FRONT ARENA Introduction:Equities

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FRONT ARENA IntroductionEquities

• FRONT ARENA Training

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Agenda

• FRONT ARENA architecture
• Introduction to PRIME
• Trading
• Simulation
• Position keeping
• Summary
• Preview Advanced Equities Trading

FRONT ARENA architecture
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Client/server environment

• Sessions run on a workstation
• The sessions communicate data via a server
• The server handles the database

ARENA Data Server (ADS)
A Session is one instance of a client program
connected to a database
Databases
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Sharing data
Save
Simulated data is limited to applications in the
same session

• Other Sessions will be affected only when the
  data is saved

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ARENA Data Server (ADS)

• Central business data storage component
• Stores all business data and user parameters
• Implements no business logic
• Notification service
• Provides real time data updates
• Subscription based, multicast data distribution

ATLAS
PRIME
Price Feeds
Telerate Tibco Reuters SSL4 Open
Trade Micrognosis CSK Invision
ARENA Message Broker
Other Systems
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Agenda

• FRONT ARENA architecture
• Introduction to PRIME
• Trading
• Simulation
• Position keeping
• Summary
• Preview Advanced Equities Trading

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Instruments and Order Books

• Instruments represent the security or contract
  definition in the database
• Order Books extend the Instrument Definition with
  market specific properties to allow trading on
  electronic exchanges
• An instrument can have one or more associated
  Order Books (to enable trading the same
  instrument on multiple exchanges)

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Instruments and Order Books

• In the database these are represented and stored
  in different tables

Order Books are based on an Instrument Definition
All trades refer to an instrument
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Instruments and Order Books
Order created in an Order Book and sent to the
exchange
Trade stored in database this changes the
traders position in the corresponding instrument
ARENA Market Servers
ARENA Database
Electronic Exchanges
Orders matched deal transaction returned from
the exchange
ARENA Message Broker
Deal transaction transferred from market servers
to database via AMB
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Agenda

• FRONT ARENA architecture
• Introduction to PRIME
• Trading
• Simulation
• Position keeping
• Summary
• Preview Advanced Equities Trading

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PRIME

• A workstation tool to support proprietary
  trading
• Exchange access
• Fixed Income and Equity
• Standard prop trading
• Valuation
• Market making
• Basket/index trading
• Automated trading
• Position keeping
• Desk risk management

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HTML Help F1
Save frequently visited topics on the Favourites
tab
Keyword search for all topics in the Help File
Navigate by tree view in table of contents
Help file also contains links to specific
documents of interest on Customer central
Press F1 for Context Sensitive help
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PRIME

• Accesses data both from electronic exchanges and
  from the ARENA database
• Real-time calculations for Instrument
  valuation Position keeping Risk values
• Main tool for trading is the Trading Manager.
  Supports basic trading, order managment, market
  making, position keeping, and risk management.
• Various other windows for managing static data
  and for displaying market data

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Session

• Session one instance of the Client software
  connected to the database
• More than one instance of the Client software can
  be started on a single PC
• Simulations can be made in one Session without
  affecting calculations made in another

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The Session Manager

• Open new applications
• Manage Workspaces

Open new applications from the Session Manager
menus
These applications are open in the current Session
If an application has been minimised
double-click to display it
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Workspace

• Workspace is a way to save a desktop layout
  that can be used when starting a Session
• What is saved with a Workspace?
• - The windows that are open and their position
  on the Desktop
• - If there is data loaded into an application
  it will also be saved
• - Settings made in individual windows
• - Connections to electronic markets

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Workspace
Explorer for navigating business objects
Session Manager for managing the Workspace
Trading Manager Traders main tool for trading
and position keeping
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Creating a Workspace (1)
Start PRIME (StartgtProgramsgtFRONT
ARENAgtPrime) Open an ExplorerFrom the Data
menu(more about this tool later) Open a Trading
ManagerFrom the Trading menu(more about this
tool later)
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Creating a Workspace (2)
Connect to marketsDo this from the Explorer in
the Marketplaces folder Open other
applications from the Session Manager and
position them on your desktopFor example,
DatagtNews Ticker
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Creating a Workspace (3)
Position your windows on the desktop Select
FilegtSave Asfrom the Session Manager Give your
new Worskpace a nameand then save Select
FilegtSave As Defaultfrom the Session
Manager Select FilegtExitto close PRIME
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Creating a Workspace (4)
Start PRIME again(choose to 'Load default
workspace') Your previous layout, market
connectionsand Order Books are restored! If you
have other Workspaces saved, you can change to
one of them by selecting FilegtOpen from the
Session Manager
If you want to use someone elses Workspace -
right-click from the Explorer(opens a copy which
you should save as your own)
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Trading Manager

• Traders main tool
• Design based on Excel style spread sheets
• Columns represent a value type(either market
  based or calculated)
• Rows can be defined by either Order
  Books Instruments Orders Positions (trades)
• Shortcut menus andkeyboard shortcuts (morelater)

Calculated values
Market data
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Trading Manager getting started

• Create a new Order Book sheet (Insert menu)
• Give the sheet's tab a custom name (Double-click)
• Populate the sheet with Order Booksfrom the
  Explorer (Drag and drop an entiremarket
  segment)
• Tip Dont forget to connect to the marketto
  which the OrderBooks belong

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Trading Manager Insert Items

• Also possible to populate Trading Manager using
  the 'InsertgtItems' tool Saves having to open/use
  another application The Insert tool has flexible
  search
• Can be used for insertingOrder Books,
  MarketSegments, or Portfolios

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Trading Manager columns

• When a new sheet is created only a set of basic
  columns are displayed by default
• Many additional columns can be added to each
  sheet (and saved with the Workbook so you don't
  have to add them manually next time)
• Right-click on a column header and select 'View
  Columns' to open the Column Selector

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Trading Manager columns

• The 'Context' is a way to customise the system
  for different user types normally select
  'Standard'
• Columns displayed in logical groups
• Brief description of each column displayed
  more detailcan be found in the Help File
• Columns can be arrangedin order on the sheet
  usingdrag 'n drop

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Agenda

• FRONT ARENA architecture
• Introduction to PRIME
• Trading
• Simulation
• Position keeping
• Summary
• Preview Advanced Equities Trading

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Trading Manager Order Book sheet

• For monitoring market actvity and basic exchange
  trading use the Order Book sheet

Folder indentifies the market segment
Sharp colours indicate your own orders
Pale colours indicate orders from within your
organsation
Each row represents an Order Book
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Trading Manager market depth

• In the Order Book sheet click the ' ' icon to
  view market depth
• For certain markets it is possible to view
  detailed order depth
• Additional right-click commandsto support
• The 'Expand' command rememberslast viewed number
  oflevels for the OrderBook

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Creating and sending orders

• Simplest method is using 'Docked-In' Order Entry
• Select 'ViewgtOrder Entry'
• A docked-in Order Entry is connected to the
  active sheet - The fields in the Order Entry
  will update automatically depending on what cells
  are selected in the active sheet
• Manually adjustorder properties ifrequired
• Click 'Sell' (or 'Buy')to send to market

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Creating and sending orders

• Additional order properties can be defined
  click to expose more fields
• Some fields are market specific, others display
  market specific values.

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Creating and sending orders

• Security mesures are available to ensure orders
  are not sent accidentally
• Use the 'Clr' button to empty the Order Entry
  when not in use
• De-select 'Fill Order Entry On Click In Sheet'
  in the ToolsgtOptions dialog

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Creating and sending orders

• Selecting a cell on the Buy side will load the
  Order Entry with a Sell order (and vice-versa)
• Select a 'Price' cell and order loaded with
  default qauntity
• Select a 'Quantity' cell and order loaded with
  quantity currently at that market depth
• This feature is applied when using "Double-Click"
  trading Must be enabled in the ToolsgtOptions
  dialog Creates and sends an order in one action

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Creating and sending orders

• Possible to load one or more 'stand-alone' Order
  Entry windows with different orders, ready to
  "send to market"
• Hide the "docked-in" Order Entry and then open a
  "stand-alone" (TradinggtOrder Entry)
• De-select 'Single Order Entry' and 'Double-Click
  Trading' in the 'ToolsgtOptions' dialog
• Double clicking will opena new Order Entry each
  time

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Efficient workflow keyboard shortcuts

• Navigate between cells in the worksheet using
  ARROW keys
• Use 'F6' to move between active sheet and Order
  Entry
• 'TAB' and 'SHIFT TAB' move between fields in
  Order Entry
• Many commands have associated shortcut key

CTRLN creates a new Workbook
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Efficient workflow keyboard shortcuts

• Creating and sending orders most efficient using
  keyboard
• Fill Order and Join Order load the Order Entry
  with order the same or opposite side of the
  market (respectively)
• Buy and Sell will also load the Order Entry with
  appropriate order details
• If docked-in Order Entryisn't displayed then
  newstand-alone wil be openedNote See Help
  File for a list of all shortcut keys

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Agenda

• FRONT ARENA architecture
• Introduction to PRIME
• Trading
• Simulation
• Position keeping
• Summary
• Preview Advanced Equities Trading

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Off Exchange and OTC Trading

• Where the customer wants to record a trade made
  off-exchange there is a Trade Entry window
• Can be opened by right-click menu in Trading
  Manager

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Off Exchange and OTC Trading

• Enter the details of your trade
• Select 'FilegtSave' to completeSee FCA1007 for
  more info

• Note Some trade fields are mandatory - this is
  defined using SystemgtControl Parameters

Allocate your trade to a Portfolio
Set Trade Status to 'FO Confirmed'
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Off Exchange and OTC Trading

• 'Trade Detail' command for easily
  displaying/hiding certain fields
• Can customise 'Trade Detail' from the Trade
  Layout dialog Yes always visible Detail
  only visible in 'Detail' view ' - ' not
  visible
• Possible to define a defaultlayout both the
  fields that aredisplayed and default valuesfor
  certain fields

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Off Exchange and OTC Trading

• If you want to define your own OTC instrument
  select an Instrument Definition application from
  the 'Trading' menu in Session Manager
• Default layout and InstrumentDetail feature
  available
• 'LayoutgtTrade' provides thepossibility to define
  the instrument and enter a trade in the same
  windowMore information on instrument fields in
  FCA1007

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Agenda

• FRONT ARENA architecture
• Introduction to PRIME
• Trading
• Simulation
• Position keeping
• Summary
• Preview Advanced Equities Trading

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Order management

• Orders can be managed using the Order sheet
• Create a new Order sheet 'InsertgtOrder sheet'
• What orders that are displayed on an Order sheet
  depends on the Order Filter for the sheet
• Select 'ViewgtFilter' to view a sheet's filter

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Order management - colours
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Order management Inactive orders

• An inactive order can appear in the Order Sheet
  but is not present on the market
• Create a new Inactive order by Using shortcut
  menu in the Trading Manager Using shortcut menu
  in Explorer
• An order in the market that is cancelled becomes
  'Inactive'
• Inactive orders can be re-sent to the market
• Note Deleted orders can not be re-sent

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Agenda

• FRONT ARENA architecture
• Introduction to PRIME
• Trading
• Simulation
• Position keeping
• Summary
• Preview Advanced Equities Trading

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Combination Trading

• Combination instruments are used to define
  customer specific trading strategies
• Combination instruments are created and
  maintained in the Instrument Editor
• Drag and drop instruments from the Explorer to
  add new legs

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Combination Trading
Appears in the Order sheet
Create inactive order
Send it to the market
Handled as individual orders on the market
Synthetic Order Book
Trades update the corresponding position
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Combination Trading

• The Price Tracking feature continually modifies
  an inactive order's price according to the
  current market prices
• Can be activated by default from 'ToolsgtOptions',
  or activated manually from shortcut menu

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Combination Trading

• Eurex combinations can be entered from the
  Trading Manager
• Select InsertgtEurex Combination

Insert Items tool used to select Primary Order
Book
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Agenda

• FRONT ARENA architecture
• Introduction to PRIME
• Trading
• Simulation
• Position keeping
• Summary
• Preview Advanced Equities Trading

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Index Trading

• Index instruments are a special kind of
  combination instrument
• Two instruments must be created- The Index
  Definition instrument defines an index weight for
  each leg- The Index Replica instrument defines
  the traded quantity for each leg
• The Index replica is the instrument that is traded

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Index Trading
Index weights
Quantities to trade
Quantity adjusted to round lot
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Agenda

• FRONT ARENA architecture
• Introduction to PRIME
• Trading
• Simulation
• Position keeping
• Customisation
• Summary
• Preview Advanced Equities Trading

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Simulation

• Number of simulation possibilities in PRIME
• Simulating the used input parameter values
  connected to a calulated value that are displayed
  in the Trading Manager (the focus of this
  section)
• Working directly with valuation parameters in
  tailored windows e.g. Volatility surfaces,
  dividend estimations. (this is not normally
  covered in this course)
• Another simulation possibility is to check the
  impact of a new trade on your portfolio before
  closing it (this is covered in the next 'Position
  Keeping' section)

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Simulation - Trading Manager

• Possible to manually override input values to
  calculated values that are displayed in columns
  in the Trading Manager Note Simulating a cell
  in the Trading Manager only affects the Workbook
  in which it is made
• A simulated value, or a value affected by a
  simulation made in the sheet is displayed in
  italic text

Used Volatility simulated for a single Order Book
Underlying price simulated affects multiple
Order Books
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Simulation - Trading Manager

• Simulation can be "soft" or "hard" indicates a
  soft simulation - will be "knocked-out" if the
  parameter value changes ! indicates a hard
  simulation won't be knocked out if the value
  of the parameter changes
• Columns default to either "soft" or "hard"
  simulation, but can be manually overridden by
  entering or ! Before the value
• Remove the simulation by selecting the cell and
  pressing DELETE. Also 'Remove All Simulations'
  command from shortcut menu.

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Simulation - Calculator

• Simulate existing instruments
• Create new instruments
• Create new instruments usingexisting instruments
  as template
• Use of ! And when simulating values
• Status bar insdicates when valuesneed to
  re-calculated

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Agenda

• FRONT ARENA architecture
• Introduction to PRIME
• Trading
• Simulation
• Position keeping
• Summary
• Preview Advanced Equities Trading

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Trading Manager - Portfolio sheet

• Primarily used for desk risk management and
  Position keeping
• A set of trades can be defined by
  either Physical Portfolio Compound
  Portfolio Trade Filter
• Rows can display
• Compound/Physical portfolio totals
• Positions
• Underlying totals
• Expiry month totals
• Live/Expired totals
• Individual trades

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Portfolios

• A Physical portfolio is defined for each trade
  record
• Trades made on an exchange are assigned to a
  Physical portfolio according to properties of
  the order how the properties are used is
  decided by each organisation
• A Compound portfolio represents the aggregation
  of one or morePhysical Portfolios
• A Trade Filter defines a set of trades according
  to criteria based on trade fields

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Portfolios Trade Filters

• Open the Trade Filter application from the Data
  menu
• Define the set of trades using conditional
  operators andtrade field values
• Save the Filter using'FilegtSave As'
• The Filter will available to load and view in
  the Portfolio sheet

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Trading Manager - Portfolio sheet

• Drag and drop from the Explorer or use
  'InsertgtItems' tool
• The default view lists all live positions
• Possibility to "drill-down" and inspect the
  trades the build up each position

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Trading Manager - Portfolio sheet

• Also possible to group trades in a portfolio in
  different ways
• Can create user defined grouping- more
  information in Help File
• Use right-click 'Group' command
• Display sub-totals for each group of trades

Sub-total for all positions with AZN underlying
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Trading Manager Portfolio sheet

• Can trade directly from the Portfolio
  sheet Docked in Order Entry Trade Entry window
• Manage performance for large Portfolios using
  'ViewgtOptions' dialog

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Portfolios Order Book sheet

• For each instrument in the Order Book sheet it
  is possible to display your corresponding
  position in a Portfolio
• Add columns from the Portfolio groups('ViewgtColum
  ns')
• Drag and drop a portfolio from the Explorer (or
  use the 'InsertgtItems' tool)
• The portfolio 'Name' column displays the name
  of the portfolio currently loaded

Values for the PRIME1 portfolio
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Portfolios simulated trades

• Possible to simulate the impact of a trade on
  your portfolio
• Enter the trade manually and set the status to
  'Simulated'
• The simulated trade appears in theportfolio
  indicated by a specialicon

Icon with a tilde '' indicates trade is simulated
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Agenda

• FRONT ARENA architecture
• Introduction to PRIME
• Trading
• Simulation
• Position keeping
• Summary
• Preview Advanced Equities Trading

69
Agenda

• FRONT ARENA architecture
• Introduction to PRIME
• Trading
• Simulation
• Position keeping
• Summary
• Preview Advanced Equities Trading

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Preview Advanced Equity Training

• Market Making
• Creating and Managing Volatility Surface
• Dividend and Dividend Estimation
• Yield Curve and the Repo Rate
• Valuation Control
• Extension Manager and Customisation
• Changing Customisation - Context
• Advanced Trade Control - Greeks
• Managing Portfolio Risk - Risk Matrix
• Automated Trading