TIBCO FX Dealing Accelerator

The TIBCO FX Dealing Accelerator is a reusable set of software components that provide TIBCO FX customers a fast start to deploying FX Market Data and FX Dealing solutions. The FX Dealing Accelerator is available to TIBCO customers as a package of TIBCO StreamBase EventFlow™ source code with TIBCO® Live Datamart table definitions and a sample JavaScript user interface, to be used as a starting point for your customization. The primary components of the FX Dealing Accelerator are:

In StreamBase Studio, import this sample with the following steps:

About The Sample

This sample demonstrates how to generate custom Bid-Ask price ladders from Blended Depth of Book market data using the Volume Weighted Average Price. The sample also features a Subscription Manager that can be used to send data downstream to clients at specified time intervals and an Execution Manager that performs real time Profit/Loss calculations. In this sample application we have two FX Market Data providers configured: FXSpotStream and Deutsche Bank AutobahnFX Rapid.

Reading the sample from left to right, we have an initialization phase containing the module reference FXSetup. In this module the application loads:

Continuing right to left the subscriptions are sent to the MarketSimulator and the SubscriptionManager. The market simulator will now generate price data for the currency pairs requested.

Moving onto the PriceCalculation we meet an example of an ExtensionPoint, FXPriceAggregation.sbint. This is an interface with the implementation in this case of a VWAP calculation to obtain an weighted average of the current market data update message. When using this sample to build more complex trading systems, this implementation can be replaced or augmented to achieve the desired method of price generation. This price forms the bases of the Tiered prices that are derived in CustomSpreadCalulator. In this module prices are generated in compliance with the spread that were loaded at start time. It's important to note here that these spreads may be changed at runtime by enqueuing an event to FXPricing.WorkingProcessor.FXSetup.ManualSpreadUpdate. When this event is sent, the spreads for the currency pair are re-calculated, and will be published subsequently.

In Client Management there are basic implementations of real time Profit and Loss, and Subscription Management. ExecutionManager.sbapp provides an example of how to calculated profitability on trades executed real-time, and updated as each market data tick is processed. SubscriptionManager.sbapp a simple example of how subscriptions are cached and serviced on market data events. A suggested evolution of this module would potentially use heart beating with the Client Subscription to manage the subscription life cycle.

The final stage of our sample application is the output stage. In this example we use the TIBCO Live Datamart to distribute our prices to the sample JavaScript trading user interface. Once the data is published to the Live Datamart tables is is available for ad hoc querying and charting through both the JavaScript API and the LiveView Desktop client. It is intended that this user interface can be used as a starting point to build a customized trading application.

The Accelerator uses Live Datamart data tables to hold the current prices for distribution and the current set of executed trades. There is another lvconf file in the project, FXPricing.lvconf, which is used as a launcher for the combined StreamBase and Live Datamart project.

The Live Datamart data tables are MarketDataSample.lvconf and ExecutionDataSample.lvconf, which are used with an aggregation table ExecutionDataAgg.lvconf. The schemas for the data tables and aggregation table are as follows:

Fields marked with an asterisk denote primary keys.

Fields marked with an asterisk denote primary keys.

TIBCO Live Datamart provides a JavaScript API to view and interrogate the pricing and trade data. A sample Pricing/Trading user interface is provided as a fast start. The Live View Desktop is also availa2ble to create ad-hoc continuous queries and charts. Alert rule creation is achieved using the Live View Web user interface (http://localhost:10080/lv-web/index.html#/manager) or LiveView Desktop. In the sample provided there are three main screens: FX Dealing, Real Time Profit and Loss and a Configuration tab. This web user interface is built using the Component Exchange LiveView Angular Bridge and DataMart. On the main trading screen the green and red tiles are the current bid and ask prices. Clicking on these tiles pops up a modal dialog where the user selects the quantity they wish to buy or sell. These trades are then stored in the Live Datamart table ExecutionDataSample.

The sample uses the Market Simulator module to provide realistic Blended Depth of Book market data for any currency pair in the initial_subscriptions.csv file located in the init_files folder. New subscriptions can be added during runtime via the Subscription Request input stream.

The sample uses the Execution Simulator module to provide realistic Market Order Execution simulation. On start up, initial executions are loaded from the initial_executions.csv file located in the init_files folder. New executions can be added during runtime via the Execution Request input stream. The Executions table generated inside of the Execution Simulator module can be accessed outside of the handler for querying and sorting.

The FX Price Aggregation interface takes Blended Depth of Book market data and outputs an aggregated Bid and Ask price.

Volume Weighted Average Price (VWAP) is a method of computing a weighted average of an aggregated price book. The Bid VWAP is calculated as the sum of the products of the Bid prices with their respective quantities divided by the total quantity of Bids. The VWAP for Asks is calculated analogously. The VWAP Calculator module is an implementation of the FX Price Aggregation interface and computes aggregated Bid and Ask prices as the VWAP Bid and VWAP Ask. Note that in practice the VWAPCalculator can be swapped for any module implementing the FXPriceAggregation interface.

The Mid Price Calculator module takes an aggregated Bid price and an aggregated Ask price and computes the Mid Price as the average of the two. In this sample, the Mid Price is calculated as the average of the Bid VWAP and the Ask VWAP.

A spread ladder is created by adding small displacements (pips) to the Mid Price based on Band and Volume. For a given Mid Price and a fixed Band and Volume, the custom Bid price is calculated as the Mid Price minus 0.005% of the pip value, and the custom Ask price as the Mid Price plus 0.005% of the pip value. The Custom Spreads table generated inside of the Custom Spread Calculator module can be accessed outside of the handler for querying and sorting. In the sample, the spread ladder is generated using the spread preferences specified in the initial_spreads.csv file located in the init_files folder. Note that in practice the Spread Preferences can be assigned via an input stream and need not be fixed.

The Subscription Manager module accepts client subscription requests for a specific currency pair at a specified Band and Volume. The Subscription Manager module also allows for personalized Update Rates so that each client can receive the data they subscribed for at their desired rate. In the sample, the Client Subscription Preferences are specified in the initial_subscription_preferences.csv file and the initial Client Subscription Requests are specified in the initial_subscriptions.csv file. Both files are located in the init_files folder. New Client Subscription Requests to the Market Simulator are automatically sent to the Client Subscription Manager module as well. Note that in practice the Client Subscription Preferences can be assigned via an input stream and need not be fixed.

The Execution Manager module tracks current market prices for currency pairs at various Bands and Volumes against the price of an executed order. The Execution Manager reads executed orders from the Executions table in the ExecutionSimulator module and calculates real time Profit/Loss(PL) using prices generated in the Custom Spreads table in the Custom Spread Calculator module.

In the sample, the FX Setup module initializes module parameters, subscription requests, and executions from CSV files located in the init_files folder.

When you load the sample into StreamBase Studio, Studio copies the sample project's files to your Studio workspace, which is normally part of your home directory, with full access rights.

Using the workspace copy of the sample avoids the permission problems that can occur when trying to work with the initially installed location of the sample. The default workspace location for this sample is:

studio-workspace/sample_Frameworks_TradingComponents_fxpricing

See Default Installation Directories for the location of studio-workspace on your system.