Section 6 - Central Pricing System

Transcription

1 Section 6 - Central Pricing System 1 Overview Apollo Requirements SERVER SETUP OVERVIEW ASP DATABASE RELATED MODULES CENTRAL PRICING EXTRACTS InvestOne Enterprise/Engine Requirements USER DEFINITION SETTINGS CUSTOM PRICE SOURCES PRICE DETERMINES PRICE EXCEPTIONS (CX) FILE BUILD AND UPDATE MISCELLANEOUS OPTIONAL TASK SET-UPS TroubleShooting System Schematic CPS Drip/Drop MQ Series Configuration OVERVIEW INSTALLATION CONFIGURATION I

2 1 OVERVIEW The Central Pricing System (CPS) is designed to support the validation and correction of security prices on an Exception basis (see Section 3 of the Apollo User's Guide for a more detailed discussion of Central Pricing s functional features). The CPS utilizes the INVEST ONE engine database to determine the securities for which prices are required and stores the prices. Extensive edits are performed on Security prices regardless of the mode of entry (Vendor price files, online price entry screens, messaging, OLE). In addition to the validation and correction processes for security prices, CPS supports similar processes for Foreign Exchange Rates and Market Index Values. CPS also supports the security pricing requirements of portfolios not only maintained on the engine but also of portfolios maintained in other investment related systems of a financial institution. Price data from multiple vendors and manually entered price data are processed by CPS for each security. Based on a set of user-defined tolerances, prices are edited by comparing them to the previous price and optionally to an alternate price and to a market index. This centralized process can result in a more uniform usage of the same security prices throughout all investment related systems of the financial institution. It not only consolidates price feeds from multiple vendors, but also can consolidate resources required to clear exceptions and validate these prices. It also helps to standardize procedures, streamline workflow, and reduce total processing and research. Prior to the calculation of portfolio valuations, Browser functions such as browser CUI and Browser Reports are utilized to verify the accuracy and completeness of the price data in the portfolio within each User bank. With Apollo 3.1, multi-user bank functionality was introduced that eliminates the need to open multiple sessions, and enables the User to review and clear potentially similar exceptions as a group. Clients who have licensed the Central Pricing System receive an access code for the installation of the module. Once installation of the CPS is complete, there are additional Apollo and Engine set up requirements. The following pages describe these requirements in detail. This document assumes an understanding of INVEST ONE technical terminology and the INVEST ONE system. 2

3 2 APOLLO REQUIREMENTS The Central Pricing System (CPS) component uses Apollo Base installation with Sybase Database. Beginning with 3.1 Release, CPS component use Sybase Apollo Database to process. It also uses Apollo Profile setup. The client has an option of running the CPS component for single user bank or multiple user banks. To utilize the multiple user bank processing, client must also have IBM MQ Series and MSMQ services for the DRIP/DROP processing for dataload installed in their respective servers. 2.1 SERVER SETUP OVERVIEW Several Apollo areas are utilized in CPS functions: Apollo CPS 3.1 uses Sybase Apollo Base database for all the processing. As of Apollo 3.1 release, there are two new application level parameters for the CPS module. The first parameter is used to determine whether the application is going to be using single user bank or multiple user bank functionality. The second one is added to determine the number of days to hold the CPS data in the database tables. There is also one user level parameter to determine the number of exceptions to extract from the INVEST ONE engine. iocpsprocessing iocpsprocessing component is the core component for Central Pricing Systems. This component is used to communicate with all asp pages, database and INVEST ONE engine. This will be available in the server component folder. ASP - These are standard browser screens where the user enters the information necessary to setup parameters and to request exceptions process CPS exceptions. This includes user definition, operator browser, CPS operator select, exception request, exception browser and exception detail screens. All these pages are available in Apollo/Invest1/CentralPricing folder. Sybase CPS uses multiple tables in Apollo base database for the processing: clnt_cps_exceptions_tbl, clnt_pricing_notifications_tbl are the core CPS tables. Other tables that are used in CPS are: clnt_operator_tbl clnt_user_operator_tbl clnt_schedule_tbl sys_key_tbl - must have an entry for the clnt_cps_exceptions_tbl for the next available ID. Other process manager tables are also used. Housekeeping/Database Maintenance - must have an entry for scheduled process to run to delete exceptions that are older than a predefined number of days. Scheduled process calls an ASP page to execute the cleanup module and uses Scheduler. Exception Manager Exception Manager is used to support the validation and correction of security prices on an exception basis. This does not use the CPSProcessing component. Scheduler Scheduler is used to clean up the exception and pricing notification tables to remove the old data loads. This does not use the iocpsprocessing component. SunGard This component is used to communicate with INVEST ONE engine for exception processing. This is called by the iocpsprocessing component. 3

4 Data Download There is a behind-the-scenes data load to load and update CPS exception table and pricing notification table as the data on the engine gets loaded or change. This is accomplished by DRIP/DROP processing using MSMQ and IBM MQ series functionality. iocpsprocessing component is used to load the data into Sybase tables. 2.2 ASP The user interface for the setup screens, request screens, browser screens and reporting screens have been written in ASP. All pages communicate with a VB middleware layer to process CPS exceptions. A standard style sheet has been used for formatting, and is included in all pages. XML pages use their own style sheets for formatting, and they are consistent across the xml pages. Pages can be reached from the standard Apollo menus. Standard Apollo security is implemented. The middleware layer runs in COM+. It consists of multiple components, containing multiple classes. iocpsprocessing.dll Supports all ASP pages, except reports and data download request. ReadMessage.dll BulkUpdate.dll Supports all the MSMQ Drip/Drop functionalities. Supports data download process for Single User Bank processing when the exceptions are requested from browser screens. IoOle32MTS.dll For single user bank functionality, this component is used to communicate to the INVEST ONE Engine to extract exceptions and to clear the exceptions. For multi user bank functionality, this component is used to clear the exceptions. For extracting exceptions spectra extracts are used. For clearing exceptions pricing and exchange rates exception messaging is used to communicate to the engine. ioscheduler3.exe For database maintenance and housekeeping, this component is used to clean up old data that are left in the central pricing tables in Sybase. BulkUpdate.dll While using single user bank CPS, when the exceptions are extracted from the engine, this component is used to load the exceptions into CPS exceptions table. This component is included in the Apollo Base installation. WebReadMessage.dll While using multi user bank CPS, when the exceptions are coming from the engine by drip/drop mechanism, this service gets each message and passes the data to CPSProcessing.dll to load the cps exception table. 4

5 2.3 DATABASE Apollo Base database has been utilized for this module. There are few new tables added for the CPS enhancement for multi user bank functionality. There are many stored procedures added for this component. The Setup screens shown in the following section are all in the Administration folder, however, Users must have the proper authorization level to access them SETUP Two CPS site level parameters need to be established for the Central Pricing to function correctly. They are io_newcps and io_cpsretentiondays. io_newcps is used to determine the single user bank functionality or multi-user bank functionality. Other requirements are there to use multi user bank functionality. The io_cpsretentiondays field is used to clean up the CPS exceptions table. One user level parameter, io_cpsmaxrows, is used for CPS processing. This field is used to determine the maximum number of rows to be shown in the browser screens. This defaults to 500 and can be overridden by the user. 5

6 To utilize Multi user bank CPS functionality, the User must be assigned to multiple user banks. Assigning multiple operator ids to a CPS user in the User Definition screen can do this. 6

7 Once the multiple operators are assigned, use the Operator Browser screen to view exceptions from assigned user banks. For single user bank option, exceptions are extracted using Sungard component and are loaded into the Sybase exception table, and subsequently populate the Exception Browser screen for the User to view PROCESSING Each exception type request (Security pricing, Security Pricing Summary, Market Index and Exchange Rate Exceptions) has a separate request page. When the request is submitted, user is taken to Exception Browser screen. User can choose to clear the exceptions by accepting current prices from the browser screen itself. If the user wants to view the details for an exception, they can choose to view the details by selecting exceptions in the browser. They can clear the exceptions in by entering manual price, or by accepting current or alternate or previous prices. The exceptions with the user-given details are sent to engine, and also update the database by changing the cps_updated flag to Y. For single user bank option, the exceptions are brought back from the engine to have the current exceptions list. For multiple user banks option, user may view exceptions from different assigned user banks and process the same way. While clearing the exceptions, multiuser bank uses the Sungard component to communicate with the IO Engine (user banks must be from the same region.). For the single user bank, exceptions are kept in the database for that session only. For the multiuser bank option, exceptions are kept in the database until they get cleared on the engine. The Pricing Notification screen uses the Browser CUI PNOT screen for single user bank; a new browser screen is used for multi-user bank option. 7

8 2.3.3 HISTORY For single user bank processing, exceptions are kept for the session in database. No pricing notification data is stored in the database. For multiple user bank processing, exceptions are available until they get cleared. If for some reason, the exceptions are not cleared, they are available in the database for a predefined number of days. There is a scheduled process to clean the database for exception and pricing notification tables. Application level variable determines the number of days the data is stored. NOTE: It is the administrator s responsibility to set up this field as desired. Default value for the NewCPS flag is set to F (to be consistent with prior releases) and Retention_days are set to FIVE for the number of days. 8

9 2.4 RELATED MODULES The Central Pricing System uses a number of other Apollo modules for researching and validation of price exceptions. Those modules are: Base Apollo Exception Manager (EMS) Browser CUI Exception Manager is designed to support the validation and correction of security prices on an exception basis. Browser CUI is used because of the hyperlinks embedded within the exception detail browser screens BulkUpdate is included in Base Apollo. These modules need to be installed before use with the Central Pricing module. When all of these modules are installed, the Central Pricing, Exception Manager, INVEST ONE CUI and Process Manager folders will appear in the Menu frame of the browser display. Central Pricing System has an option of running for multiple user banks at the same time. This enhancement is added for the Apollo 3.1 release and this needs additional module for the processing. IBM MQ Series Sungard IBMMQprocesser.exe NT service The above modules are required only when the Multi User bank functionality is used. MSMQ Processing is part of Base Apollo Module. IBM MQ Series module should be available for multi user bank functionality. 9

10 2.5 CENTRAL PRICING EXTRACTS After the security prices, exchange rates, and market indices have been edited and exceptions cleared, this data can be delivered to downstream systems as required. This is accomplished by utilizing the Flexible Output Messaging Interface (batch Spectra) capability of INVEST ONE. The User, from the browser, can initiate predefined extracts of security prices, exchange rates and market indices by utilizing the Central Pricing Extracts Request screen in the Central Pricing Extracts sub-folder of the Central Pricing Folder. The purpose of this folder is to allow the user to extract prices from INVEST ONE via the Flexible Output Messaging Interface (FOMI). Extraction is supported in a push mode followed by transmission of the prices to downstream systems. In a pull mode, the user establishes an API connection to INVEST ONE and extracts the desired security prices. You must also create the desired entries for the Extracts dropdown box and the associated trigger processes for the engine Pricing Extract Process. Set up for the push mode requires the creation of each clients pick list in a CPS.xml file. 10

11 3 INVESTONE ENTERPRISE/ENGINE REQUIREMENTS 3.1 USER DEFINITION SETTINGS In the InvestOne Enterprise Architecture, the User Definition (US01) screen must be updated to allow Central Pricing to operate. Set the CPS Flag to Y Set the CPS Date to the first day that CPS is to be effective. NEXT US01 MODE VIEW ARMP65 * * * USER DEFINITION CONT * * * USER: SS BANK: TITLE: SUNGARD DEMO DRIP: N TYPE -STARTS- --ENDS CPS CRITERIA- FLAG: Y DATE: PURGE: 00 PRICE PURGE: 00 FAIR VALUE: N FV DATE: The CPS Compile Time option requires FU%% flag 9 = Y. NEXT US00 MODE VIEW ARMP63 * * * USER DEFINITION * * * USER: SS BANK: TITLE: SUNGARD DEMO $$ AUTH: INTERVAL: 00 AUDIT: 0 TYPE: SYSTEMS OPTIONS ARCH NNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNN FUND YYYYYYYNNYYNNYYYYYYNYNNNNYNNNNNYYNYYNYNNNYYNNNYN FU%% NNNNNNNNYNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNN UTIL NNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNN NASDAQ ID: TERM: LOGON: LOGGING REQUEST: 0 COMPACTION DAILY.. 15 WEEKS.. 12 MONTHS.. 18 ARCHIVE NUMBER OF MONTHS CUTOFF ARCHIVE CLEAN YEARS.. 5 MEMO LEVEL: U FILES CD CL CT RR 11

12 The multiple user/bank version of CPS requires FU%% flag 2 = Y. This flag invokes WebSphere MQ processing which is used to communicate exception data. Do not activate this flag unless WebSphere MQ is installed. NEXT US00 MODE VIEW ARMP63 * * * USER DEFINITION * * * USER: SS BANK: TITLE: SUNGARD DEMO $$ AUTH: INTERVAL: 00 AUDIT: 0 TYPE: SYSTEMS OPTIONS ARCH NNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNN FUND YYYYYYYNNYYNNYYYYYYNYNNNNYNNNNNYYNYYNYNNNYYNNNYN FU%% NYNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNN UTIL NNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNNN NASDAQ ID: TERM: LOGON: LOGGING REQUEST: 0 COMPACTION DAILY.. 15 WEEKS.. 12 MONTHS.. 18 ARCHIVE NUMBER OF MONTHS CUTOFF ARCHIVE CLEAN YEARS.. 5 MEMO LEVEL: U FILES CD CL CT RR If multiple user/bank version of CPS is intended, the specific WebSphere MQ queue that CPS will use must be defined on the ME00 screen for each CPS user/bank. CPS always uses the ME00 function id CXOUT. The following is an example of how user/bank MA0000 might be defined. The QNAME and QMGR are specific to the environment - you will normally have a different naming convention. In order for these settings to take effect, an ARTB00 needs to be executed to permanently set the CPS Flag, CPS Date, etc. 12

13 3.2 CUSTOM PRICE SOURCES INVESTONE ENTERPRISE APOLLO TECHNICAL GUIDE - SECTION 6 CENTRAL PRICING If any prices are sent into INVEST ONE that are not standard price source codes utilized in the INVEST ONE ASP environment for third-party vendors, they must be identified to CPS so that it can include those sources in the exception process. The User must create a CARDLIB member for any custom price source codes that will be utilized to make CPS aware of these Custom Price Sources. 3.3 PRICE DETERMINES Both an overnight and daytime Price Determine process are required for CPS. This initial overnight Price Determine builds the Exception File (CX) by interrogating the security, account and position levels and marks those prices as Missing. Any subsequent runs of Price Determine update this initial Exception File rather than create a new one. Since CPS processes all accounts in a user bank, no specific accounts need to be identified. For a complete explanation of the Price Determine process as it specifically relates to the Central Pricing System, refer to the Interface Manual, Section

14 3.4 PRICE EXCEPTIONS (CX) FILE BUILD AND UPDATE The build of the Exception (CX) File is an optional feature and restricted to the Central Pricing System users. It is generated from data on the Price History File created from the Price Determine run. If utilized, you must also set up an overnight and daytime batch process for the Exception File build to run after the Overnight and Daytime Price Determines. After the nightly Price Determine, a new or fresh CX file is generated. All securities are marked with an exception code of Missing Price. This initial Exception File is the basis for further editing during the daily pricing cycle. Price Determine and other price or exchange rate maintenance processing during the day updates this initial Exception File. As previously stated, the multiple user/bank version of CPS uses WebSphere MQ to communicate CPS exception data from the INVEST ONE base product database to the Central Pricing Module of INVEST ONE s Browser Workstation. This occurs in 2 forms: "drips" and "drops". A CPS "drop" is a mass update that also signals the starting point of current date processing. A CPS "drip" is a single event or a low-volume event that potentially impacts CPS exception data. Only the overnight Exception (CX) File Build can create a CPS "drop". The daytime Exception (CX) File Build and all other CPS activities create CPS "drips". CPS "drip" processing is integrated in the daytime Exception (CX) File Build. The overnight Exception (CX) File Build requires a new sequential data set to contain the CPS "drop" data. This new file has ddname = CPSQUEUE and DCB=(LRECL=8008, BLKSIZE=16020,RECFM=VB). The "drop" processing is completed by executing a new Load Queue batch job that includes the CPSQUEUE file created by the overnight Exception (CX) File Build, specified with ddname = MQF2FILE. Load Queue JCL is only necessary if using the multiple user/bank version of CPS. Sample Load Queue JCL. //CPSLOADQ JOB (XXXXXXXXXXXXXXXX),NOTIFY=XXXXXXX,REGION=XXXXK, // MSGCLASS=X,CLASS=X,MSGLEVEL=(1,1) //JOBLIB DD DSN=XXXXX.XXXXXXXX.JOBLIB,DISP=SHR //JCL JCLLIB ORDER=(XXXXX.XXXXXXXX.PROCLIB) //STEP05 EXEC PGM=ARPCR1,PARM=' 0000UPDATE ',TIME=1 //ARCHFILE DD DSN=XXXXX.XXXXXXXX.ARV,DISP=SHR //ME DD DSN=XXXXX.XXXXXXXX.MEV,DISP=SHR //CARDFILE DD * *0000AARCH FUND CONTROL - A0000AMER XXXXX.XXXXXXXX.MEV Y N MQ0000R READ CXOUT /* //MQF2FILE DD DSN=XXXXX.XXXXXXXX.DROPCPSQ,DISP=SHR 3.5 MISCELLANEOUS OPTIONAL TASK SET-UPS Price Distributes Other Price Updates Pricing Extracts Set up process for desired third-party price vendors. Set process such as Price Messaging and Price OLE for custom prices sources. If utilized, the engine trigger processes as well as the price FOMI process will need to be created. 14

15 4 TROUBLESHOOTING The data load and all web pages write their errors to the sys_apollo_error_tbl table in appropriate IoCPSProcessing component. 15

16 5 SYSTEM SCHEMATIC 16

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18 6 CPS DRIP/DROP MQ SERIES CONFIGURATION 6.1 OVERVIEW 1 APOLLO SERVER REQUIRED COMPONENTS Default Queue Manager Local Queue with a maximum queue depth of 50,000 Receiver Channel (same name as Sender Channel on Mainframe) 2 MAINFRAME REQUIRED COMPONENTS Queue Manager Sender Channel (same name as Receiver Channel on Apollo Server) Transmission Queue Remote Queue Definition pointing to Local Queue on Apollo Server 6.2 INSTALLATION Step Action 1 Obtain IBM WebSphere MQ 5.3 Media 2 Execute IBM WebSphere MQ.msi located in the MSI directory. Click Next. 3 Accept the License Agreement and click Next. 4 Select the Custom radio button and click Next. 5 Enter C:\MQSeries\ as the Destination Folder and click OK. 6 Accept C:\MQSeries\ as the Program Files Folder and click Next. 7 Accept C:\MQSeries\ as the Data Folder and click Next. 8 Accept C:\MQSeries\log as the Log Files Folder and click Next. 9 Choose only the Server and Windows Client from the features list and click Next. 10 Select Yes to the licensing question. 11 Select Next at the Prepare WebSphere MQ Wizard screen. 12 Select No when asked whether any of the Domain Controllers in your network are running Windows 2000 Server. 13 Select Cancel and OK at the Setup the Default Configuration screen. 18

19 6.3 CONFIGURATION Step Action 1 Browse to Start Programs IBM WebSphere MQ WebSphere MQ Explorer 2 From the MQ Explorer, browse to WebSphere MQ Queue Managers New Queue Manager 3 Enter a case sensitive Queue Manager Name in the format QM_MACHINENAME. This name cannot have any hyphens in its name to be considered valid. 4 Select Make this the default queue manager and click Next. 5 Accept the default logging configuration and click Next. 6 Select the Start Queue Manager and Create Server Connection Channel. Click Next. 7 Accept the default listen port of 1414, click Next and Finish. 8 Browse to: Queue Managers QM_MACHINENAME Queues New Local Queue 9 Enter a case sensitive Queue Name - it is good practice, but not required, to match the name of the Remote Queue Definition defined on the Mainframe. 10 Select the Extended tab and enter a Maximum Queue Depth of 50,000 and click OK. 11 Browse to: QM_MACHINENAME Advanced Channels New Receiver Channel 12 Enter a case sensitive Receiver Channel Name identical to the Sender Channel name defined on the Mainframe and click OK. 13 The Receiver Channel will start automatically when the Sender Channel on the Mainframe is started. 19

20 Step Action INVESTONE ENTERPRISE APOLLO TECHNICAL GUIDE - SECTION 6 CENTRAL PRICING 14 Optional but highly recommended: Define and associate a Dead Letter Queue with the local queue defined in Step #9. To do so, click on: Start Programs IBM WebSphere MQ WebSphere MQ Explorer. Right-click on the Queue Manager that was created in Step #3 and select Properties. Click on the Extended Tab and select SYSTEM.DEAD.LETTER.QUEUE Consult the WebSphere MQ System Administration Guide for any further information: 20