Khader's Blog » Other

Series on Derivatives Software System

khader — Mon, 06 Feb 2012 06:35:00 +0000

I have started writing some introductory topics to help understand derivative software system from a systems point of view. I have started off with introductory topic which you can access from right side menu “Derivatives System Software” or click here.

I hope this series will help people with IT background, business analysts, project management and others to get the bird’s-eye view of the subject.

2011 Risk Magazine Technology Rankings are out

khader — Sun, 15 Jan 2012 06:17:10 +0000

As every year, for 2011, Risk magazine has released technolgoy rankings of derivatives and risk management products. Accordings to Risk magazine, it received 821 valid responses from various banks, hedge funds, pension funds, insurance companies and corporate treasuries. Here are the top three leaders:

Overall:
#1 – Murex
#2 – Thomson Reuters
#3 – Misys

Pricing & Analytics Category:
#1 – Murex
#2 – Numerix
#3 – Savvysoft

Trading Systems Category:
#1 – Thomson Reuters
#2 – Murex
#3 – Misys

Enterprise Risk Management Category:
#1 – Algorithmics
#2 – SunGard
#3 – Murex

For more details visit Risk website – Risk.net

What is new in FIX Protocol 5.0

khader — Tue, 19 Apr 2011 00:26:18 +0000

The FIX 5.0 is the response to the growing needs of financial institutions. The FIX version 5.0 enhancements address the following key needs of industry.

PROTOCOL LEVEL: Introduction of independent session layer called Transport Independence (TI) Framework. This framework is known as FIXT. It’s initial version is 1.1. You can get detailed specifications from fixprotocol.org.

PRODUCTS: Enhanced support for FX Trading

NEW ORDER TYPES: Enhanced Order Routing features for RESERVE, PEG and TRIGGERED Orders

TRADE PROCESSING: Additional features for post-trade and clearing process for allocation, trade and position reporting

REGULUATORY REQUIREMENTS: Support for Reg-NMS, OATS Phase 3 and MiFID regulatory initiatives

MARKTE DATA: Market Data optimization extensions improving book management.

ALGORITHMIC TRADING: Enhanced support to Algorithmic/Strategy trading.

Enhancements to Derivatives post trade processing

Out of all these, the major feature is the Transport Independence Framework (FIXT 1.1 http://fixprotocol.org/specifications/FIXT.1.1).

The key objective of this framework is to enable a single FIX session to support multiple FIX application messages. For example, a firm can run FIXT1.1 and allow Order messages of FIX 4.3, Allocation messages of FIX4.4 and Market data message of FIX5.0 etc. this gives the great benefit to Sell-side firms to run their FIX engines for wider audience.

The new Framework also allows FIX messages to be carried over other transports such as MQSereis, TIBCO etc. For more details please refer FIXT specifictions.

FIX 5.0 is response to the needs of the financial institutions. FIX 5.0 addresses the following key needs of financial services industry.

PROTOCOL LEVEL: Independent session layer called Transport Independence (TI) Framework. This framework is known as FIXT. Its initial version is 1.1. You can get specifications from fixprotocol.org here.
PRODUCTS: Enhanced support for FX Trading
NEW ORDER TYPES: Enhanced Order Routing features for RESERVE, PEG and TRIGGERED Orders
TRADE PROCESSING: Additional features for post-trade and clearing process for allocation, trade and position reporting
REGULUATORY REQUIREMENTS: Support for Reg-NMS, OATS Phase 3 and MiFID regulatory initiatives
MARKTE DATA: Market Data optimization extensions improving book management.
ALGORITHMIC TRADING: Enhanced support to Algorithmic Trading/Strategy trading.
DERIVATIVES TRADING: Enhancements to Derivatives post trade processing

Out of all these the major feature is the Transport Independence Framework (FIXT 1.1).

The new framework also allows FIX messages to be carried over other transports such as MQSereis, TIBCO etc. For more details please refer FIXT specifictions.

Credit Default Swaps – The Big Picture

Khader — Tue, 01 Feb 2011 05:27:47 +0000

I recently posted my “Credit Default Swaps – The Big Picture” presentation for download. It was prepared to introduce Credit Default Swap instruments and various high level details. Presentation covers:

Definition of CDS
Importance of CDS
Market Players & their roles
CDS Examples
Myths and Facts of CDS
CDS Instrument Categories
Instrument Types & Options
CDS Pricing & Models
Market Data Requirements & Vendors
MIR, Ratings and Agencies
About ISDA
Risk Factors of CDS
Central Clearing and Counterparty (CCP)

Here is the link to download (PPT/PDF).

“LeadMyGoals” coverage on TV Channels

khader — Wed, 12 Jan 2011 23:26:43 +0000

Good news!! I am happy that LeadMyGoals is being picked up by TV channels. Here are couple of new items. Hoping for more with upcoming all new version of LMG.

* As a weightloss planner App on NBC DFW

LeadMyGoals on NBC DFW

* As a new year resolutions tracker on NBC News

Please make sure you and your friends are all on board with LMG!

-Khader

Solution to random error – “Column does not belong to table “

khader — Thu, 19 Aug 2010 21:25:11 +0000

It has been pretty painful investigating this weird problem – “Column does not belong to table Table” even though we have this column in the specified table. Sometime it is just throws error – “….table ‘Table’” when there is no such table ‘Table’ in database.

After thorough investigation many experiments, we found that the root cause of this problem is Corrupted Database Connection Pool.

First reason could be some code is not closing the connection properly, and the other reason could be restarting IIS Server several times without cleaning up the connection pool.

One of the important fact is that just stopping IIS Server will not clean the connection pool. When you restart the IIS Server it will use the pool that was created earlier.

Finally the Solution options are:

1. Use ‘iisreset’ command every time you stop the IIS server
2. Walk through your code and make sure you are closing connection properly.
3. Use ‘Connection Lifetime’ property of connection pool if required.
4. Try to use ClearAllPools/ClearPool in appropriate application event

To learn more on this here are some good links:

* MSDN Connection Pool Lifeguard

* Nice and brief insight on Connection Pool

Cheers!

Fixed Income Market Analysis

khader — Thu, 24 Sep 2009 14:24:53 +0000

FIXED INCOME MARKET ANALYSIS

4 Full Days

Comprehensive course on Fixed Income Markets. This course is
designed for professionals working in Capital Markets Technology and related areas
to provide complete insight into Fixed Income markets. The course covers all fundamental
topics, market mechanics, basic pricing and risk analytics, bond options and basics
of structured products.

DAY ONE Download Presentation Slides

Capital Markets
- Overview Capital Markets
- Capital Market Products
- Types of Securities
- Overview of Stock Market
Fixed Income Markets
- Overview of Fixed Income Markets
- Short-term debt products
- Long-term Products
- Bond terminology
- Fixed Income Product Types
Bond Market Structure
- Market Players & Roles
- Rating agencies
- Regulatory Agencies
- Process of Issuing Bonds
Essentials of Municipal Bonds
Essentials of Corporate Bonds
Essentials of Money Markets
- Money Market Instruments
- Treasury securities
- Municipal notes
- Fed securities
- Commercial paper
- Banker Acceptance (check)
- Repos (Repurchase Agreements)
- Call loans
- CDs
- Fed funds etc.
Bonds with Options
- Types of Bond Options (CALL/PUT)
Essentials of Yield Curve
- Overview of Yield Curve
- Type of Yield Curves
- Use of Yield Curve
Bond Investment & Risk Factors
- Overview of Investment Risk
- Types of Risks associated
- Interest Rate/Default/Liquidity/Yield-curve/Volatility
Bond Valuation
- Bond Price/Bond Quote/Bond Yield
Understanding Treasury Securities
- Treasury Market
- Treasury Products
- Treasury Notes
- Treasury Bills
- Treasury Bonds
- TIPS (Treasury Inflation Protected Securities)

DAY TWO

Fixed Income Analysis
- Bond Characteristics
- Bond Trading Mechanics
- Understanding Bond Quotes
- Accrued Interest
- Clean Price, Dirty Price
- Settlement Terminology
- Day Count Conventions
- Compounding
- Bond Valuation
- Time Value of Money:
- Present Value
- Future Value
- Understanding Cash Flows
LAB Exercise
- Calculating Present Values
- Calculating Futures Values
- Single Cash Flow and Multiple Cash Flows
- Calculating Cash Flows

DAY THREE

Fixed Income Analysis
- Calculating Yield
- Understanding Cash Flows
- Pricing Bonds
- Yield Vs Prices
Bond Investment Risks
- Overview of Risks
- Types of Risks in Bond Investments
- Interest Rate Risk
- Credit Risk
- Yield Curve Risk
- Call & Prepayment Risk
- Liquidity Risk
- Volatility Risk
- Corporate Credit Analysis
- Character, Capacity, Collateral, Covenants
- Return Analysis
- Duration
- Convexity
LAB Exercise
- Calculating Bond Yield
- Calculating Bond Price
- Single Cash Flow and Multiple Cash Flows
- Yield Vs Price Analysis
- Calculating Duration
- Calculating Convexity

DAY FOUR

Structured Products
- Overview of Structures Products
- Understanding Mortgage
- Mortgage Structures/Types
- Fixed Rate & Level payments
- Adjustable rate
- Balloon
- Growing Equity
- Reverse Mortgages
- Mortgage Risks
- Mortgage Grades
- Conforming Mortgage/Prime
- Non-conforming Mortgage/Sub prime:
- LTV (Loan-to-Value ratio)
- Securitization
- Purpose of Securitization
- Process of Securitization
Mortgage Backed Securities
- MPS (Mortgage Pass-through Securities)
- CMO (Collateralized Mortgage Obligation)
- Overview of US MBS Market
Derivatives
- Overview of Financial Derivatives
- Types of Derivative Instruments
- Overview of Future, Forwards, Options, Swaps etc
- Interest Rate Derivatives
- IRD Products
- IR Futures
- IR Swap
- IR Cap
- Essentials of IRD markets
Exchange Traded IRDs
- Treasury Bond Futures
- Treasury Note Futures
- Agency Note Futures
- Eurodollar Futures

FIX Protocol Training Program

khader — Thu, 17 Sep 2009 21:09:32 +0000

If you are planning to start using FIX protocol in your organization, I can help you to get on board quickly. I can design custom course to suit your needs and provide a training program on your site anywhere in the World. Please contact me for more details.

You can watch my FIX Protocol Introduction Video on YouTube.

You can download the material from one of my earlier workshops (PDF).

The core contents of the program is :

Part – 1 : FIX Protocol Introduction

Overview
History
Usage / Players
Message Format
Communication Model
Session Messages
Application Messages
Anatomy of sample message
Understanding FIX Protocol Specifications

Part – 2: FIX Protocol in Equities Trading Domain

Electronic Trading Overview
Types of FIX Messages
Trading Scenarios
- Walk-through of sample message flow (using required version)
Introduction to Market Data messages
Overview of FIX Protocol Version 5.0

Part – 3: Technical Implementation

Buy-side Vs Sell-Side
System Architecture
FIX Engine Integration Models
Overview of Commercial FIX Engines
Overview of free Open Source FIX Engines
Implementation Steps
Testing Tips
Troubleshooting Production Issues & Troubleshooting Tips
Roles & Responsibilities

You can download presentation here FIX Protocol PDF.

Please contact me for more details.

Industry Players & FIX Protocol

FIX Engines & Usage

Application Integration Options

Capital Markets & Equities

khader — Fri, 11 Sep 2009 21:15:35 +0000

4 Day Course
This Course is for technology professional working in or planning to work in any Securities business domain. This course covers the list of unique topics that explore practical aspects of the Securities business and related technologies. It is designed by industry experts unlike academicians.

DAY ONE
Capital Markets
	Overview of Financial Markets
	Financial Products
	Market Types by Product
	Essentials of Capital Markets
	Market Players
	Type of Securities
	Types of Stocks
	Process of Issuing Securities
Overview of Fixed Income Markets
	Overview of Bond Markets
	Bond Products
	Money Market Products
Stock Market
	Exchange Markets
	OTC (Over-the-counter) Markets
	Understanding Equity Quotes
	Equity Order Types
	Equity Order Qualifiers
	Role of Securities Trading Firm
Brokerage Firm
	Role of Brokerage Firm
	Services
Regulatory Agencies
	SEC (Securities Exchange and Commissions
	NASD (National Association of Securities Dealers
	SIPC (Securities Investor Protection Corporation
DAY TWO
	Equity Trade Life Cycle
	Overview of Players
	Order Origination
	Trading
	Operations
	Booking
	Confirmations
	Clearing & Settlement
	Agencies
	Depository Trust & Clearing Corporations.
	National Securities Clearing Corporation (NSCC)
Stock Indices
	Overview of Index
	Benchmark Indices
	DJIA – Dow Jones Industrial Averages
	US&P 500
	FTSE 100 (Futsie 100)
	Nikkei 225
	Hang Seng etc
	Specialized Indices
	iShares/ MSCI/EAFE
	Morgan Stanley Biotech
	Index Funds
DAY THREE
Equity Trading System & Platform Architecture
	Type of Institutions
	Broker-Dealer/Brokerage Firm
	Market Maker
	Asset Manager
	Primer Broker
	Departments
	Front Office/Trading
	Middle Office/Risk Management
	Back Office/Operations
	System Modules
	Order Management
	Market Data
	Position Management
	Risk Analysis
	Equity Trading System Modules
	Reference Data Management
	Connectivity Module
	Exchange Access
	Trade Processing Module
	System Access
	Equity Trading Models
	Single Stock Trading
	Block Trading
	Algorithmic Trading
	List/Program Trading
Stock Analysis
	Stock Analysis Methods
	Terms
Index Futures Trading
	Understanding Index Future
	Benefits of Index Future Trading
	Index Futures Trading Strategies
DAY FOUR
Mutual Fund
	Objectives Mutual Fund
	Actively Managed Funds
	Exchange Traded Funds
	Understanding Fee & Expenses
Essentials of Options
	Overview of Option Contract
	Mechanics of Options Markets
	Types of Options
	Options Positions
	Types of Underlying Assets
	Understanding Quotes
Essentials of Futures & Forwards
	Overview of Futures Contract
	Understanding Futures Positions
	Overview of Forwards
	Futures Vs Forwards

Please email me for more details and schedule.

Fixed Income Trading System Architecture

Khader — Thu, 13 Aug 2009 18:32:41 +0000

This session covers the following topics (1 full day):
As part of the Application Architecture training sessions, this is a first session exploring the flow of Fixed Income Products Trading, System Architecture, Technology components involved and the role of each component. The following sessions would cover various design and architecture aspects and how to implement using different technologies.


Fixed Income Instruments Overview of Fixed Income Trading Players of Fixed Income Markets Needs of Broker/Dealers Firms (Brokerage Firms) Requirements/Features of Fixed Income Trading System (of Broker/Dealer) Architecture of Fixed Income Trading Platform Various Components and Roles Popular Technologies used and Vendor Products
Presentation Downloads: Fixed Income Trading System Architecture(Part 3) Introduction To Fixed Income Markets (Part 2)

For more details please contact me.