The function look_into_future in accounting systems or how to save $ 15?000
Once I worked in one investment management company. Before my team was set a trivial task - to make sure that the broker's reports had time to load before the opening of the next trading session. They came to us around 9:0? and the session opened at 10:00. Traders had to obtain relevant portfolios, otherwise their activities were blocked.
In general, it turned out that we had an hour. True, you need to take the time to prepare reports with a reassessment of portfolios for traders. Plus, you need to take into account that the broker could "be a little" late. And then our Back Office became the center of the universal Evil.
In general, every day began with straining. Middle Office had to come early to "shake out" reports from the broker, have time to download them and transfer them to Back Office, which was supposed to be in time to take into account and roll out current portfolios to traders. As I recall, I shudder.
Naturally, first of all, the means of optimization of accounting algorithms were considered. Complex transactions were rather slow. If I remember correctly those times, the broker's report on 1000 transactions was loaded and took about 5 minutes. If we take into account that there were a lot of portfolios, about 3? then it is easy to understand that in the allotted time we could not keep up (even considering that the load on portfolios went in parallel). This was somehow decided by priorities for downloading reports.
Optimization, in part, solved the issue. Our DBA together with system administrators has achieved a tangible increase. Again, if memory does not change, somewhere around 50% performance has been improved. But this, unfortunately, did not fundamentally solve the problem.
Further optimization led us to the renewal of iron. It was not all that simple. Our data center was built on the basis of HP hardware. And we rested then in the storage system, which worked together with a blade-basket. For the upgrade, a comprehensive upgrade was required, which was counted somewhere around $ 15?000. But the result the result was not very predictable.
But one day, there was a situation when the broker had his account system "dropped" (ie the Gateways worked, but he could not download the limits). We just could not start. Those. We clearly felt how much our business depends on the quality of the broker's IT service.
Reflecting on the situation, I began to sink into the very process of interaction between the MC and the broker. And I had the idea that we can calculate all the parameters of the transaction ourselves, even before the broker sends us a report.
Naturally, we have concluded contracts for the maintenance of funds. In these contracts conditions are prescribed. I was interested in the% commission and the procedure for its accrual.
Further, it was necessary to receive transactions online. Here we were helped by Quik who provided a product like Quik Export. He unloaded our transactions into the specified table in MS SQL Server.
As a result, in the prototype we created a subsystem that online provided us with brokerage data for stock transactions. Unexpected remained only off-exchange. But the volume of OTC transactions we had was scanty.
After the prototype was tested by daily reconciliation with the broker's report, a decision was made to implement this technology.
Now, we are online (T0) downloaded transactions into the accounting system and immediately held them. In the morning all the same broker's reports came. But, now they did not load, and reconciliation was carried out on them, which reduced the time in 1000%, and the main thing did not stop the processes. And, it already went in the automatic mode. If the system determined the discrepancy, she sent a letter to Back Office, Middle Office and IT. This was already considered an incident, which was resolved accordingly.
What we got:
A very close to reality assessment of the portfolio in real time;
Control over the structure and composition of the asset in accordance with the model portfolios and requirements of the FSFM;
Significantly reduced the requirements for the system and infrastructure for productivity;
Additional mechanism for controlling the broker;
Conditional autonomy from the broker, even in the event that the accounting system of the broker "collapsed";
Significantly saved the means and time of the company.
I decided to expound my experience because later, this approach, in one form or another, came in handy many times. I do not pretend to be innovative. But, perhaps, it will be useful to someone else.
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