architectures for disparate derivative trading and settlement paul pickup strategic it consultant...
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Architectures for Disparate Derivative Trading and Settlement
Paul PickupStrategic IT ConsultantTrading Technology
www.tradingtechnology.com
Andy SchneiderBJSS
www.bjss.co.uk
© Catalyst Development Ltd 2002
AGENDA
• Introductions• Business drivers affecting
derivative trading• Challenges faced by IT• Service orientated
architecture• Case studies• Summary & Questions
© Catalyst Development Ltd 2002
Trading Technology
• Note – Not Trading Technologies!!!
• Specialists in Trading Systems• Consultancy, not development
People are the challenge, not the technology
• Business analysis• Program and Project Management• IT Marketing and Research
www.tradingtechnology.com
© Catalyst Development Ltd 2002
BJSS Ltd.
• The highest quality software engineers• Bespoke development only• Financial services – especially trading
environments• Messaging and high-availability
transactional environments• Significant clients including the London
Stock Exchange, LIFFE, CREST, Reuters, BP
www.BJSS.com
© Catalyst Development Ltd 2002
The business driversThe business drivers
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Business Drivers
• Recent survey of Stock Exchange Technology
• Through FOW• Conclusions
“cash” trading high-volume low value
“Traders Market” Expansion into derivative instruments IP-based technology enabler
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Business Drivers
• Derivative business lines
FX and Money derivatives Credit Derivatives OTC Derivatives Spread betting Commodities Energy Weather….
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Demands on systems
• Derivative traders are only as good as their IT!
• Programmer/Mathematician/Derivative trader hybrid
• Many small-point systems• Developed by traders
Excel Access Visual Basic
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Demands on systems
• Demands of traders Time to market Profit window Uncertain Revenues Need for secrecy
• Demands of ITo Planningo Budgeto Resourcingo Shared knowledgeo Infrastructureo Need for controlo Supportabilityo Centralisation
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Business Drivers – The Problem
The problem is either: Or:
STATE CONTROLLED STATE CONTROLLED CENTRALISATIONCENTRALISATION
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Business Drivers – The Problem
The best of each world is: Or:
STATE CONTROLLED STATE CONTROLLED CENTRALISATIONCENTRALISATION
Flexibility Speed of
development Low cost RAD approach Disposable systems?
Ability to plan Clear agreed
requirements Budgets Maintainability Supportability Fits in with other
systems Common development
techniques
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Service Orientated Service Orientated ArchitectureArchitecture
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Delicate balancing. One size does not fit all.
Predictable
Dynamic
Tactical
Strategic
Flex
Standards
Small Scale
Large Scale
The Balancing Act
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Key Design Principles
Complex Trade Offs...
Cost Of Entry
Enable Buy& Build
Scaleable
SupportDiversity
Zero LatencyB2B Ready
LinearCost
Incremental
Availability
Business ProcessSupport
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Service Orientated Architecture
•Abstract Interfaces to Business Processes.•Leverage Existing Systems.•Ease integration of large systems (e.g. SAP).•Heterogeneous environments.•XML, simple protocols.•SOA is not web services, SOA is a design philosophy.
Services are not just Web Services...
...SOA is a software architecture that starts with an interface definition and builds the entire
application topology as a topology of interfaces, interface implementations and interface calls...
[Natis, Gartner 2003]
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Messaging and Services
DealEntry
Pricing
ReportingExposure
Plain Text (XML) Message Bus
Leverage mature message based architectures...
WorkflowTransformation
SequencingHuman
Intervention
Core Component APIReference Data Repository
ReferenceData
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•Bus or Hub/Spoke.•Federated.•Point-to-point or Publish & Subscribe.•Asynchronous or Request/Response.•Variable QoS.
Messaging Options
... or combinations and variations of ...
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Transaction
Transaction
Transaction Options
Transaction
Transaction Transaction
Transaction
Transaction
Transaction
Process & Database
Update
Publish Message or
Request
Process & Database
Update
Receive Message or
Request
PublishMessage orResponse
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Other Considerations
•SecurityControl Costs With Threat ModelAuthenticationIntegrityPrivacy
•Business ContinuityAvailabilityDisaster Recovery
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Ontologies
Top Level
Business UnitCore Java Apps
SAP Instance
Communication Medium
Communication Medium
Com
mu
nica
t ion
M
ed
ium
Com
mu
nic a
t ion
M
ed
ium
Define globally, adapt locally
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Reference Architecture
Process Automation
Workflow Rules Engine
Application Services
Persistence Security
Data Access API
Deployment Services
Load Balancing Clustering
Deployment Administration
Integration
TransformationTranslation
Messaging Routing
Recovery Fail Over
Reference Data
Meta Data Master Data
Monitoring
Event Bus Monitoring
Audit/History Caching
The Enterprise Service Bus makes much of this available…
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Case Study: Energy Trading & Scheduling System
•Paper DealsOptions, Futures, ....
•Physical DealsScheduling
•Contract Generation•Many Legacy Systems
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XML on TIBCO Certified Messaging
Scheduling
SolarisJ2EE
ORACLE
VMSProIV
Back Office
Case Study: System Evolution
Win2kCOTS
SQLServer
Contracts
ExcelVBA
Reference Data Mappings in
Transformation Engine
Core Component API
Reference Data Repository
ReferenceData
SolarisJ2EE
WorkflowTransformation
SequencingHuman
Intervention SolarisTIBCO IM
ORACLE
DealEntry
SolarisJ2EE
TransactionBoundary
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Inextricably Entwined
ArchitectureTechnology
MethodProcess
Process and Architecture: entwined and generative
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21st Century Development
•There is no grand narrative.•Right people, right process, right time.•Method-per-project with agile philosophy.
DSDM XP
SCRUM
RUPWaterfall
Iterative Spiral
Crystal
JAD
FDD
TSP
Method to fit goals
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Industrial Strength Agility
Iterative, adaptive, embracing change.
Execute
Measure
Adapt
Deliver
TailorFinding Best Fit
CompletionCommitment
Project & ProgrammeGovernance}
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Case Study: BalanceAgility and Governance
•Before:Large multi-national.Waterfall style governance.Chaotic, disconnected development.
•After, process aimed at:Optimising test and quality.Improve transparency control.Improve fit with governance.
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Case Study: Multi-Disciplinary Teams
•Smooth resource usage. •Optimise for information flow.•Small, efficient feedback loops.
FunctionalDelivery
People are key, have first order effect.
Analysis
Team A
Development
Test
Best PracticesStandards
QualityMonitoring
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To Test - CST(Defects in state of 'Fixed' or 'RFT'
0
50
100
150
200
21Feb03
5Mar03
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30Sep03
10Oct03
Date
Nu
mb
er o
f D
efec
ts
1.Critical
2.Severe
3.Important
4.Minor
Case Study: Transparency
• Daily Defects - component based.• Defect State of Nation.
Graphs to programme team and on wall. Monitored trends to ensure closure.
• Progress Planned, actuals EVA, variance and velocity.
• Agreed iteration exit criteria.
Transparency = Trust, Benchmarking, Clear Progress
© Catalyst Development Ltd 2002
Case Study: Automate, automate...
Test Phase
Tool Support
Check-In Build
Cruise Control
NightlyEnd of iteration
test.Responsible
Unit TestsxUnitRobot
Dev
Link TestsxUnitRobot
Dev
Tech Tests
Load Runner
Dev/Tech Test
System Tests
Robot People
Test Team
Integration tests
xUnitRobotPeople
Test Team
Continual integration and test build quality
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Case Study: Necessary & Sufficient
•Design and Analysis is both an activity and communication.•Documentation is not an end in itself.•Focus on:Necessary: Has a clear purpose.Sufficient: Good enough for the purpose. Right level of detail.
Necessary and sufficient - minimum needed...
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Case Study: Adapt
• Iteration reviews.• Project Teams are Self
Optimising.• Holistic Analysis -
Entire process chain.• Adapt to functional
change.• Multi skilled teams
maximise flexibility.
Improved Throughput with Skilled Self Optimising Teams
© Catalyst Development Ltd 2002
Case Study: Governance on top
Agile Underneath
Appraise Select Define Execute Operate
Business Modeling
Requirements
Analysis & Design
Implementation
Test
Deployment
Config & Change Management
Project Management
Environment
© Catalyst Development Ltd 2002
The Death Of Technology Led Solutions
• SOA and Enterprise strength agile - Business Orientated.
• No longer technology orientated. • Heterogenous methods and systems enabling each
other.• Incremental, Scaleable, Manageable.
• Team Orientated.
Links and resources: http://www.bjss.co.uk/fow
© Catalyst Development Ltd 2002
Summary & QuestionsSummary & Questions
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Summary
• Derivatives increasingly important and profitable
• Increasingly disparate
• Business needs force flexibility• Balance between federal and centralized
control• Requires common development methods• Needs strong accreditation throughout the
organization• Part of your core competence• Not to be outsourced!
QuestionsPaul Pickup
Strategic IT ConsultantTrading Technology
www.tradingtechnology.com
Andy SchneiderBJSS
www.bjss.co.uk