RISK MANAGER. Release Version: (Excel) and User Documentation Revision 1.0

Transcription

1 RISK MANAGER Release Versin: (Excel) and User Dcumentatin Revisin 1.0 Tuesday, May 23, 2006

2 TABLE OF CONTENTS RELEASE NOTES MANDATORY RISK MANAGER SOFTWARE UPGRADE FOR INTERNAL USERS 1 ACTIVE RISK MANAGER DIALOG 2 ACTION RESPONSE DIALOG. 2 POSITION DIALOG 3 EXCEL VERSION.3 IMPORTING TRADER DATA EXPORTING ALL TRADERS VIEW..5 SETUP 6 SETTINGS DIALOG.6 DATABASE 6 POSITION SERVER..7 ROUTER 7 PREFERENCES 8 CHANGE PASSSWORD....9 REVISIONS AND PREVIOUSLY RELEASED DOCUMENTATION TRADER PROFILE DIALOG..10 TRADER BREACH DIALOG POPUP OPTION.10 TRADER MAINTENANCE.11 TRADER PRODUCTION MODE TRADER GROUP PROFILE DIALOG..12 FIRM PROFILE DIALOG...12 FIRM MAINTENANCE..13 FIRM NUCLEAR MAINTENANCE..13 FIRM PRODUCTION MODE 14 POSITION VERIFICATION DIALOG.14 POWER LIMITS DIALOG..14 CUSTOM GROUPS...15 VIEWING THE CUSTOM GROUPS 16 CREATING A CUSTOM GROUP.16 POPULATING CUSTOM GROUPS WITH TRADERS 17 SUBSCRIBING TO EXISTING SHARED GROUPS 17 DELETING GROUPS AND REMOVING SHARED GROUPS 18 DELETING TRADERS FROM A SHARED GROUP. 18 BUG FIXES.19 1

3 RISK MANAGER RELEASE NOTES Versin: (Excel) and Date: 05/19/06 Type: Full Release As with mst existing Risk Manager features, dcumentatin will be prvided as features r mdificatins affect these yet t be dcumented areas building upn a cmprehensive Risk Management user guide. Risk Manager Versin uses the Excel libraries and requires Micrsft Office 2000 with Excel shuld imprting r exprting t/frm Excel be required, therwise; Users nt meeting the requirements shuld use Versin , which cntains n references t Micrsft Office FEATURES MANDATORY RISK MANAGER SOFTWARE UPGRADE FOR INTERNAL USERS: All internal users must upgrade beginning Mnday May 22, External users upgrades will be perfrmed after successful internal Risk rllut. New (v4.0.2) psitin servers (Ps1, Ps2, and Ps3) are being released with changes that will affect cmmunicatins with previus Risk Manager versins. These new Psitin Server releases cntain upgraded message frmats requiring this new versin f Risk Manager; ld versins f Risk Manager will be prevented frm cnnecting. Upn cnnecting an lder versin f a Risk Manager t a new Psitin Server a message instructing the user t upgrade t this latest release (v31.7.2) will be displayed. The recnnect exclamatin mark buttn will als be disabled preventing user frm attempting t recnnect an unsupprted Risk Manager versin. 1

4 ACTIVE RISK MANAGER DIALOG: This dialg is available nly t users wh are authrized t actively mnitr risk. The dialg summarizes actively mnitring risk manager clients. UserID: Risk Manger Lgin ID. IP Address: Risk manager s client IP Address. Prt: Psitin Server s Prt number dedicated t that Risk Manager cnnectin. Date: Activity cnnectin date. Cnn. Time: The clck time a user went active. State Timer: A timer indicating the length f time a user has been actively mnitring risk withut ging inactive. Actin Respnse Dialg: This input ppup dialg requires the actively mnitring risk manager respnd accurately in rder t remain active. Failure t answer the questin crrectly within ne minute causes the active mnitring state t end and triggers an indicating this change f state t inactive. The displayed questins are randm and are based n the active view within the Risk Manager. Failure t answer the questin crrectly within the 60 secnds will deactivate the activity feature and trigger an t risk alerts with infrmatin f the details. 2

5 Risk Manager evergara has been set t away fr nt respnding t the keep active ppup. The questin may be changed and refreshed by hitting the escape key. Questins are based n the currently active view and are randm. Once Cntinue As Active is pressed an will be sent t Risk Alerts with the infrmatin that the active risk manager user has been set back t the actively mnitring state. Risk Manager evergara is set back t active. The time away was: 00:02:30. Psitin Dialg: Added an Open P/L clumn t the Trader s Psitins dialg. By duble clicking r by right clicking n a trader then selecting Shw Psitin within a Trader View, a dialg will display the trader s current pen psitins. Open PL is calculated using the ((average price) - (current price)) * (# f shares). Psitin Size is a percentage determined using the trader s Buying Pwer vs. the Current Market Value f the Psitin. 3

6 Psitin Verificatin Dialg: Hitting F1 while fcus is n the psitin dialg pens the verificatin Psitin Dialg. Data is gathered directly frm the database and cnsidered accurate. This dialg is used t verify the risk manager psitins fr a particular trader are accurate. Excel Versin: The Risk Manager with Excel features allws the imprting and exprting f traders t frm the Risk Manager client. Micrsft Office 2000 is required in rder t run this versin f Risk Manager sftware. The latest release cnsists f tw builds; v has the Excel features and v des nt have the Excel features. Imprting Trader Data: Custm Cntrls may be ppulated by imprting the trader data frm an Excel Wrkbk Spreadsheet. The spreadsheet layut requires a strict frmat and a custmizable Spreadsheet name. Imprting data must be perfrmed frm within the Custm Grups view. Select Imprt Frm Excel t pen the Imprt Frm Excel Dialg. 4

7 The Excel path and filename may be ppulated using the Brwse buttn, which pens a dialg t help lcate the Excel file t imprt. The Wrksheet Name must crrespnd t the wrksheet name that yu wish t imprt int the Custm Grups view. Checking the generate Trader Grups will lk up each traders grup name fr which they belng and create this new custm grup and/r add them t this custm grup f the same name. The Shared Grup(s) ptinal checkbx is used t create these grups as shared grups s that thers may als view this custm grup. Exprting All Traders View: Exprting dumps the cntents f the trader s view int an excel file lcated n the C:\ drive with the naming cnventin f the frm RM_Wednesday, March 01, 2006.xls. Spreadsheet cntains the same fields, as des the Risk Manager. 5

8 Setup: Cnfiguratin f the Risk Manager s setup parameters may be perfrmed using the Optins dialg by selecting the apprpriate tab. One may als pen the One may als chse t select the setup ptin directly frm within the Setup submenu items t pen int that tab directly. Settings Dialg: Cnfiguratin f the Risk Manager s setup parameters may be perfrmed using the Optins dialg by selecting the apprpriate tab. The database settings are the first tab f the Settings tabbed dialg. These settings shuld nt be changed. 6

9 The next tab is the Psitin Server Settings. Fr internal Risk manager users, Ps1, Ps2, and Ps3 are all acceptable servers t use in this cnfiguratin tab. Ruter settings are fr the ruter prt and shuld als be left t the default value. 7

10 Stck Updates timer settings determine hw ften the trader s psitins are refreshed with the latest stck prices. When Aut Srt is enabled, the Risk manager will resrt the view accrding t the selected clumn each time a certain number f recrds are received r upn a certain amunt f secnds pass, whichever happens first. Audible warnings are a wave files assigned t particular warning triggered based n predefined rules. Disabling this ptin keeps the Risk Manager silent, warning may still be bserved in the Warning Dialg. Enabling the Trader Breach Dialg ptin causes the Trader Dialg t autmatically pp pen fr a trader breaching his/her limits. SMTP Server IP shuld be set t its default value. This is the IP Address f the simple mail transfer prtcl server. Ntificatin shuld als be set t the default value and is used primarily t send ut s frm Actively Mnitring Risk Managers based n activity and Firm and Trader triggers. 8

11 T change yur passwrd, use the Change Passwrd tab. Type Old Passwrd (current), new passwrd and cnfirm the new passwrd, then hit change. 9

12 REVISIONS AND PREVIOUSLY RELEASED DOCUMENTATION The revisins sectin f the release ntes cntains changes since v31.6 and are included as part f this release in rder t cntinue dcumenting the Risk Manager in a user-friendly manner. TRADER PROFILE DIALOG: Trader details is available t imprve visibility by including all trader related data in ne sht including pie charts with clr crdinated breaches and buttn links t psitins view and edit pwer and limits dialgs. There are buttns lcated n bth sides f the OK buttn t mve t the previus r next trader in the list withut having t pen anther trader prfile dialg. Trader Breach Dialg Ppup Optin A checkbx ptin, defaulted t OFF, t autmatically display the trader prfile dialg upn trader breach can be accessed in the main menu under Setup then Preferences. If this ptin is checked, the dialg will ppup shuld the active risk manager detect a trader breaching ratis. The ptin has n effect n the ability t pen the trader dialg manually. 10

13 TRADER MAINTENANCE: Trader Maintenance mde restricts a trader t place trades that clse current pen psitins nly. Feature currently disabled until Flating Orders are prperly handled in a future release f the Psitin Server. Traders breaching lng r shrt t buying pwer ratis r Market Value and Grss Prfit Lss limits will be restricted clsing rder trading nly. Active Risk Managers ntify the psitin server t set trader t maintenance mde. The Trader dialg pps-up when a trader is restricted and trader item clr set t gray as well as the TraderID appended with an asterisk in any trader view in rder t facilitate finding the restricted traders by ascended srting the trader id clumn. Trader Maintenance Triggering Limits <= $(50k) Grss Prfit Lsses >= $2M Market Value Shrt and Lng Ratis are user definable (see POWER LIMITS dialg sectin belw) 11

14 TRADER PRODUCTION MODE: Trader resumes prductin mde when lng and shrt ratis t buying pwer ratis are back t nrmal. Feature currently disabled until Flating Orders are prperly handled in a future release f the Psitin Server. An active risk manager will send a message t the psitin server t resume full prductin mde fr a particular trader shuld the trader be in trader maintenance mde by first reading the database fr trader the maintenance mde field then satisfying calculated current ratis d nt breach rati limits. The psitin server is respnsible fr managing the returning f a particular trader t full prductin mde. TRADER GROUP PROFILE DIALOG: Trader Grup details are available t imprve visibility by including all trader grup related data in ne sht including pie charts with clr crdinated breaches * and buttn links t psitins view and edit pwer and limits dialgs. FIRM PROFILE DIALOG: Firm Prfile details are available via a dialg detailing all firm related data in ne sht including pie charts with clr crdinated breaches. * Green indicates well within acceptable levels, Yellw indicates apprximating 12

15 FIRM MAINTENANCE: Firm Maintenance mde restricts all traders t placing trades that clse current pen psitins nly. Feature currently disabled until Flating Orders are prperly handled in a future release f the Psitin Server. Firm is in breach when lng r shrt t buying pwer ratis exceed limits as well as when Market value exceeds limits. All traders in the firm will be restricted t clsing rder trading nly. Active Risk Managers ntify the psitin server t set firm t maintenance mde. It is up t the Psitin Server t trigger the ruters int Risk Maintenance. The Firm Prfile dialg pps-up when the firm is restricted and an is sent t Risk Alerts ntifying f the breach. Firm Maintenance Triggering Limits MAX_FIRM_MARKET_VAL = $30M MAX_FIRM_GROSS_LOSS = ($200k) FIRM NUCLEAR MAINTENANCE: Firm Nuclear Maintenance mde restricts all traders frm placing any trades and cancels all flating rders. The Firm Prfile pps-up detailing the breach with GUI s and the actual quantities. An is sent t Risk Alerts with 13

16 the NUCLEAR FIRM RESTRICTIONS IN EFFECT details. Feature currently disabled until Flating Orders are prperly handled in a future release f the Psitin Server. NUCLEAR_FIRM_MARKET_VAL = $50M NUCLEAR_FIRM_GROSS_LOSS = ($1M) FIRM PRODUCTION MODE: Firm resumes prductin mde frm Firm Maintenance and Firm Nuclear Maintenance when market value and/r grss limits are back belw the maintenance triggering limits and manually by ne r mre designated users, respectively. An active risk manager will send a message t the psitin server t resume full prductin mde fr the firm shuld the firm be in firm maintenance mde and satisfy the calculated current ratis and market values d nt breach limits. The psitin server is respnsible fr managing the returning the firm t full prductin mde based n messages received frm actively mnitred risk managers. POSITION VERIFICATION DIALOG: Psitin dialg verificatin was requested in rder t verify that the current psitins are accurate by reading psitin infrmatin directly frm the database and displaying in a list. Hitting F1 inside the psitin dialg fr a particular trader displays the psitin verificatin dialg. POWER LIMITS DIALOG: Additinal fields are available t manage trader pwer. Additinal limits will be gathered in rder t further mnitr a trader s risk and set the ability t autmatically restrict trader s expsure t risk. This allws custm values be set as ppsed t having settings acrss the bard fr all Prprietary traders and ther settings fr custmer traders. Als prevents having t eyeball sme f these ratis. Max Shares Traded: Limit the number f shares trader thrughut the day. Max Shares Held: Limit the number f shares held at any ne time. Max Psitins Traded: Limit the number f psitins traded thrughut the day. Max Psitins Held: Limit the number f psitins held at any ne time. 14

17 Market Value t Current Equity Balance Rati: Allw fr individual trader rati settings fr BP/Mval Ratis. Default is 50:1 fr Prprietary Traders. Default is 4:1 fr Custmer Traders. Market Value t Current Equity Balance Rati: Allw fr individual trader rati settings fr Market Value/Curr.Eq.Balance Ratis. Lng Market Value t Buying Pwer Rati: Allw fr individual trader lng rati settings fr MVal/BP Ratis. Limits being n the same side f the market. Default acceptable Rati is 80% f Current Buying Pwer. Shrt Market Value t Buying Pwer Rati: Allw fr individual trader shrt rati settings fr MVal/BP Ratis. Limits being n the same side f the market. Default acceptable Rati is 75% f Current Buying Pwer. CUSTOM GROUPS: The Custm Grup View allws a Risk Manager user t create and manage custmizable trader grups based n any gruping lgic fr traders t which the 15

18 user is entitled t view. Custm Grups are stred in the database and are linked t the user ID creating the custm grup. VIEWING THE CUSTOM GROUPS: Select View Menu then Sub-Menu Custm Grups. CREATING A CUSTOM GROUP: Custm Grups must either be Created, Imprted r Subscribed t fr Viewing (Shared Grups). Right click in the tp pane view and select Custm Grups 16

19 Selecting New Custm Grup will display the Add a Custm Grup dialg. There als exists the ptin f creating this grup as a shared grup fr thers t view. Thse wanting t subscribe t the shared grups will nly have the ability t view traders fr which they are entitled. Subscribers t shared grups are nt authrized t make changes. Enter a name unique t the currently lgged-in Risk Manager ID. Check the ptin Shared ptin bx t create this grup as shared. T create this grup as private, D Nt check the shared ptin bx. POPULATING CUSTOM GROUPS WITH TRADERS: G t any view displaying traders, highlight the trader r traders, right click t display the ppup menu. Select Menu Custm Grups, sub-menu Add Trader t Grup, and then click n the Custm Grup fr which yu wuld like t add the highlighted trader(s). SUBSCRIBING TO EXISTING SHARED GROUPS: Subscribing t existing shared grups must be perfrmed frm within the Custm Grups view pane. Right click 17

20 then select Custm Grups, Subscribe t Shared Grup, then finally select a grup fr which t subscribe. Shared grups are nly editable by the share grup riginatr. DELETING GROUPS AND REMOVING SHARED GROUPS: Deleting shared grups and wner created grups are accmplished similarly thrugh the ppup menu highlighting the Custm Grup fr which is the intended remval target. A verificatin dialg will prmpt user t verify that this is the intended actin. DELETING TRADERS FROM A SHARED GROUP: Deleting traders frm Custm Grups is achieved by selecting the trader(s) frm the Custm Grups Trader view then right clicking and selecting the Delete Trader frm Grup ptin. N ther dialgs will be displayed. 18

21 BUG FIXES Added a IsActive public methd t the DataHandler t allw ther classes t determine whether the Risk Manager is actively mnitring Risk fr certain tasks such as placing restrictins n traders. Added a IsTraderRestricted public methd t the DataHandler which interrgates the database t allw the DataCllectin Thread determine whether the Trader is currently restricted prir sending messages t the Psitin Server t remve restrictins. Tightened-up the DataHandlerThread with lcks arund all paths t the TraderVectr. Added a CSyncObject in the Stck Updates t lck the DataHandler while manipulating the Trader and Stck Vectrs prir t updating the views with the latest stck qutes. Remving the lck after the stck updates cmpletes while updating the views. Mved the CmmaFrmat methd t the SafeString class. Made Activity.lg filename unique due t pssibly running multiple risk managers n the same machine by appending the minute and secnd the Risk Manager was started int the Activity.lg file name. The Activity lg file maintains a lg f the warnings issued t the Risk Managers Warning Dialg via the Psitin Server. 19