insdef Panes
• Set FExtensionValue to change layout definitions
• Correct controls is automatically used based on
  meta data.
• Right formatting rules applied
• ACM automatic wrappers for AdditionalInfo fields
• FInstrument.AdditionalInfo.ltSpecgt
• Use Column defintions to
• Change name of fields
• Change formatting rules
• Change Color etc.
• Applied in all applications.

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Extensible Reporting FrameworkAEF for Reporting

• Extend and adapt report formatting and
  representation.
• Trading Manager Reporting via XML output and
  XSLT transformations
• ASQL Reporting via XML and XSLT transformations.
• A set of predefined report formats text, HTML,
  PDF

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AEF for Reporting
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Auditing

• ARENA Data Server provides complete audit trail
  with
• Before and after values
• Translating number references to clear text IDs
• Data model description

• Audit Trail applications
• GUI or text based interface
• Search facilities
• Data model independent
• RDBMS auditing

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Summary

• Scalable performant
• Integrateability
• A good Citizen in the Enterprise Infrastructure
• Loosely coupled integrations - gt Low Total Cost
  of Ownership
• Highly Extensible
• Controlled Flexibility
• Global Installation Supported