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Event Processing Use Case: Automated Security Pricing

Event Processing Use Case: Automated Security Pricing. Event Processing Symposium November 2006 www.alerilabs.com. The Problem. Need: Automate pricing, currently a manual process, thereby: reducing latency (i.e. market responsiveness) support for electronic/automated trading

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Event Processing Use Case: Automated Security Pricing

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  1. Event Processing Use Case:Automated Security Pricing Event Processing Symposium November 2006 www.alerilabs.com

  2. 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

  3. 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

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

  5. Data Flow - Forex

  6. 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

  7. 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)

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