Download - Practical Databases A look at DBMS in practice: A Trading and Inventory System

Practical Databases

A look at DBMS in practice:

A Trading and Inventory System

Introductory Guff

• Your speaker is Dr Richard Keeble;

• Today’s talk - a look at database systems in a real-life environment ...– A case study of real systems in a real company;– A look at the bigger issues surrounding

database systems in financial environments.

What I’ll Talk About

• Business background and rationale:– What systems did we look after and why?– How did they support the business goals?

• A look at the systems themselves:– The various components and their relationships;– How the different elements of the business

interact and are supported by the technology.

What You’ll Get Out Of This

• An idea of the scale and complexity of ‘enterprise’ database systems;

• An insight into how business systems fit together and inter-operate;

• A look at some of the problems in the development of business database applications;

• Experience from others’ cautionary tales ... !

The Business: What

• Goldman Sachs:– General Activities:

• Investment Banking;• Proprietary Trading.

– My responsibilities:• Front-line support;• Routine maintenance and development;• Flow testing;• New development, test and commission.

The Business: What & Why

• What’s a ‘Repurchase Agreement’ (‘Repo’)?– A short-term collateralised loan.

• What’s it for?– Short-term low-risk borrowing and lending;– Also allows GS to spend the same money

several times a day … !

Repo Trades

• Legal definition:– ‘an agreement to sell and a simultaneous

forward agreement to re-purchase’.

• Contrast to a ‘normal’ trade:– A repo has a start and an end, as opposed to a

share purchase which is a single event.

An Example Repo Trade• A one-week repo at 5% for EUR 10MM vs.

10MM BUNDs at par:– Start cash = 10MM EUR;– End cash = 10MM EUR + 9,491.48 EUR interest;– One Trade, but two Business Transactions:

RP 10MM EUR vs 10MM BUND

NEWPIECE

FULLRETURN

SELL

2003-01-30

RE-PURCHASE

2003-02-06

Trading Volumes

• Usually around 1300-1400 trades done per day;

• Somewhere around 15,000 trades active at any point;

• Approximately 40,000 different securities may be traded;

• So how do we know what’s going on?

Security Projections

• Sister to the NDR trading systems;

• Shows traders and operations the Firm’s commitments summed over time, sorted:– By bond or bond group (called ‘book’);– By currency;– By legal entity.

• Critical for keeping all the plates spinning!

Roles in the System

• Front Office:– Traders, salespeople, trading assistants.

• Middle/Back Office:– Daily trading operations staff, controllers,

clearance support staff and operations.

• IT Personnel:– Looking after all of the above.

The Bigger Picture

• Repo acts as both a source and a sink for information streams from many places:– As a sink for: currency rate information, inter-

company trading data;– As a source for: other firm groups (cash ledgers,

stock control, trading position management systems), legal, regulatory and clearing houses.

• Projections: only a sink (easier to look after!)

Trade is BookedREPO

(repo_db)PROJECTIONS

(secproj_db)Trade Entry

Traders


Window

Traders & Operations

OUTSIDE

Postings GeneratedREPO



Traders

genesis2


Window


OUTSIDE

Trade Hits ProjectionsREPO



Traders

genesis2trades


Window


OUTSIDE

Trade Posts InternallyREPO



Traders

genesis2

Cash

Bonds

trades


Window


OUTSIDE

Clearance Instructed

Banks, Clearing Houses

REPO(repo_db)

PROJECTIONS(secproj_db)

Trade Entry

Traders

genesis2

Cash

Bonds

trades


Window


OUTSIDE

Confirm Received


REPO(repo_db)


Trade Entry

Traders

genesis2

Cash

Bonds

trades

settlements


Window


OUTSIDE

Trade Settled – Done!


REPO(repo_db)


Trade Entry

Traders

genesis2

Cash

Bonds

trades

settlements


Window


OUTSIDE

Exception Window

Operations

No Settlement?


REPO(repo_db)


Trade Entry

Traders

Exception Window

genesis2

Operations

trades


Window


OUTSIDE

Call The Counterparty!


REPO(repo_db)


Trade Entry

Traders

Exception Window

genesis2

Operations

trades


Window


OUTSIDE

Confirm Received (At Last)


REPO(repo_db)


Trade Entry

Traders

genesis2trades

settlements


Window


OUTSIDE

Exception Window

Operations

Trade Settled – Done!


REPO(repo_db)


Trade Entry

Traders

genesis2trades

settlements


Window


OUTSIDE

Exception Window

Operations

Transactions: 1

• Absolutely essential in sizeable, production systems:– To ensure integrity of data during protracted

operations on the database;– To regulate concurrent accesses to the database.– By making it appear to whatever application or

process that they are the only database user.

When It’s All Gone Pear-Shaped

• Sometimes, there is no alternative to manipulating the database directly:– The dreaded ‘Manual Update’!

• These are dangerous things to do:– In ‘Production’, you’ve no room for error;– How can you make adjustments and verify

they’re correct?

Transactions: 2

• Also extremely important in supporting a real-time system where occasional manual updates are required:– Used correctly, you can do no wrong!– Just remember to always be in a transaction, or

bad things may happen ...– And don’t forget the transaction afterwards ...

Environmental Separation

• Using separate databases for different activities:– Development and Testing;– QA: Quality Assurance;– Production and Archival.

• Much safer to use ...– ... as long as you remember where you’re

looking at!

Multi-Tier Applications

• The ‘n-tier’ application development idea:– 2-tier: user interface and database;– 3-tier: UI, business logic, DB;– 4-tier: UI, middleware, BL, DB.– and so on ...

• A lot depends upon the application’s particular requirements:– Requirements can change over time ...

Example: Trade Entry

• A collection of windows used by traders to book trades.

• ‘2.5-tier’ architecture (apps, SPs+DB):– In the first place, a good thing: TE was the only

source of trades and adjustments;– As time passed, a bad thing: business logic

intertwined with UI software, plus additional sources of trading information.

Problems

• The rules for ‘genesis2’:– Flexible rules, based on trade types (and other

criteria);– Easily configurable without changing the

program;– But is there a price to pay?

• What if the rules are wrong?

So, are there ...

•Any questions?

Download - Practical Databases A look at DBMS in practice: A Trading and Inventory System

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