For more information about Luxoft, visit www.luxoft.com www.luxoft.com/financial-services/
case study 13.09.2012
Risk Trade Profit & Loss System Summary Develop a system to monitor risk trade activity, providing real-time profit and loss (P&L) reporting against the market data for use by the bank’s traders and front office
uu Client: A top ten global investment bank uu Business Area: Multi-Asset Class Trading, Risk Management, Front Office uu Asset Classes: Equities uu Technology Set: Oracle, Java, Hibernate, .NET, XML, Proprietary messaging library uu Integration: Reuters, data warehouse, single stock and portfolio order management applications, pricing data system, static data storage uu User Profile: Traders and sales traders, front office (100+ users) uu Geography: Europe uu Relationships Status: Ongoing ODC, T&M uu Services Provided: Full cycle: Business analysis, Development, QA/Testing, Maintenance with Production support uu Team Size: 3 team members uu Duration: 2+ years
Business Challenge To increase risk trade profitability and trader performance, the bank began an initiative to develop a real-time, pre-trade P&L calculation system to support privileged client requests for equity trading. The high-level business objectives for the new system included: uu Increase profitability by calculating P&L against real-time market data for improved trade analysis uu Decrease trader bias through systemization of the calculations and analysis reporting uu Increase performance by automating the market data feeds uu Improve organizational efficiency and reduce operational costs through integration with downstream trading systems
Luxoft Delivered Solution Luxoft’s development team gathered the business requirements and replaced the existing MS Access application with a three-tier system architecture that would support all of the business objectives, as well as providing an infrastructure for improved stability, performance, and maintenance. The system developed to calculate risk trade profit and loss included functionality that exceeded the bank’s minimum requirements. Luxoft’s system provided the bank with the following key features to support and enhance their risk trade business: uu Automated, real-time capture of risk trades for the bank’s clients uu User interface to manually extend of trade data, if needed uu On-request calculation of P&L using VWAP data retrieved from the pricing server uu Automated calculation of VWAP value estimates for using current market price uu Flexible, real-time reporting services for the available trade information and calculated P&L values uu Integration with the bank’s upstream and downstream trading systems uu A robust three-tier application with dynamically updated C#.NET frontend, Java middle-tier, and Oracle database uu A single sign-on (SSO) security subsystem Luxoft - Case Study
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Figure 1: Risk Trade P&L System Architecture
VWAP
DATA FEEDS
DWH
ASSETS, FX RATES
DB
MIDDLE TIER
GUI
EXECUTION EOD EXTRACTS
Benefits Luxoft’s solution provided the bank’s risk trade business with the following benefits: uu Enhanced trader performance with a robust and flexible analysis and reporting tool uu Improved operational efficiency through integration with external market data and internal bank systems uu Significantly improved system stability and data integrity uu Improved system performance to reduce the risks caused by data processing delays uu Enhanced security with the introduction of an SSO model uu Enhance profitability opportunities with real-time, automated reference data maintenance
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Luxoft - Case Study
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About luxoft
Luxoft, a principal subsidiary of IBS Group, is a provider of advanced application and software engineering outsourcing services for global and regional enterprises. Luxoft builds partnerships with its clients, such as Boeing, IBM, Deutsche Bank, UBS, Harman, Avaya, Alstom, and Sabre, based on the culture of engineering excellence, innovation, and deep domain expertise. Luxoft offers international delivery capability through its network of state-of-the-art delivery centers in North America, Eastern Europe, and Asia. Luxoft`s customers benefit from the right mix of technology skills, industry knowledge, proprietary processes and methodologies, and a choice of engagement models. For more information about Luxoft, visit www.luxoft.com www.luxoft.com/financial-services/
Š 2012 Luxoft