Andromeda

ANDROMEDA® Online Trading System

 1.1         Introduction

ANDROMEDA OMS is a state of the art, modular, flexible, expandable and integrated information system aiming to cover the entire business workflow for domestic and cross border trading. Provides advanced trading, strategy monitoring, market making, smart order routing and dynamic portfolio management capabilities with real time market data support. Also, as part of XRHMA SUITE, offers seamless integration with XRHMA backoffice for middle and back office operations automating pre-/post-trading & custody activities. In addition, the solution has embedded CRM functionality and full reporting capability. Finally, provides full market connectivity through FIX or other proprietary gateways (OASYS, ARENA) for real-time trading and direct links to major market data feed providers such as Morning Star (ex TENFORE).

1.2         ANDROMEDA OMS Basic Functions: 

  • Domestic and  cross border smart order routing and trading through automated workflow
  • Seamless Integration with XRHMA BackOffice offering full automation and integration of Trading, Clearing, Settlement, Safe Keeping, Payments, Reconciliations, Compliance and Accounting providing a Straight Through Processing for information transfer between front, middle and back office operations eliminating human intervention.
  • Multi Entity, Multi Currency, Multi Lingual, Multi Instrument Support
  • Advanced Trading Support for Market Making, Strategy Adjustment and Monitoring, Customer consecutive updates
  • Portfolio Modelling and Management
  • Customer Relationship Management (CRM)
  • Full market connectivity based on FIX protocol and Proprietary Links (including ATHEX, ADEX, and Romanian ARENA & SIBIU Gateways)
  • Direct link to Morning Star (ex TenFore) and other market data providers
  • Full parametric commissions and fees pre calculation
  • Full Reporting System
  • Risk management tools and risk measures
  • Compliance with all Capital Market Directives, Regulatory rules enforcement and real time margin calculation
  • Multi Level Security for authentication and authorization with full audit trail and Second Level Signature
  • Web Trading Module with Real Time Streaming Market Data
  • Rich GUI Windows Client
  • Interface API for third party application integration and interoperability
  • Multi-tier, modular, SOA architecture

2         General Architecture and Modules

 Andromeda OMS consists of the following basic modules:

2.1         Trading and Portfolio Management

Provide -client centric- trading and portfolio management functionality enhanced with many other features such as CRM functionality, Real Time or historical market date feed analysis, Risk Management etc. in more details, the following modules are provided:  

2.1.1        Trading & Dynamic Portfolio Management Module

Basic characteristics:

  • Domestic and International Trading with full order flow management
  • Multiple Portfolios per customer with consolidated view
  • Dynamic Real Time Portfolio Management with multi-currency Evaluation and P&L Calculation
  • Market Data support either real or delayed, on snapshot or streaming mode based on business needs and client front for portfolio evaluation and P&L calculation, instrument pricing and trading bids/asks
  • Asset Screening and Management based on user defined rules for stock allocation, portfolio models and investment profiles
  • Trade compliance, case management and full auditing control
  • Fully configurable fees and commissions plans and pre-calculation
  • Trade / market / asset specific configuration
  • Full Reporting and Statistics for executed orders / trades, customer portfolio
  • Monitoring applications
  • Invoicing, Settlement Management and Client Statement through XRHMA Backoffice

2.1.2        Trade Compliance and Rule Enforcement Module

Provides centralized control for trade compliance based on trading law rules and regulations and company or customer specific policies and guidelines. In more details, the system incorporates Weighed Portfolio evaluation, buying power calculation, margin engine and order acceptance procedures based on fully configurable hierarchical policy sets that depend on multiple criteria such as:

  • Market Centre (Group of Markets), User/Entity, Application
  • Customer, Customer type, account type (margin, spot, 3day)
  • Asset, Asset type, Group of Assets participation percentage escalation and max/min or required values
  • Issuers and Linked Issuers Participation
  • Deviation from Portfolio Models and Index Based Patterns
  • Risk Management Factors and investment profiles
  • Different evaluation based on last/previous close, current price or limit
  • Soft (unverified) or Hard Order acceptance
  • Margin specific configuration, debit balance coverage and margin calls
  • Multiple customer specific checks

2.1.3        Market Data Feed Monitoring and Analysis Module

Monitors and analyzes almost real time or delayed market data (Level 1 & 2) and news based on streaming data (push model updating) without the need of refreshing based on virtual portfolios. In more details the following features are provided:

  • Streaming Market Data Feed and News through Andromeda Live Feed & Notification Server
  • Multiple user defined symbols lists and virtual portfolios
  • Full order book (market depth) and executions depending on the feed provider
  • Mixed delayed or real time data provision based on market/symbol/provider combinations                            

2.1.4        Market, Historical and Financial Data Analysis Module

  • Fundamental Analysis: Provides tracking, analysis, as well as comparison among the several financial volumes of a company or a group of companies aiming at company evaluation or comparison. The user has the ability of keeping track of a company’s financial data (balance sheets, year results, earnings disposal), as well as their elaboration, in order to get to useful conclusions regarding their appraisal. Moreover, graph presentation of financial volumes, indexes and stock exchange levels are provided.
  • Technical and Historical Market Data Analysis: Technical Analysis is a method of stock and money markets evaluation that is based on graph analysis and indexes. An index is a mathematical calculation based on the stock price or transaction volume or both. Within the scope of the system, many indexes (eg Mobile Mean Values, Momentum, MACD, Price/Volume/ Chaikin/Stochastic Oscillators etc) of technical analysis have been analyzed, materialized and graphically represented. Moreover, historical market or stock related data and news may be analyzed through graphs and tables.

2.1.5        Advanced Risk Management Module 

Provides quantitative and qualitative Risk Measurement based on specific measures (VaR, Shortfall) based on a Modern Risk / Reward framework and using historical data. Moreover, it analyzes portfolio sensitivity on specific instruments rearrangement, provides stress testing and back testing capabilities.

2.1.6        Portfolio and Investment Optimization Module 

  • What – if scenarios and back testing
  • Investment Portfolio Optimization and Instrument Selection based on the CAPM and APT financial models, Markowitz and Risk/Reward theories, dynamic programming and Efficient Frontiers.

2.1.7        CRM Embedded Functionality Module

Automates all campaign management, customer care and service processes. Moreover, it provides user specific calendar and tasks organization In more details the following features are provided:

  • Account Management:
  • Fully automated workflow for customer account management process including list of pending actions related to required or optional documents, contracts etc.
  • Multiple contact details per account with capability of specifying different contact per action type (statement reporting, corporate action information, campaign etc) and / or communication channel (email, telephone, mail)
  • User / customer related calendar and tasks that have to be accomplished
  • Full communication history with customer and pending issues
  • Campaign Management: general or customer specific messages
  • Reporting and Statistics

2.1.8        Trading Fronts

There are three Trading Front applications covering every possible user requirement each of them targeting different user type and/or business need.  

  • Multiclient Windows Client: Traditional rich GUI thick client based on three tier architecture build upon Broker Systems Request Server COM+ Middleware. Provides full trading and portfolio management features with snapshot real time market data support, margin calculator, what-if analysis and advanced reporting, statistics and CRM functionality. Mainly suitable for internal users or branches. 
  • Simple WEB Front: Simple Trading and Portfolio Management Client with basic reporting and CRM functionality build upon WCF based request server API and Microsoft ASP.NET technology. Suitable for retail customers and branches.
  • Rich GUI WEB Client: Built upon Real Time SOA Middleware using Silverlight technology provides rich GUI user experience and streaming data consuming capability over the WEB. Provides advanced trading and portfolio management functionality with real time feedback for the status of orders and executions in the market and auto-portfolio updating and evaluation based on push (callback) model without the need of refreshing. Moreover, it provides streaming market feed data monitoring and analysis. Finally, has embedded CRM and reporting functionality. Is suitable for all type of users internal, branches or retail.  

The following table summarizes Trading Fronts’ Features: 

Front

MultiClient (Windows)

Simple WEB

(ASP.NET)

Rich WEB

(Silverlight)

Trading Functionality & Compliance

*

*

*

Dynamic Portfolio Management

*

*

*

Snapshot Market Data Support

*

*

*

Streaming Market Data Support

 

 

*

Streaming Market Data Feed Monitoring & Analysis

 

 

*

Historical and Financial Data Analysis

 

 

*

Advanced Risk Management

 

 

*

Portfolio Optimization

 

 

*

Basic CRM Functionality

 

*

 

Extended CRM Functionality

*

 

*

Basic Reporting

 

*

*

Extended Reporting

*

 

 

 2.2         Advanced Trading Support Module for Market Making and Smart Order Routing  

Broker System’s Advanced Trading aims to support trading, market making and smart order routing. In more details the system provides the following capabilities:

2.2.1        Strategy monitoring and adjustment

Aims in minimizing execution shortfall relative to a specified benchmark (VWAP, TPOV, TWAP). The system is able to monitor order execution comparing ideal trade trajectory planning based on a preselected benchmark to the real order execution. An order could be either a manually entered order or a FIX Care order coming through Broker System’s Ariadne FIX Engine. At this time the following strategies are currently supported:

  • Target % of Volume (TPOV): Participate with the volume at a user specified rate in order to match a percentage of the volume. In more details, target value dynamically adjusts to real time changes of volume in order not to exceed the specified percentage of the total executed volume in Market.
  • Time Weighted Average (TWAP): aims to execute trades evenly over a specified time period. A volume percentage can be also defined, serving as an upper limit for preventing the TWAP order comprising too much of the traded volume.
  • Volume Weighted Average (VWAP): Minimize the execution shortfall relative to intra-day VWAP. In order to achieve this we pre-calculate a historic stock volume distribution based on a moving window of the latest user defined number-day intraday data. Trade trajectory plan passively emulates this ‘reference’ distribution and do not respond to changes of intraday liquidity. In case of a Limit Order then MarketVWAP calculation take into consideration only trades above (Sell) or bellow (buy) that limit. Moreover, a volume percentage can be also defined, serving as an upper limit for preventing the VWAP order comprising too much of the traded volume.
  • Strategy change and Variable Limit Orders: Manual or limit based (VLO) are supported.

2.2.2        Execution Report Handling

The system is able to handle execution reports (either FIX or consecutive updates) taken into consideration both simple trades and packets allowing flexible management and what-if scenarios analysis. This module provides the following features:

  • Monitor and Analysis of real executions, average prices, total/partial quantities etc.
  • Manual or Auto (for FIX) Execution Report Management:
  • In case of FIX orders Auto is the default mode where executed trades are forwarded back through appropriate FIX execution report messages as they are received.
  • In manual mode the user is able to define a manual execution report based in real executions. In case of fix the user has the ability to send it through FIX.
  • Edit / Cancel an already sent execution (sent order bust for FIX)
  • Configurable Done For Day Messages (for FIX)
  • Packets handling and what – if – scenarios: Break the quantity of a real or imaginary packet to one or more working orders and run what-if-scenarios.

2.2.3        Smart Order Routing:

Route orders to alternative venues either based on pre configured rules or in order to take advantage of extra liquidity and reduce trading costs. Provides:

  • User defined route selection based on pre defined criteria set.
  • Auto route selection in order to achieve best execution of trades while minimizing market impact. In more details, the system automatically selects the best bid/ask price from all connected liquidity providers taking into account the depth of the market so you can benefit from each trading operation. It also enables venue prioritization based on transaction costs.
  • Consolidated Order Book: The system is able to maintain a multi market consolidated order book for specific symbols.
  • Compliance reporting : the system logs full order flow & lifecycle

2.3         Middleware

2.3.1        Request Server 

COM+ based Request Server is the heart of ANDROMEDA OMS responsible for routing and serving all client requests based on user’s access rights and authorization. Provides the following features:

  • Implements Trading and Portfolio management functionality
  • Provides access to the RDBMS
  • Encapsulation and centralization of the OMS business logic
  • Centralized control and rule enforcement for trade compliance and order acceptance based on company or law policies and regulations described in 3.1.2.
  • Interoperability with internal and third party systems as it forms a well documented API
  • Also provides access to XRHMA backoffice data
  • Large Scaling based on Com+

2.3.2        SOA Middleware with full duplex support 

WCF based middleware that provides the following features:

  • WCF Based trading API: A well defined, contract based wrapper upon Request Server containing all transactions related to trading and portfolio management.
  • Market feed & Notification Server: This module provides full duplex / push model support for real time streaming data.  Is responsible for receiving and retransmitting all data related with objects (topics) that should be auto – updated on the client. Such topics are orders and trades and data feed for specific instruments and news. Each client subscribes and listens to specific topics. Data related with orders and trades are received through connections with corresponding Gateways (FIX, ARENA, Sibiu etc). Moreover, there are adaptors for specific data feed providers such as ARENA, Sibiu, MorningSTAR (ex TenFore) etc.
  • Smart Order Routing: Implements smart order routing mechanism described in 3.2.3.

2.4         Connectivity Modules 

The following connectivity modules are provided:

2.4.1        Proprietary and FIX Trading Gateways  

Trading gateways provide market connectivity offering fully trading automation and order routing. More over are accompanied with centralized gateway configuration and monitoring applications with advanced logging capabilities. The following gateways are currently supported:

  • Proprietary Gateways: Currently ADEX/ATHEX for Greek/Cyprus and ARENA/SIBIU for Romanian equities and derivatives markets.
  • Ariadne FIX Engine: Supports all 4.X versions of FIX protocol for both incoming and outgoing DMA or Care orders even on the same channel. Provides a fully configurable and customizable set up able to cover every Rules of Engagement need.

2.4.2        Market Data Feed and News Providers  

Data feed providers are responsible of receiving data feed for prices, quotes and trades forming Real time Level 1 & 2 Market Data.  There are adaptors for stock exchanges such as ARENA, SIBIU or data vendors such as Morning Star (ex Tenfore) and others. Finally, news can be received through RSS or other proprietary adaptors (from data vendors). 

  • BackOffice feed synchronization: Backoffice feed sync is a module included in each adaptor aiming to receive all data feed information needed in either OMS or Back office. More specifically, it receives and updates closing volumes/prices, intraday trades or other related to all tradable symbols.

2.4.3        XRHMAConnect  

Provides synchronous, asynchronous or queue store and forward communication and interoperability with Bank Systems for money blocking (prenotations), balance reconciliation, debit and credits. Oracle AQ, MSMQ, IBM Websphere MQS, web services, MSMQ and WCF communication techniques are supported.

2.5         Overall Architecture, module interoperation and Order Flow diagrams 

The following diagrams depict overall architecture and module connectivity and interoperation and supported order flow of Andromeda OMS: