A product from alpha financial software l l c l.jpg
This presentation is the property of its rightful owner.
Sponsored Links
1 / 15

A product from: Alpha Financial Software, L.L.C. PowerPoint PPT Presentation


  • 147 Views
  • Uploaded on
  • Presentation posted in:

A product from: Alpha Financial Software, L.L.C. Technology and Implementation Overview October 28 th , 2009. Agenda. Introductions Business Coverage TBA Mortgage Master Business Workflow TBA Mortgage Master Integration Overview Real-Time Trade Integration

Download Presentation

A product from: Alpha Financial Software, L.L.C.

An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -

Presentation Transcript


A product from alpha financial software l l c l.jpg

A product from:Alpha Financial Software, L.L.C.

Technology and Implementation Overview

October 28th, 2009


Slide2 l.jpg

Agenda

  • Introductions

  • Business Coverage

  • TBA Mortgage Master Business Workflow

  • TBA Mortgage Master Integration Overview

  • Real-Time Trade Integration

  • TBA Mortgage Master Data Integration Example

  • TBA Mortgage Master Data Call – TBA Trade

  • TBA Mortgage Master Data Call – Account

  • TBA Mortgage Master Data Call – Broker


Slide3 l.jpg

Business Coverage

Middle Office

Back Office

Front Office

Trade Capture

Trade Edits

Close-Outs

Roll Forwards

Dollar Rolls

Inventory Mgmt.

Sell Optimization

OMS Interface

Inventory Mgmt.

Sell Optimization

Manual Allocation

Pair-Offs

Trade Link

ON Processing

CX Processing

DK Processing

Pool Substitutions

ON Processing

CX Processing

DK Processing

Pool Substitutions

Accounting Systems Interface

Settlement Systems Interface


Company overview l.jpg

Company Overview

  • Alpha Financial Services Group, L.L.C.

    • Formed in 3/02

    • Provides business and systems design consulting services to the investment community

  • Alpha Financial Software, L.L.C.

    • Formed Joint Venture in 2004 with the goal of providing superior fixed income investment management and trading software solutions to the buy and sell-side community

      • 01/07 FICC EPN Network approved vendor

      • 11/07TBA Trader Mortgage Master fully supported EPN Cancel and Correct functionality

      • 01/08 Developed real-time integration with Macgregor XIP Order Management System

      • 10/08 Developed real-time integration with Linedata Longview Order Management System

      • 02/09ASP Architecture deployed

      • 08/09First live client


Slide5 l.jpg

ASP Architecture

Application Framework – Visual Studio 2008, Framework 3.5

C# Programming Language

Database Requirements – MSSQL Enterprise 2005 or 2008

Multitenancy

Single Instance of the Software / Single Database - Multiple Client Support Model

Real-Time and Batch Data Integration

Fully Developed and Documented Data Transfer SDKs

Portfolios, Brokers, Pool Security Master Setup, Inventory, Allocations, Trades and MBS Types

Real-Time Error Message Alerts

SDK Integration

Technology and Integration Highlights


Slide6 l.jpg

FICC

(EPN)

Book of Record

Trading System

Brokers

TBAMM

TBA Mortgage Master Business Workflow

Note

Above is one configuration of business workflow for illustration purposes. Business workflow is matched to specific client configuration.

Allocation

Messages

Allocation Messages

End of Day Files

TBA Trades

Start of Day Files


Epn message processing performance l.jpg

EPN Message Processing Performance

  • Scenario: Receipt of $10 Billion Worth of Inbound EPN Messages

    • Number of Messages per Test: 200 and 2000

    • Number of Pools per Messages: 1 to 200

    • Hardware Configuration:Single Processor / Single Engine

  • Results

    Processing Includes:

    Receipt of EPN Message, Validation of EPN Message, Matching EPN Message to Available TBA, Verification of Delivery Good Millions, and Allocation of EPN Message to TBA


Epn message processing performance8 l.jpg

EPN Message Processing Performance


Epn message processing scalability l.jpg

EPN Message Processing Scalability

Baseline processing environment one Processor (P) one Engine (E)

Initial reduction in processing time after adding an additional Processor (P) and Engine (E)

Subsequent reduction in processing time by adding additional Engines (E) only


Slide10 l.jpg

Trading System

Client OMS -> TBAMM

Integration Module

Client OMS-> TBAMM

Integration Module

Book of Record -> TBAMM

Integration Module

TBAMM

TBAMM

Import Files

TBAMM

Export Files

Client Book of Record

> TBAMM

Integration Module

Book of Record

> TBAMM

Integration Module

TBA Mortgage Master Integration Overview

Note

Above is a sample integration view. Multiple integration options for Account , Broker, Secruity Master, Inventory, and Trade data exists and is implemented to Client OMS’s specification.

Intraday Processing

End of Day Data Loads

Start of Day Data Loads

Trades

Allocations

Security Master

Inventory

Real-Time TBA Trades

Accounts

Brokers

Security Master

Inventory

Real-Time TBA Trades


Slide11 l.jpg

Client Browser

Client

Middle Tier

TBAMM

Client

->TBAMM

Integration Module

TBAMM

Middle Tier

(WCF)

Real-Time Trade Integration Example

1. Submit TBA Trade

(Client ID)

2. Trigger New Trade Event

(MSMQ File, Direct Call)

Parameter = Client ID

3. Submit Trade

Parameter = Client ID

4. Notify Client

Firewall


Slide12 l.jpg

TBA Mortgage Master Data Integration


Slide13 l.jpg

TBA Mortgage Master Data Call – TBA Trade


Slide14 l.jpg

TBA Mortgage Master Data Call – Account


Slide15 l.jpg

TBA Mortgage Master Data Call – Broker


  • Login