Key Facts:

Client:

UK Corporate & Investment Bank

Function:

IT Front-office, FX Trading

Asset Class:

FX

Geography:

London and New York City

Duration:

2 years

Context and Objectives

  • Generation of prices for FX Spot, Outrights, Swaps including allocations.
  • Prices streamed to various channels providing both RFQ and ESP functionality
  • Integration of the clients single dealer platform
  • Enhancement of risk management capabilities
  • STP of executed deals
  • GUI for risk management and position capture
  • Trade Booking and automated generation of hedge trades
  • Integration of Client Data from external system using a new java component
  • Re-engineer the system with new Java components

Deliverables

  • Swaps Pricing – generation of quote by integrating forward points and spot rates
  • Trade Acceptance/Rejection logic to control flow and avoid machine gunning
  • Publish prices to RMDS
  • Enhancements to pricing algorithm
  • Credit Checking via Murex Limit Controller for Swaps and allocations
  • Design and development of a Data Service for the supply of client data to the various modules
  • Support testing and regular releases
  • Enhancements to cover Dodd-Frank
  • Globalisation

GreySpark’s Approach

  • Train personnel in CEP, StreamBase product
  • Requirements analysis and estimation
  • Multitude of technical skills required, the pricing components were written using a CEP engine (StreamBase), other modules were written in Java
  • Creation of automated tests using Fitnesse
  • Monthly Status Report
  • Suppliment Business Analysis team during key requirements gathering stage
  • Regular meetings with client to assess progress

Client Benefits

  • The client was able to deliver new business functionality as requested by the traders and business, FX trading system being a strategic component within the bank
  • Source developers covering a niche product: StreamBase
  • Ensure regulatory requirements were met
  • Rolling out the system to New York followed by 24-5½ trading window