DX Module Setup

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How to set -up the DX application.

This chapter is not a duplicate of the Temenos user guide, quite well documented but with missing critical parts. It intends to be an add-on, including specific tricks based on my own experience All below information refers to R8.005 release.

FUTURES Setup Check-list


  • Preliminaries
    • Authorize all records in EXCEPTION once new DX module is installed.

Among whilst:
DX.OBJECT.LIBRARY
DX.CLOSEOUT.METHOD
DX.ITEM.STATUS.TYPE
DX.MARGIN.CALC
EB.FORMAT.ENTRY
LOCKING – PGM.FILE

Need to ensure you have a record FBNK.DX.TRADE with content= DXTRA2400100001 / FBNK.DX.ORDER with content= DXORD2400100001. In PGM.FILE, these 2 apps should also have in field 3-ADDITIONAL.INFO the value .IDA.  This will ensure when user inputs <DX.TRADE I F3> he will get new transaction key automatically incremented.


BATCH.NEW.COMPANY
DYNAMIC.TEXT
EB.SYSTEM.ID
OVERRIDE

  • Two new codes required in RE.TXN.CODE

CLO  DERIVATIVES CONTRACT CLOSEOUT
UOV  DERIVATIVES UNREALIZED OPTION VALUE
(used in the updating of the CRF)

  • Records to create manually

in DX.PRICE.SET, records CLOSING & INTRADAY

  • SUB.ASSET.TYPE

Potentially new records to be created+associated to Derivatives products in DX.CONTRACT.MASTER.

  • CORE

TRANSACTION (to be used for all DX events types)

CATEGORY (to be used for all DX events types)

ACCOUNT.CLASS

ACCOUNT.CLASS ID Type Description
SUSPDXIMCR Account Suspense account for credit initial margin
SUSPDXIMDR Account Suspense account for debit initial margin
SUSPDXVMCR Account Suspense account for credit futures variation
SUSPDXVMDR Account Suspense account for debit futures variation margin
SUSPDXOMCR Account Suspense account for credit option variation margin.
SUSPDXOMDR Account Suspense account for debit option variation margin.
SUSPDXCGCR Account Suspense account for credit derivatives charges SUSPD
SUSPDXPRCR Account Suspense payments
SUSPDXPRDR Account Suspense account for debit option premium
SUSPDXRPCR Account Suspense account for credit
SUSPDXRPDR Account Suspense account for debit realised P&L
DXCSNDUE P&L P&L category FOR derivatives commission due not paid
DXCSNEARN P&L P&L category FOR derivatives commission earned not received
DXCSNPAID P&L P&L category FOR derivatives commission paid
DXCSNRCVD commission received P&L category for derivatives commission received

DX.EVENT.TYPE

Check if an internal or a P&L category is required, as it may crash the system if wrongly set-up

Event code Name Description P&L categ. or Internal a/c
AS Contract Assignment DX Closeout N/A
AR Contract Assignment (reversal) DX Closeout N/A
BV Back Valuation Back Valuation N/A
BP Broker Profit DX Trade P&L
CA Contract amendment Amendment of authorised trade – new details Internal a/c
CC Contract cancellation Cancellation of an authorised contract i.e. contract reversal not part of an amendment – contract completely cancelled Internal a/c
CD UNTH Contract deletion Deletion of an unauthorised DX.TRADE N/A
CI Contract inception Initial entry of trade Internal a/c
CM Contract maturity Trade maturity P&L category
CN Internal outgoing transfer DX Trade- Position Transfer N/A
CO Outgoing Transfer DX Trade – position transfer N/A
CP Corporate action Corporate action N/A
CR Contract amendment reversal Reversal of authorised trade details before amended details entered Internal a/c
CS Contract settlement Settlement of trade (close-out) P&L category
CT Incoming Transfer DX Trade position transfer N/A
CU Contract unauth amendment Amendment of an unauthorised contract. Internal a/c
CX Corporate action (reversal) Corporate action N/A
EX Contract Exercise DX Closeout N/A
ER Contract Exercise (reversal) DX Closeout N/A
FC Commission posting Posting of ‘normal’ trading commission P&L category
FE Execution fee posting Posting of Execution fee P&L category
FL Clearing fee posting Posting of clearing fees P&L category
FM Miscellaneous fee posting Posting of any other miscellaneous charges entered manually P&L category
FR Regulatory fee posting Posting of any regulatory fees P&L category
II Internal incoming transfer DX Trade- Position Transfer N/A
IM Initial Margin Initial margin generated from revaluation Internal a/c
OA Order amendment Amendment of authorised order – new details Internal a/c
OB Order blocking Blocking of DX.ORDER Internal a/c
OC Order cancellation(reversal) reversal of cancel of an authorised order Internal a/c
OD Order deletion Deletion of an unauthorised order Internal a/c
OF Order fill Fill or Part-fill of an order, when the trade is created N/A
OI Order INPUT Input of an order and authorisation Internal a/c
OM Option margin revaluation Option variation margin P&L category
OR Order Stage Replaced DX Order amendment N/A
OX Order abandon After at least one partial fill, remaining lots are cancelled. Internal a/c
PC CLOSE position Trade input forming closing leg of position Internal a/c
PO OPEN position Trade input forming opening leg of position Internal a/c
PP Premium posting Posting of option premium P&L category
RO Realised Options P&L Realised P&L on Options Currently not handled by accounting process
RP Realised P&L Realised P&L from settlement/maturity settlement or from revaluation using “nightly settlement” conventions (e.g. LIFFE settlement and reopen process) P&L category
SR Settlement reversal Reversal of settlement (close-out) Internal a/c
TT Tax Posting Posting of Tax Internal a/c
UO Unrealised option value Unrealised option value generated by revaluation (not variation margin since not product of mark-to-market or similar) P&L category
VM Variation Margin Variation margin (unrealised P&L) generated and posted by revaluation for futures P&L category
XP Contract Expiry DX Closeout N/A
XR Contract Expiry (reversal) DX Closeout N/A

ACCOUNT (suspense accounts using new internal CATEGORY codes in your local currency, others ill be automatically opened).

  • CONTRACTS DEFINITIONS

REGION
Create HOLIDAY records for the new REGIONS‘ codes Example: EU01 EU02 EU03 EU04 GB01 SE01 US01 US02 US03

DX.EXCHANGE.MASTER

DX.CONTRACT.MASTER

  • Commissions

Parameterization tables to set-up commissions:

   click to enlarge

DX.GROUPING
This table contains different codes reflecting various tariff profiles.

FT.COMMISSION.TYPE
Identify all unit commissions and create codes using an easy maintaining nomenclature (only suggested here).
Example:

Position Description Code
1 to 3 Common prefix for Futures DXF
4 Pay/Received Side P or R
5 to 6 Charge type:
Bank’s Commission CO
Brokerages BR
Clearing Fees CL
Exchange Fees XC
7 to 8 Currency EU, US…
9 to 11 Charge Rate (1.50, 0.75,…) 150, 075,…

=> Unit cost on Futures (DXF) to receive (R) « clearing fees » (CL), at a rate of EUR (EU) 0.50 (050)  per lot : code will be DXFRCLEU050

DX.CONTRACT.CLASS
Depending on the level of tariff definition, you can set a global tarif for a group of Futures contracts identified by a single DX.CONTRACT.CLASS key.

DX.CUSTOMER
Once DX.GROUPING codes are created, attach them to every single counterparty from DX.CUSTOMER (field 27-Group).

DX.COMMISSION
Link all unit charges defined in FT.COMMISSION.TYPE to build a tariff. Special input key, refers to user guide to be sure. Example for a contract base tariff, applicable for a client segment named “Group A”. Note that the tariff depends on the number of lots traded. Key will be here CT10309-CGGROUPA. CT stands for contract number and ‘CG”’ for customer group code.

  • DELIVERY

Example of DX TRADE confirmation set-up:

   click to enlarge

EB.ACTIVITY
DE.MESSAGE
DE.MAPPING
EB.ADVICES
DE.TRANSLATION
DE.FORMAT.PRINT

Example of possible allocation of EB.ACTIVITY for each DX.EVENT.TYPE:

Event Deliv. Ref in DX.TRANSACTION DX.EVENT.TYPE EB.ACTIVITY
New deal DX TRADE ID CI DX-5000
Deal Amendment DX TRADE ID CA DX-5010
Deal Reversal DX TRADE ID CC+CR DX-5020
Closing Out DX.CLOSEOUT ID RP DX-5040
Final settlement DX.CLOSEOUT ID CM DX-5030
  • Bug identified for DX.CLOSEOUT (attached to RP event):

If the version DX.CO.MANUAL.INPUT,SYSTEM triggers automated authorised DX.CLOSEOUT record (thanks to field UNAUTH.AUTH = AUTHORISED), attached Handoff is not correctly fed with DX.CLOSEOUT data (REC5). This because when calling DX.DELIVEY, the APPLICATION is always DX.CO.MANUAL.INPUT instead of DX.CLOSEOUT.

Work around:  In DX.CO.MANUAL.INPUT, set field UNAUTH.AUTH to ”UNAUTHORISED’. This will need to authorize a DX.CLOSEOUT record, and then REC5 in DE.HANDOFF will be correctly fed.

  • LIMITS

LIMIT.REFERENCE: create new products keys.

  • Manually update : LIMIT.REFERENCE for fathers’s keys updates + LIMIT.PARAMETER record SYSTEM to take DX into account.
  • COB / BATCH

Once authorized, new records need their next running dates to be checked/updated.

  • Add new APPS in COMPANY :
 PGM.AUTOM.ID... DX.CO.MANUAL.INPUT
 PGM.AUTOM.ID... DX.TRADE
 PGM.AUTOM.ID... DX.ORDER
 PGM.AUTOM.ID... DX.CLOSEOUT
 PGM.AUTOM.ID... DX.CO.AUTO.INPUT
 PGM.AUTOM.ID... DX.CO.EXERCISE.AUTO  
 PGM.AUTOM.ID... DX.CO.EXERCISE.MANUAL
  • LOCAL ‘CUSTOMIZATION

ENQUIRY

VERSION

CONTEXT.ENQUIRY (if running under desktop)

HELPTEXT.MENU

  • Miscellanious

DX.TRADING.CONSTRAINT

Create a record in DX.CO.AUTO.INPUT (empty one to get everything closed out during COB)

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