Overview: Front Arena

Front Arena Your Intelligent Engine

Overview: Front Arena PRIME 2018.2 Refer to the Front Arena Knowledgebase for a complete list of valid releases.

FCA3598-12

June 2018

Notices

Copyright Copyright © 2018. By Fidelity National Information Services (FIS).

FIS, the FIS logo, and Front Arena are trademarks or registered trademarks of FIS, or its subsidiaries in the U.S. and other countries. All other trade names are trademarks or registered trademarks of their respective holders.

This document and the software described within are copyrighted with all rights reserved. No part of this document may be reproduced, transcribed, transmitted, stored in an electronic retrieval system, or translated into any language in any form by any means without prior written permission of FIS. FIS makes no warranties, express or implied, in this document. In no event shall FIS be liable for damages of any kind, direct or indirect, arising out of the use of this document or the information contained within.

Confidentiality statement This document contains information that is confidential or proprietary to FIS (or its direct or indirect subsidiaries). By accepting this document, you agree that: (1) if there is any pre-existing contract containing disclosure and use restrictions between your company and FIS, you and your company will use this information in reliance on and submit to the terms of any such pre-existing context; or (2) if there is no contractual relationship between you or your company and FIS, you and your Company agree to protect this information and not reproduce, disclose, or use the information in any way, except as may be required by law.

Disclaimer The screens and illustrations are representative of those created by the software, and are not always exact copies of what appears on the computer monitor. Companies, names, and data used in examples herein are fictitious unless otherwise noted. The material in this document is for information only, and is subject to change without notice. FIS reserves the right to make changes in the product design and installation software without reservation and without notice to users.

Supplementary legal notice for product documentation Any information expressed in this document regarding standard practice or conventions in financial markets or in the administration or functioning of banks is included to provide context to information provided about our products and services and thereby clarify how these products and services function. Such information is expressed in good faith but FIS accepts no liability for its accuracy or validity. Users are responsible for verifying the validity and accuracy of such information to their own satisfaction.

Products belonging to third party suppliers other than FIS or its subsidiaries are mentioned in this document only as information to the reader and are not to be regarded as specific recommendations. FIS or its subsidiaries does not guarantee the quality of these products, their performance, or their usage for any special purpose.

Contents 1 ....... Introduction................................................................................................................................... 5

1.1..... What is Front Arena? ........................................................................................................... 5

1.2..... FIS and Front Arena ............................................................................................................ 6

1.3..... Support, services, and processes ........................................................................................ 6

2 ....... Overview of system architecture – An introduction to Front Arena's main components .... 8

2.1..... Main components ................................................................................................................. 9

2.1.1 .... ADS ........................................................................................................................ 9 2.1.2 .... ADM / ADM Database ............................................................................................ 9 2.1.3 .... PRIME ..................................................................................................................10 2.1.4 .... ARENA PACE Server (APS) ................................................................................11 2.1.5 .... OMNI ....................................................................................................................11 2.1.6 .... Front Arena Online Trading ..................................................................................11 2.1.7 .... ARENA WEB ........................................................................................................11 2.1.8 .... AMS ......................................................................................................................12 2.1.9 .... Price feeds ............................................................................................................13 2.1.10 .. TNP .......................................................................................................................13

2.2..... Integration to external systems, development, and customisation ....................................13

2.2.1 .... ARENA Integration Framework for FIX (AIF for FIX) ...........................................14 2.2.2 .... Middleware – AMB and TAB ................................................................................14 2.2.3 .... ARENA Extension Framework (AEF) / Open APIs ..............................................15 2.2.4 .... FAWSBridge – Front Arena Web Services Bridge ...............................................15 2.2.5 .... Transporter ...........................................................................................................15

3 ....... Key technical and data maintenance features ........................................................................16

3.1..... Performance .......................................................................................................................16

3.2..... Security and control ...........................................................................................................17

3.3..... Administrative tools in PRIME ............................................................................................18

3.4..... Grouping and categorisation of data in PRIME .................................................................18

3.5..... Business Data Processing (BDP) ......................................................................................20

3.6..... Reporting ............................................................................................................................21

3.7..... Trade allocation..................................................................................................................21

4 ....... Key functionality in PRIME ........................................................................................................22

4.1..... Position management and Trading Manager .....................................................................22

4.2..... Cross-asset pricing and valuation ......................................................................................22

4.2.1 .... Fixed Income (FI) and Interest Rate Derivatives (IRD) ........................................22 4.2.2 .... Credit and Credit Derivatives ................................................................................23 4.2.3 .... Equity and Structured Equity ................................................................................23 4.2.4 .... Foreign Exchange (FX), Money Markets (MM), and FX Derivatives ....................23 4.2.5 .... Commodities, Precious Metals, and their derivatives...........................................23 4.2.6 .... Structured Products ..............................................................................................24

4.2.7 .... Convertibles ..........................................................................................................24 4.2.8 .... User-Defined Monte Carlo engine ........................................................................24

4.3..... Risk management ..............................................................................................................24

4.4..... Cash management .............................................................................................................25

4.5..... Limit management .............................................................................................................25

4.6..... ARENA Credit Limits ..........................................................................................................25

5 ....... Key electronic trading features ................................................................................................26

6 ....... Integration / connectivity – Multi-market support ...................................................................28

7 ....... Operations / BO ..........................................................................................................................29

7.1.1 .... Confirmation and settlement .................................................................................29 7.1.2 .... SWIFT ...................................................................................................................29 7.1.3 .... Sub Ledger ...........................................................................................................30 7.1.4 .... Front Arena Accounting ........................................................................................30

Overview: Front Arena (FCA3598-12)

1 Introduction 5 of 32

1 Introduction This document is intended as a starting point for anyone who wishes to find out about Front Arena.

• Managers implementing or running Front Arena • Users from front, middle, and back offices • Developers working with customisation, extension, and integration • Application and system managers and IT staff

There are references to relevant and related documentation throughout this document.

1.1 What is Front Arena? Front Arena is a cross-asset, real-time, front-to-back solution for all organisations trading in global Capital Markets. The solution offers order and execution management (including internalization), sales, trading and market making, pricing, position and risk management, operations, and online trading functionality across all asset classes.

In short, Front Arena offers:

All trading activities in one application

• Full market connectivity lets you access the world's leading exchanges and communications networks, order routing networks and online broker trading services.

• Exchange co-located quote servers and purpose built exchange connections ensure low latency, fast re-quoting, and the best executions.

• The internal market provides a combined view of all external markets, incoming orders, and internal quotes from proprietary trading, and can be used as a second market place for OTC instruments or own issued products.

See also section 5 Key electronic trading features, and 6 Integration / connectivity – Multi-market support.

Complete cross-asset coverage

• Front Arena covers more than 220 instruments from vanilla exchange-traded through to complex OTC structures. All asset classes are traded within a single architecture.

• State-of-the-art valuation frameworks for representation of financial products – or your own plug-in custom valuation models.

• Specialised pricing libraries for convertibles and mortgaged-backed securities. • Real-time and consistent pricing and valuation across asset classes, including solver

functionality for implied volatility, implied spreads, and so on. • Transparent drill-down and aggregation – sort, group, and aggregate trades, cash flows,

positions, and profit & loss views by any attribute in the data model. See overall exposure and break it down into the exposures from each component.

See also section 4.2 Cross-asset pricing and valuation.



Full trade lifecycle management

• Front Arena offers automation at every point from execution through to settlement, with STP architecture, and low latency. All configurable and in real-time across all asset classes with visualization of flows.

A scalable and extendable technology platform that can be implemented across the entire business, or for a dedicated purpose

• Single data source – one data model across OTC and exchange-traded activities. • Out-of-the-box integration framework – full STP integration between Front Arena and other

internal systems in real-time or batch. • ARENA Extension Framework – Extension points for integrating in-house models

customising calculations, fees, limits, compliance, and business process control. • Intranet reporting – automatically generate customisable reports in any format. • Run multiple servers, grids, and so on, for calculations to enhance performance.

See also section 2 Overview of system architecture – An introduction to Front Arena's main components and 3 Key technical and data maintenance features.

1.2 FIS and Front Arena For more information about FIS, visit www.fisglobal.com.

1.3 Support, services, and processes

Knowledgebase – Kbase Knowledgebase or Kbase (https://kbase.frontarena.com) is a website of on-line resources for Front Arena featuring bulletins, documentation, videos, release plans, release notes and software downloads. Kbase is an essential source of information for developers, managers, end-users, application managers, system managers, developers, and IT staff.

Kbase is made available to customers, authorised partners, FIS employees, and subcontractors. To apply for a Kbase login see https://kbase.frontarena.com/Apply.

Support FIS provides global Front Arena support through regional helpdesks. For more information, contact Front Arena Client Services at https://kbase.frontarena.com/Contact.

Release strategy and software downloads Find releases and downloads at https://kbase.frontarena.com/Software. The Front Arena release strategy is outlined at https://kbase.frontarena.com/ReleaseOverview.

Documentation There are more than 10 000 pages of documentation in the Kbase at https://kbase.frontarena.com/Documents. Full text search across all documents is supported. Or you can browse by title, publication date or document ID (FCA reference).

Hardware and software requirements For a guide to the hardware and software requirements of Front Arena, refer to System Administration: Hardware and Software Guide (FCA1129).

http://www.fisglobal.com/

https://kbase.frontarena.com/

https://kbase.frontarena.com/Apply

https://kbase.frontarena.com/Contact

https://kbase.frontarena.com/Software

https://kbase.frontarena.com/ReleaseOverview

https://kbase.frontarena.com/Documents



Trading University A programme of courses, held in a variety of locations across the world, is available at www.sungard.com/TradingUniversity (or contact [email protected]). The courses may be taken individually or as part of a program leading to certification. Custom courses can also be tailored to suit individual learning requirements.

Developer certification Certification programs for the Arena Extension Framework (AEF) are designed to support developer customisations in Front Arena.

The certification program structure contains several areas. The basic parts are referred to as AEF Base. Other areas for which additional training is required are called AEF Advanced.

Note: Certification in AEF Base is required to get support from Client Services in connection with AEF Base tools and technologies.

Refer to Overview: ARENA Extension Framework (FCA2736) for details about licensing, usage policy, and entitlement to support.

Consultancy, upgrades, projects FIS's Front Arena Professional Services (PS) team (formerly Capital Markets Services, CMS) provides implementation and upgrade services, and can assist you from planning to production. Contact PS on [email protected] or: https://www.sungard.com/solutions/trading-network-services/services

http://www.sungard.com/TradingUniversity

mailto:[email protected]

http://financialsystems.sungard.com/solutions/trading-network-services/training/university/certification/aef/aef-base

http://financialsystems.sungard.com/solutions/trading-network-services/training/university/certification/aef/aef-advanced


https://www.sungard.com/solutions/trading-network-services/services


2 Overview of system architecture – An introduction to Front Arena's main components 8 of 32

2 Overview of system architecture – An introduction to Front Arena's main components This section gives a basic understanding of the overall system architecture and how the main parts of Front Arena fit together.

Front Arena is a client-server system consisting of more than fifty components; only the main components (or component groups) are explained here.

For more information, refer to: Front Arena Glossary (FCA1249), direct link https://kbase.frontarena.com/Glossary. This document provides an overview of all components, related terminology, and the acronyms used in Front Arena. Overview: Front Arena System Architecture Diagram (FCA1463). This document provides a visual diagram of all Front Arena components.

Figure 1: Visual diagram of Front Arena's system architecture.

https://kbase.frontarena.com/Glossary



2.1 Main components The main components are:

2.1.1 ADS The ARENA Data Server (ADS) caches data such as trades, market data, static data, user data (all data except historical prices), handles subscriptions, provides storage services, and contains the main central database of the system, the ADM Database.

For more information, refer to: System Administration: ADS (Solaris and Linux) (FCA1264) User Guide: ADS Audit Tool (FCA1012) System Administration: ADS (Windows) (FCA1327)

Key feature The business logic and data model are separate from the server technology so that there is no need to change the ADS if new tables or new calculation methods are introduced.

2.1.2 ADM / ADM Database The ADM Database (where ADM stands for ARENA Data Model), is a relational database where the Trade and Instrument tables are separated. There is one Instrument table for all instrument types, enabling the development of consistent calculations and business logic.

For more information, refer to Reference: ADM (FCA4384). This document provides information about ADM tables, columns, relationships, keys, indexes, and enumerated values.

Data model

Figure 2: The main tables in the ADM (served to Front Arena Clients by the ARENA Data Server, ADS).

Important tables are:

• Instrument – contains generic instrument data such as name and currency. A stock, for example, will be completely described by a single row in this table. Currencies are modeled as instruments.

• Trade – stores all trade related data such as the traded quantities of instruments, together with the price, premium, counterparty, and so on. Note that a trade record will always be linked to an instrument record, even when it is a one-off OTC deal. 'Trade Key' fields can be customized.



• Additional Info – stores custom data in connection with most of the normally used tables. For example, non-standard features can be added to instruments, which are then used in custom valuation.

Adding a custom additional info field

• ChoiceList – Drop down lists in PRIME can be customised if they are stored in this table. Choice Lists can also be used to connect coded items such as custom valuation functions to selections made by the user.

2.1.3 PRIME PRIME is a cross-asset desktop application component seen by the end user. It is a client to ADS and AMS, and contains most of the business logic of the system. It is a rich client provided in a Microsoft Windows environment.

Calculations are performed in PRIME (rather than in the ADS), permitting users to tailor and simulate all calculations and parameters to suit their needs without affecting other users (see also Position management and Trading Manager). Subscribed data and calculated values are cached and reused so that calculations and requests to the ADS are not repeated unnecessarily.

To increase performance and scale on hardware PRIME is enabled for distributing processing. When enabled, the heavy work is distributed to any number of worker processes on your machine or on a server via the APS (Arena PACE Server). For more information, refer to System Administration: Distributed Processing using PACE (FCA4619).

For more information, refer to: System Administration: PRIME (FCA1086). This document provides information about installing and maintaining PRIME. PRIME Help (FCA1260) and Overview: PRIME (FCA4492). These documents provide comprehensive information about PRIME.

ATS There is a server version of PRIME that allows business logic to be provided as a service, the ARENA Task Server (ATS). The ATS can be thought of as a PRIME client minus the user interface.

For more information, refer to System Administration: ATS (FCA2799).



2.1.4 ARENA PACE Server (APS) The PACE technology provides parallel processing of asynchronous tasks in Front Arena. Currently this technology is applied mainly for PRIME to improve performance and scalability by enabling distributed processing of demanding calculation tasks.

Key benefits in PRIME:

• Responsive GUI under any load • Scale out to server hardware • Share calculations and thus save hardware • Dramatically speed up start up and recalculations of heavy sheets • Applies to live sheets as well as reporting

Using distributed processing generally improves performance in Trading Manager sheets. When using distributed processing, processing is distributed to sub-processes known as workers. With multiple processes the hardware is generally utilized in a better way. With the help of an ARENA PACE Server (APS), worker processes can be placed on servers. This gives the user access to significantly more computing power.

For more information, refer to System Administration: Distributed Processing using PACE (FCA4619).

2.1.5 OMNI OMNI is a client to AMS and provides trading in connection with Sales and Order Routing.

For more information, refer to: OMNI Help (FCA2404) describes OMNI fields and windows. This help file is also delivered as context-sensitive help with OMNI. System Administration: OMNI (FCA1312) User Guide: OMNI Excel Import (FCA3961) Overview: Equity Institutional Sales (FCA1382) provides an overview of how OMNI can be used for institutional orders, including sales orders, sales managed orders, FIX orders, and indication of interest (IOI) orders. User Guide: Charges in OMNI (FCA3451). This document describes how to use OMNI to support charges.

2.1.6 Front Arena Online Trading Front Arena Online Trading (FAOT) is a Front Arena server component, which together with the FAOT Web Client form a client/server system for handling orders and trades in an electronic exchange. The necessary market access is provided by the ARENA Market Server (AMS) component.

For more information, refer to: Overview: Front Arena Online Trading (FCA4242) User Guide: Online Trading (FCA4243) System Administration: Front Arena Online Trading Data Management (FCA4239) System Administration: Front Arena Online Trading User, Group and Account Properties (FCA3997) describes the user properties that can be applied to users and property groups in FAOT, and how to upload user properties.

2.1.7 ARENA WEB ARENA WEB is FIS’ Front Arena technology for accessing real-time position and risk information on desktop web browsers and mobile devices. By opening applications within a web browser, Front Arena users can view information such as portfolio P/L without having to start a



full Front Arena desktop application. ARENA WEB requires no web development, since it is configured using standard Front Arena applications and extended through AEF.

For more information, refer to Installation: ARENA WEB (FCA4875).

2.1.8 AMS ARENA Market Servers (AMS) is a suite of components that provide connectivity to electronic trading exchanges.

AMS is the generic name for AIMS, AMAS, AMSC, and RAMSA (explained below).

For more information, refer to: Overview: Introducing AMS Components (FCA1318) User Guide: AMS Management (FCA4520) System Administration: AMS Maintenance (FCA1189) System Administration: AMS Maintenance Tools (FCA1319) User Guide: AMS Extract Tool (FCA3947)

AIMS (also called IM) The ARENA Internal Market Server (AIMS) is a server for order management. A Front Arena installation typically has a single AIMS.

An internal market can be used as the hub of a network of external markets. This makes it possible to work with many markets from one client application (PRIME, OMNI) and create a flow of orders and deals between these markets and the client.

An internal market can be viewed as a temporary storage area for orders, but it can also act as a marketplace in its own right, where instruments can be defined and matches performed. There is usually only one internal market within a Front Arena system.

For more information, refer to System Administration: AIMS (FCA1238).

AMAS / Market servers The ARENA Market Access Server (AMAS) is a server with an interface to an external market (an external market server). A Front Arena installation can have many AMAS components, one for each external market.

Market access in Front Arena is based on client/server architecture. The clients are OMNI, PRIME, and SOFTBROKER. This is where end users can view incoming data and issue requests.

The functionality includes a wide range of tasks including the following:

• Connecting to the market or exchange • Entering and deleting orders • Keeping order books • Order management and deal capture • Controlling order flow • Capturing information about deals or trades from the exchange • Report trades for a market • Communicating with host or back-office systems

Electronic exchanges (such as Eurex and Xetra) are referred to as external markets, within the Front Arena software and throughout Front Arena Knowledgebase. Sometimes, the acronym EM is used.

See section 6 Integration / connectivity – Multi-market support.



AMSC The ARENA Market Server Concentrator (AMSC) – an optional server to reduce the load on AMAS and AIMS, and to enhance performance on slow or remote connections.

For more information, refer to System Administration: AMSC (FCA1317).

RAMSA The Real-time updated ARENA Market Server Archive (RAMSA) are used for archiving orders and deals.

For more information, refer to System Administration: RAMSA (FCA4534).

2.1.9 Price feeds

APH Market rates from external systems can be fed into Front Arena from a variety of information sources such as Reuters, Bloomberg and MarketMap. This is controlled by the APH (ARENA Price Handler) and the price link definitions set up in the system.

Note that APH 2.x.x is on a new modular architecture based on producers and consumers. Producers are price producers (ReutersModule/BloombergModule) and consumers are price consumers (ADSModule/TNPServerModule).

1. In APH-Reuters, it is ReutersModule loading RFAProvider and connects to a Reuters TREP service using RSSL infrastructure to feed prices from Reuters, these prices can then be forwarded to ADS through the ADSModule or to AMAS-FIX through the TNPServerModule depending on the flow selected.

2. In APH-BBG 2.x.x, it is BloombergModule loading BloombergProvider and connects to a Bloomberg SAPI (the new SAPE) or MBPIPE service to feed prices from Bloomberg. These prices can then be forwarded to ADS through the ADSModule or to AMAS-FIX through the TNPServerModule depending on the flow selected.

APH can also receive price information from AMAS FIX.

For more information, refer to: System Administration: APH (FCA1386) System Administration: APH (2.x) (FCA4800)

AMPH The ARENA Market Price Handler (AMPH) transfers real-time market prices directly from any AMAS to PRIME (through the ADS).

For more information, refer to System Administration: AMPH (FCA1375).

2.1.10 TNP Clients and AMS components communicate using Transaction Network Protocol (TNP), a Front Arena protocol for transaction handling built on top of TCP/IP.

For more information, refer to Developer Guide: TNP SDK (FCA1110).

2.2 Integration to external systems, development, and customisation It is possible to integrate Front Arena to internal and/or external systems by means of the Front Arena components AIF for FIX and AMB/TAB. There are also many extension points in the logical architecture of Front Arena that make it possible to modify default functionality, all part of the so-called ARENA Extension Framework (AEF). For an overview of how it is possible to



integrate to Front Arena, or connect Front Arena to other systems and software, refer to https://kbase.frontarena.com/templates/page.asp?id=0076.

2.2.1 ARENA Integration Framework for FIX (AIF for FIX) FIX is a protocol standard often used in the finance industry. With FIX-compatible systems it is possible to deliver integrations with minimum effort and rapid time-to-market. There are two components handling FIX connectivity:

• AMAS for FIX (AMAS FIX) Toolkit – For connecting (integrating) to any execution venue (broker, exchange, dark pool, or ECN). Enter outgoing orders and receive incoming trades from any FIX-based system or market.

• ARENA FIX Gateway for FIX (AFG) Toolkit – For receiving FIX orders from any FIX-enabled system, and reporting them back to the sender as trades (for example between a bank and their institutional customers).

AIF for FIX comes with documentation, training, and templates that enable a financial institution's staff to completely integrate and maintain their own FIX integrations to Front Arena.

For more information, refer to: System Administration: AMAS-FIX for AMAS-FIX Toolkit2 (FCA4470) System Administration: ARENA FIX Gateway (AFG) (FCA4157)

2.2.2 Middleware – AMB and TAB In versions prior to 2017.2, there was one principal middleware layer in Front Arena, the ARENA Message Broker (AMB). It is (was) used to connect Front Arena components to each other and to external systems to provide or retrieve data, or to interact with other systems. This integration between AMS (TNP) and ADS (ADM) was done using the XMBA>AMB>AMBA components. The XMBA (eXchange Message Broker Adapter), connected to an AMAS or AIMS, processed Instruments or Trades forwarding these to AMB from where they were read by AMBA (ARENA Message Broker Adapter).

With TAB, the component chain AMS (AMAS/AIMS) > XMBA > AMB > AMBA > ADS is replaced with one single component, where all mapping can be done in one place using Python, with access to the TNP message, the Exchange message, the AMB message, and with ACM. TAB also allows customers to use old AMBA-hooks or old TTT files, if preferred during a migration period.

One TAB instance can process Instrument, Trade, and other Position-related messages (and basically any other message), even from multiple AMASes. It can be deployed as standalone, or as a module within AMAS or AIMS. In addition, TAB can be configured to transfer data not only from TNP to ADM but also in the other direction using ADM data to enrich TNP data objects.

It is also possible to connect using proprietary-built adapters (customer-developed interfaces) to external systems.

For more information about TAB, refer to System Administration: TAB (FCA4853).

For more information about AMB refer to: Overview: AMB (FCA1130) Developer Guide: AMB SDK (FCA1132) System Administration: AMB (Solaris and Linux) (FCA1131) System Administration: AMB (Windows) (FCA1388)

For more information about AMBA refer to: System Administration: AMBA (FCA1133) Developer Guide: AMBA Integration (FCA1483)

https://kbase.frontarena.com/templates/page.asp?id=0076



For more information about XMBA refer to: System Administration: XMBA (FCA1410) Developer Guide: Exchange Message Broker Adapter Integration (FCA1411)

2.2.3 ARENA Extension Framework (AEF) / Open APIs Front Arena is a fully functional out-of-the-box software solution with standard reports and over 2000 built-in columns. However, if so required it is possible to configure the system without the need for programming, by, for example, setting up new worksheets for reporting or using Additional Info to extend the data model. It is also possible to extend the system by using AEF (techniques based on programming). Use AEF to extend (or adapt) Front Arena to suit your organisation's needs. You can for example:

• Offer the ability to sell financial products unique for your organisation through AEF for Proprietary Valuation and AEF for UDMC (which is an add-on to the User-Defined Monte-Carlo engine allowing you to implement structured products valuation for which no analytical solution is known).

• Aid your organisation's business work flow by using AEF for GUI Customisation, AEF for Reporting, and AEF for Business Data Maintenance.

AEF includes rich documentation and training, has a well-defined API which Front Arena aims to keep stable over versions, is built using open-source software (Python), and uses scripting instead of binary APIs to reduce dependency on specific versions.

For more information, refer to: Fact Sheet: Extensibility (FCA4374) Overview: ARENA Extension Framework (FCA2736) Developer Guide: AEF Basic Extensions (FCA3724)

Note that there are reference documents for AEL to ACM mapping, AEF Browser standalone version, and so on. There are also Developer Guides for ARENA Data Flow Language (ADFL), ARENA Class Model (ACM), ARENA SQL (ASQL), AEF Python, AEF for UDMC, AEF for Proprietary Valuation, AEF Performance, Integrating PRIME with a Grid, ACM, .NET, and so on.

2.2.4 FAWSBridge – Front Arena Web Services Bridge ARENA Web Services is an integration bridge for Web Services interfaces in and out of Front Arena. The web services data is passed directly to/from the AMB in a pub/sub fashion, where data mapping and translations can be performed in either the AMBA or on a standalone ATS, with the ability to perform ADS-based lookups.

The data definition of information passed, an xsd, can be based on the foreign data model or the ADM. There are no default xsd:s provided. Monitoring and logging is built-in, as well as some extension points for control and modification.

For more information, refer to User Guide: ARENA Web Services (4936).

2.2.5 Transporter The Transporter package allows the exporting, importing, and deleting of ADS objects from a GUI within PRIME. This is typically used to transport objects between two ADSes, for example for developed solutions from the DEV system to PROD.

For more information, refer to User Guide: Transporter (FCA4530).


3 Key technical and data maintenance features 16 of 32

3 Key technical and data maintenance features This section provides information specifically relevant to system or application managers.

3.1 Performance

Distributed calculations PRIME side Front Arena features several performance-enhancing technologies for server side and distributed calculations. Most important among these is the proprietary Front Arena PACE technology by which it is possible to distribute calculations to a large number of calculation workers. Multiple users can share workers and reuse calculations, which makes the solution memory and CPU efficient.

We strongly recommend that PRIME is run in distributed mode for best possible performance.

For more information, refer to: System Administration: Distributed Processing using PACE (FCA4619) System Administration: APS (FCA4677)

Integrating PRIME with a calculation grid If you integrate your own heavy calculation models in PRIME, you might want to complement the distributed processing using PACE with an integration to an external grid.

For more information, refer to Developer Guide: Integrating PRIME with a Grid (FCA4540).

Clustering and scaling All components are scalable and can be clustered, allowing for load balancing in many dimensions. This includes ADS, AMB, AMBA, AMS, the Price Feeds, as well as the client applications – having clients doing different heavy work on different machines.

For more information, refer to: Fact Sheet: Performance (FCA4395) Fact Sheet: Performance Verification (FCA4507)



3.2 Security and control

Front Arena Security (FAS) – User authorisation Front Arena Security (FAS) supports Microsoft's Active Directory, CyberSafe's TrustBroker, and open source MIT Kerberos.

For more information, refer to: System Administration: Kerberos Authentication (Solaris and Linux) (FCA2602) System Administration: Kerberos Authentication (Windows)

Users and User Profiles – Controlling access and data Once a user has been authenticated, it is possible to control what the user is authorised to access and execute in the system.

Different user profiles can be created, and many user profiles can be assigned to each user. Users are members of a group and groups are members of an organisation. It is possible to have many organisations.

Access to Front Arena is controlled through several user profile parameters, for example:

• Application –By restricting access to applications, the system is secured and the number of applications visible to the user is reduced.

• DBObject – Determines who has create/read/write/delete access to different database records. For example, some users may be given access to the entire instrument table whereas others may be limited to instruments of type 'Bond'; or access to one particular yield curve may be limited to one individual whereas yield curves in general are accessible to a broader group.

• Operation – determine who has access to tasks such as BO Confirming or Voiding trades, perform Mark-to-Market, Circumvent limits, and so on. Custom operations can be created.

Four Eyes control Top-level database objects can be protected so that if, for example, a user updates a party definition or yield curve, the update will not be committed to the database until authorised by a second user.

Transaction History – Comprehensive audit tool Every database record that is inserted, updated, or deleted is saved with before- and after-values in an audit log. There is a tool for searching this audit log which can be used to retrieve large reports spanning the entire user base or return results focusing on specific records, users, time frames, and so on.



3.3 Administrative tools in PRIME There are numerous administrative tools accessible from the PRIME client. The PRIME Administration Console provides access to several settings fundamental to the operation of the system.

For example, you can edit user profiles, define Valuation Parameters, and specify Accounting Parameters to determine how accounting and economic profit and loss should be calculated.

Tools for monitoring servers, for example Monitoring Console and Server Monitor Console, are also found in PRIME.

3.4 Grouping and categorisation of data in PRIME

Portfolios and Trade Filters Apart from being linked to an instrument, trades are normally assigned to a physical portfolio. With Trade Filters, it is possible to dynamically categorise trades by any field in the Trade table.

Insert Items Insert Items is a very powerful tool for filtering and defining various types of data selections in PRIME. Users can, for example, easily insert selections of data into a Trading Manager sheet by using this functionality.



Trading Manager grouping By right-clicking in the PRIME Trading Manager you can group on any value in the data model and see a group of trades aggregated into one row. Chained groupers (tree structures) can easily be created and grouping can also be done against any custom or built-in methods.

PRIME comes with pre-defined groupers, but you can also define your own groupers. Example groupings include Counterparty, Currency, Trade Acquirer, and Underlying.

Figure 3: Right-click on a row in PRIME Trading Manager and select Group to view possible grouping criteria.

Instrument alias types There is a range of standardised instrument aliases defined in the system to categorise instruments. Alias names can be used to reduce the need for customisation, when for example developing interfaces.



3.5 Business Data Processing (BDP) BDP is the collective name of all the functionality necessary to maintain the database from a business perspective.

BDP scripts (and any other scripts for that matter) can be scheduled to run according to a predetermined schedule, for example to archive trades on the first day of every month.

For more information, refer to Overview: BDP Business Data Processing (FCA2324). This document provides an overview of BDP functional areas, how to install, configure, and upgrade BDP functionality, and how to schedule, execute, customise, and rollback BDP scripts.

Fixing procedure From the Fixing Sheet in Operations Manager it is possible to view all resets and manually or automatically perform fixings. The BDP Fixing procedure lets you schedule and automate the fixing procedure.

For more information, refer to Data Management: BDP Fixing (FCA3765).

Mark-to-market and historical valuation Prices, rates, and so on, are stored daily during the mark-to-market procedure. Valuation data such as volatilities, yield curves, and so on, are stored using Valuation Parameter Storage (VPS), a BDP component enabling historical valuation.

For more information, refer to Data Management: BDP Mark to Market (FCA1813), which provides information on saving mark-to-market prices to the ADM Database for all traded instruments in PRIME.

Corporate actions and capital adjustments Positions and instruments should be adjusted as a result of corporate actions and capital adjustments.

For more information, refer to Data Management: BDP Corporate Actions (FCA1817).

Figure 4: Running a corporate action script.



Expiration handling and exercise/assign/abandon Positions should be maintained as a result of expiration.

For more information, refer to: Data Management: BDP Exercise and Assignment (FCA1815) describes how to automatically exercise, assign, and abandon positions and/or trades. Data Management: BDP Instrument Expiry (FCA2299) provides information on how to handle expired instruments in PRIME.

Clear profit and loss Profit and loss should be cleared at certain intervals, normally at year end.

For more information, refer to User Guide: Clear Profit and Loss (FCA1818). This document provides information on how to clear all profit and loss values at a certain date.

Delete data – Prices and trades As data accumulates in the database, it should be removed to optimise performance.

For more information, refer to: Data Management: BDP Deleting Historical Prices (FCA2862) provides a description on how to remove unused prices from the (historical) price table. Data Management: BDP Trade Rollout (FCA3890) provides information on how to perform a trade rollout, in order to reduce the size of the ADM Database by deleting trades.

3.6 Reporting All PRIME Trading Manager Worksheets and Workbooks can be output to a variety of formats including HTML, CSV, XML, PDF, and text files. Direct output to Excel is also available.

Reporting output can be scheduled on a regular basis, or generated on demand.

3.7 Trade allocation Splitting block trades and allocating the resulting trades into different portfolios based on predefined allocation schemas are supported out-of-the-box.

For more information, refer to User Guide: Trade Allocation (FCA1814).


4 Key functionality in PRIME 22 of 32

4 Key functionality in PRIME This section provides information specifically relevant to application managers or users of Front Arena.

4.1 Position management and Trading Manager The main PRIME application window for end users is the Trading Manager.

The Trading Manager is a spreadsheet application where dedicated sheets (which contain columns with data and calculated values) can be set up to view almost any data in the database, for example market, trade, and portfolio information.

The whole ADM is available as columns (without programming). Values in columns can be simulated and if applicable, edited and saved. (Right-click and select Apply Changes to save a value.)

In each sheet, many different objects (instruments, trades, portfolios, market segments, and so on) can be inserted. There is enormous flexibility in the Trading Manager to combine the rows and over 2000 columns to suit your purpose.

In the Trading Manager, there are comprehensive and flexible tools for cross-asset portfolio management and analysis. You can keep track of position P/L, greeks, hedges, and the impact of various scenarios. Your positions are updated automatically in real-time including data from multiple exchanges and other sources. Limits and aggregated risk figures are available instantly. Drill down to the individual trade level if necessary.

From the Trading Manager, it is possible to connect directly to electronic exchanges, electronic communication networks (ECN's), order routing networks, and online broker trading services.

For more information, refer to: PRIME Help (FCA1260) for comprehensive information about PRIME. Overview: PRIME (FCA4492) for a high-level overview of the PRIME client. Reference: Profit and Loss Calculations (FCA2042)

4.2 Cross-asset pricing and valuation Front Arena supports many built-in or core valuation frameworks, specialised pricing libraries, as well as lets you plug-in customised valuation models.

4.2.1 Fixed Income (FI) and Interest Rate Derivatives (IRD) Front Arena offers a complete solution for FI and IRD trading.

For more information, refer to: User Guide: Interest Rate Derivatives (FCA3913) User Guide: Index Linked Instruments (FCA2776) User Guide: Repo Trading (FCA1475) User Guide: Total Return Swaps (FCA4311)



User Guide: Fixed Income Localisation (FCA4562) Reference: Interest Rate Derivative Valuation (FCA4497) Reference: Option Adjusted Spread Model (FCA2276) Reference: Discounting Framework (FCA4525) Reference: OTC Collateral Management (FCA1760) Reference: Index Linked Instruments (FCA4801)

4.2.2 Credit and Credit Derivatives Front Arena offers a complete solution for Credit trading.

For more information, refer to: User Guide: Credit Trading (FCA4170) User Guide: MBS/ABS (FCA3624) Reference: Credit Valuation (FCA1859)

It is possible to use the extensive Front Credit Upload tool (FCU) for uploading from Markit and CMA.

For more information, refer to: User Guide: Markit Upload (FCA3805) User Guide: CMA Upload (FCA4495)

4.2.3 Equity and Structured Equity Front Arena offers a complete solution for Equity trading.

For more information, refer to: User Guide: Structured Equity Products (FCA4528) User Guide: Total Return Swaps (FCA4311) User Guide: Portfolio Swaps (FCA4397) User Guide: Dividend Derivatives (FCA4755) Reference: Valuation of American and European Options (FCA4155). Reference: Finite Difference Solver (FCA3761) Reference: Absolut, Proportional, and Mixed Dividends (FCA4652) Reference: Mollification in PRIME (FCA4687)

4.2.4 Foreign Exchange (FX), Money Markets (MM), and FX Derivatives Front Arena offers a complete solution for FX, MM, and FX Options trading.

For more information, refer to: User Guide: Foreign Exchange Trading (FCA2052) User Guide: Foreign Exchange Options Trading (FCA3959) User Guide: FX Option Pricer (FCA4890) User Guide: Call Accounts (FCA4138) User Guide: Risk Based Routing (FCA4583)

4.2.5 Commodities, Precious Metals, and their derivatives Front Arena supports commodity and commodity derivative pricing, risk management, and P/L analysis.

For more information, refer to: User Guide: Commodity Derivatives Trading (FCA4418) User Guide: Precious Metal Pair Trading (FCA4841)



4.2.6 Structured Products Front Arena also supports many more structured products, as well as proprietary valuation models. See also section 2.2.3 ARENA Extension Framework (AEF) / Open APIs.

For more information, refer to: Reference: Structured Products (FCA4873) User Guide: Commodity Strip (FCA4862) Developer Guide: AEF for Proprietary Valuation (FCA3960)

4.2.7 Convertibles The Monis Convertible Interface (MonisCI) enables Monis valuation of convertible instruments within PRIME.

For more information, refer to: User Guide: Convertible Trading (FCA3354) www.sungard.com/monis

4.2.8 User-Defined Monte Carlo engine The User-Defined Monte Carlo engine (UDMC) is suited for valuation and risk management of highly structured products, typically multi-asset, multi-currency, and path-dependent products, for which no analytical solutions are known. See also section 2.2.3 ARENA Extension Framework (AEF) / Open APIs.

For more information, refer to: Reference: User Defined Monte Carlo Templates (FCA4674) Developer Guide: AEF for UDMC (FCA3693) Reference: Heston Stochastic Volatility Model (FCA4280)

4.3 Risk management

Scenario analysis Detailed scenarios analysis to measure price risk, volatility risk, time decay, correlation risk, interest rate risk, FX risk, dividend risk, and so on, can be performed from the Pricing section of the instrument, as columns in a Trading Manager Portfolio Sheet or as a matrix in a Risk Matrix Sheet. It is possible to generate risk scenario columns for all risk factors.

You can take any value from Trading Manager, for example, single option present value or a convertible bond arbitrage, and stress the present value by moving all or one of yield curves, credit spreads, or FX. Right-click on the cell to get colour-coded multi-dimensional stress outputs on present values, Greeks, or any column output.

It is possible to extend the scenario functionality with your own customisations.

VaR / ARENA Risk Cube Front Arena's value-at-risk functionality includes all three main VaR methodologies, stress testing, and back-testing to satisfy regulatory requirements. The solution spans from a trader requiring real-time desk market risk and VaR functionality – through to a risk manager requiring an enterprise-wide market risk package.

VaR columns and stress tests can be seen in the Trading Manager or aggregated in the ARENA Risk Cube (ARC) – a multi-dimensional database to aggregate risk information across large books or even multiple systems.

For more information, refer to: User Guide: Value-at-Risk (FCA4376) User Guide: ARENA Risk Cube for Business Users (FCA4436)

http://www.sungard.com/monis



P/L decomposition and P/L explain P/L decomposition enables break down of total theoretical P/L per risk factor and answers questions such as: How much of my total P/L can be attributed to changes in equity prices, interest rates, volatilities, and so on. P/L explain answers the same type of questions while basing the calculations on risk values (as opposed to using a full revaluation approach).

For more information, refer to: User Guide: Profit and Loss Decomposition (FCA2488). User Guide: Profit and Loss Explain (FCA4767)

Decomposition of theta There are several factors contributing to the total theta value that are of interest to calculate and display separately. There are various theta columns in the Trading Manager Portfolio Sheet and Pricing section in the deal capture applications.

For more information, refer to Reference: Theta Calculation Principles (FCA4198). This document describes the definition of theta and time shift calculations in Front Arena.

4.4 Cash management PRIME contains all functionality necessary to set up front to back cash (liquidity) management. This functionality supports the entry, management, visualisation, and settlement of cash.

For more information, refer to Overview: Cash Management (FCA4601).

4.5 Limit management The Limit Management framework allows users to easily set up, monitor, and trace limits for multiple business areas, including Market, Credit, Liquidity, and Compliance for pre and post deal checks.

Limits can be defined on a broad range of information, including:

• All values you can view in a Portfolio Sheet, Vertical Portfolio Sheet, Trade Sheet, Limit Sheet, Settlement Sheet, Sales Activity Sheet, and Risk Matrix Sheet.

• Different types of columns, including vector columns, bucket columns, scenarios, and custom columns.

• All groupers, including custom groupers, and on all grouping levels

For more information, refer to User Guide: Limit Management (FCA4580).

4.6 ARENA Credit Limits The ARENA Credit Limits (ACL) solution integrates the so called ACL service, which is developed by Adaptiv Analytics, in order to monitor limits on counterparty and issuer risk.

When using this functionality, persons responsible within the bank will be warned when a limit is near being breached, and once it is breached.

For more information, refer to User Guide: ARENA Credit Limits (FCA4448).


5 Key electronic trading features 26 of 32

5 Key electronic trading features Front Arena offers a modular format to provide the exact solution you need. Components, such as the IM, AMS, FIX, OMNI, and so on (see section 2 Overview of system architecture – An introduction to Front Arena's main components), are thus combined to provide desired activities such as market making, exchange trading, hedging & risk management, internal matching, institutional sales, brokerage, order management, execution, online trading, price distribution and contribution, and so on.

Some interesting, not previously mentioned, examples are Algo Server, ARENA Quote Server, and Contribution AMAS, which are briefly described below.

Algo Server – VWAP and TWAP For high-volume market making of vanilla products and derivatives, the response must be in microseconds to be competitive. Front Arena enables you to apply high performance market making also to complex instruments.

For more information, refer to: User Guide: Automated Execution (Algorithmic Trading) (FCA4333) Developer Guide: Algo Server Agent API (FCA4615)

ARENA Quote Server (AQS) – Server-side quoting Quote turnaround time (or re-quoting or latency) is a key factor in market making. A server-side quoting component gives highly competitive response times for re-quotes in the market, ensuring a high position in the price queue as well as limiting the risk of arbitrage of prices when sending high volumes of quotes to electronic exchanges.

PRIME pre-calculates a set of option prices and passes these to the quote server. Then, when the underlying price changes, the AMAS is able to re-quote instantly.

For more information, refer to: Fact Sheet: Server Side Quoting (FCA4396) System Administration: ARENA Quote Server (FCA4177)

Contribution AMAS / Contribution quoting There is a FIX-based server-solution for sending quotes and other information to platforms that are, typically, not exchanges, for example, Reuters and Bloomberg – contribution quoting.

Typically, contribution quoting is for information purposes and is not a firm quote to be hit. As is typical with contribution quoting, the quoting is fire and forget, that is, there is no feedback on the quote from the AMAS back into PRIME (whilst with standard market making PRIME retains full control of the quote).


5 Key electronic trading features 27 of 32

Figure 5: Front Arena electronic trading offering.

A note on PRIME, OMNI, and SOFTBROKER in relation to electronic trading:

Traders will typically use PRIME for trading and quoting.

OMNI will be used to manage orders (and the ARENA Market servers will provide an Internal Market and connectivity to external markets and distribution channels).

SOFTBROKER is used to provide trading functionality and position information to retail and institutional customers using the Internet.

For more information, refer to: User Guide: Basket Trading (FCA2054) User Guide: Spread Trading (FCA4469) User Guide: Market Making (FCA1617)


6 Integration / connectivity – Multi-market support 28 of 32

6 Integration / connectivity – Multi-market support Front Arena offers a wide portfolio of native connectivity within Europe and South Africa. This can be easily integrated with market access from other FIS partners so your market-making installation achieves global reach.

Aggregated views (order books) enable you to gain a multi-market view and trade seamlessly and simultaneously across market places and exchanges.

Smart Order Routing (SOR) engine The SOR component can withdraw orders already on the exchange and match internally with a new order, to reduce cost and improve execution price (mid-point matching).

Internal Market There is an Internal Market for matching of internal order flows and execution algorithms. It also supports mirroring of quoted prices from an external market to increase the value of the market making operation.

Execution (algorithms) For execution Front Arena allows you to build your own algorithms or use readily available built in ones such as VWAP, TWAP, market on close, arrival price, program trading, pairs trading, cross-border arbitrage, stock right/stick issue arbitrage, stop loss/lock in, basket arbitrage, portfolio hedger, and so on.

Cross-asset There is cross-asset support as well as support for dual-listed products (shared parameters, risk, best execution).

Native low latency market connectivity For information about supported high-performance full featured (including market making, smart order routing, algorithmic trading, and so on) exchange connections, contact Front Arena (see section 1.2 FIS and Front Arena).

System Administration documents for these integrations can be found in Knowledgebase – Kbase.

Additional global connectivity For information about Global Trading connectivity currently available for non-quoting markets, contact Front Arena (see section 1.2 FIS and Front Arena).


7 Operations / BO 29 of 32

7 Operations / BO The Front Arena Back Office (Operations) solution includes the following areas:

• Confirmation and Settlement • SWIFT • Front Arena Accounting

For more information, refer to Fact Sheet: Automation and Processing (FCA4370), which provides an overview of Front Arena's operations and processing solution for post-trade events.

7.1.1 Confirmation and settlement Confirmations can be generated automatically when a trade is entered, or when it has reached a specific status level. The system will automatically determine if amendments to the transaction require reconfirmation, and distribute the appropriate message, using e-mail, fax, or SWIFT for delivery.

The workflow for settlements, confirmations, and fixings are in the Operations Manager, giving the operations user the same access to trades, instruments, and calculations as the trader has.

The Confirmation and Settlement solution supports many formats, for example long form (ISDA, FRABBA, bespoke formats), FpML and other XML standard flavours, and SWIFT.

For more information, refer to User Guide: Confirmation and Settlement (FCA2104).

Documentation module With the Documentation Module, customers can customise their derivatives documentation to their exact needs and provide outputs in many formats.

Figure 6: The Documentation Module communicates directly with AMB, generates SWIFT and freeform documents.

Close trade netting Close trade netting is performed using netting rules, enabling you to exclude certain settlement types when performing close trade netting.

7.1.2 SWIFT The SWIFT Connectivity module handles connectivity to SWIFT.

For more information, refer to User Guide: SWIFT Messaging (FCA4322), which describes how to create and handle SWIFT messages in Front Arena.


7 Operations / BO 30 of 32

7.1.3 Sub Ledger For general information, refer to User Guide: Sub Ledger (FCA4067) and Sub Ledger Help (FCA3150), which describe the fields and windows in Sub Ledger. This is the same help file that is delivered as context sensitive help with Sub Ledger.

For more information, refer to: System Administration: Sub Ledger Cashflows (FCA4197). This document describes some of the columns that can be used for viewing cash flow information in Sub Ledger, and provides event set-up information for deposits, interest rate swaps, FX instruments, and additional payments. Reference: Sub Ledger Data Model (FCA4327), which provides reference information on the Sub Ledger Data Model (including tables, columns, relationships, and indexes).

Cash Analysis Sheet The Cash Analysis Sheet in Trading Manager is available to the Sub Ledger for calculation of all flows of money in Front Arena, including flows for non-cash flow instruments in PRIME. It provides a single place to retrieve projected or actual cash amounts for posting.

7.1.4 Front Arena Accounting The purpose of Front Arena Accounting (FAA) is to provide a user-definable, rules-based mechanism to generate journals. The creation of journals is primarily designed to deliver a view of activity in Front Arena, both trading and life-cycle, which reflects an accounting viewpoint, as opposed to a trader’s or portfolio manager’s viewpoint – as seen in Trading Manager.

FAA can be used to create records that can be fed to an Enterprise General Ledger, or to provide a reporting and analysis framework to allow institutions to validate and reconcile the results of external providers of data: for example, the “shadowing” of a Fund Administrator’s accounting at an Asset Management or Alternative Investment institution.

FAA allows institutions to create an additional dimension to their view of trades, positions, and organisational structures. In FAA, trades belong to different books (entities). Different rules are applied to the trades; the rules to use are determined by filters. The setup can either be done in a generic way to match most of the trades, or in a very specific way to only apply to some of the trades/portfolios.

A key benefit of FAA is delivered by the concept of Accounting Periods. This feature, along with specific processing related to the amendment, cancellation or correction of historical journals offers the ability to “lock down” Profit/Loss results, whilst maintaining the ability to amend trades as required.

For more information, refer to User Guide: Front Arena Accounting (FCA4410).

Journal Sheet The Journal Sheet in the Operations Manager shows journal processing results for display and reporting purposes, such as trial balances and income statements.

Contact the Front Arena documentation team at: [email protected]


Date post:	18-Dec-2021
Category:	Documents
Upload:	others
View:	5 times
Download:	0 times