Event Processing Use Case: Automated Security Pricing Event Processing Symposium November

The Problem  Need: Automate pricing, currently a manual process, thereby: –reducing latency (i.e. market responsiveness) –support for electronic/automated trading  The Challenges: –High data rates –Demand for ultra-low latency –Input data prone to erroneous data points –Need for flexible model –Very short time to deploy

The Approach  Inputs: Market Data prices from multiple sources  Logic (forex): –Compare sources; select source –Check for “staleness” –Filter spikes –Boundary checks –Calculate mid-point –Calculate cross rates –Apply spread and skew –Publish rates

System Level View Purpose: calculate firm’s own rates based on current market prices

Data Flow - Forex

Functional Requirements - Forex  Import reference data for each currency pair  Spike Check –compare incoming rates to recent trend (moving average) to detect and suppress spikes  Staleness Check –Flag any price that hasn’t updated in n seconds as “stale” where n varies by currency pair  Thresholds: check new market price against boundary conditions –e.g. Bid < Ask, Spread < n (n varies by currency), etc  Compute mid-point  Compute cross-rates –Match spot to tom next –Use calendar functions  Apply spread and skew –Spread and skew are set for each currency pair by the user –User updates spread and skew frequently and updates are applied in real-time  User inputs (spread and skew) must be logged for audit purposes

Just the facts:  Event processing style: –Relational –Cross-reference, compare streams, aggregate, filter, compute  Language used: –Aleri SQL Or –XML (with Aleri DTD)  Destination/Use of Results: –rates published in real-time and distributed throughout the bank  Commercial tools applied: –Rates delivered by Reuters RMDS –Results published on Reuters RMDS –MS Visual Studio.NET (for trader interface)