TradeHeader

TradeHeader

TradeHeader S.L. specializes in providing software development, consulting, and training in the area of financial data standards. We have strong expertise in OTC (Over-The-Counter) derivatives products and processes and we are specialized in messaging standards such as FpML, FIX/FIXML, and ISO 20022. We don’t just know these standards, we are involved in designing, evolving, and stewarding them.

Software Development

TradeHeader’s custom software development practice has expertise and a proven record of successful delivery of complex applications for the financial industry. Our primary focus is in developing tools that require strong expertise in financial products and messaging standards such as FpML, FIX-FIXML, and ISO 20022. These are some examples of tools we have developed:

  • Converters: The software manages the conversion between financial standards such as FpML, FIX/FIXML, and ISO 20022 using external XQuery scripts. It processes concurrently all input files that can be CSV, JSON, MxML, Bloomberg TOMS, or others, and launch the compiled XQuery and save the results locally.
    • The conversions are based on XQuery so there is no need to recompile the Java code in order to support other financial XML standards.
    • The software includes validation, including schema and business rules validation for FpML and ISO 20022.
    • The converters support multiple transport mechanisms such as AMQP, SFTP, email, etc. using the Apache Camel framework.
  • FpML Samples Generator: This application is capable of generating thousands of valid FpML messages. Business logic is coded in the application to be able to generate random examples that make business sense.
  • Defaulting Service: The service enriches FpML trades by analyzing its content. It applies standard ISDA default values and market practice. It uses an xml configuration file for the defaulted elements and market conventions. The configuration file is parsed in Java and the tool includes the appropriate default elements if they don’t exist in the input trade. If the elements appear but values are different from the default ones, warning messages are thrown.
  • ISDA Taxonomy Classifier: The ISDA Taxonomy Classifier takes an FpML message; it analyzes and classifies it, and adds a productType element inside the trade structure with the appropriate ISDA Taxonomy code.
  • Reporting Generator: After working in regulatory projects for clients using binding frameworks we found that in many scenarios this approach is too rigid. We propose a regulatory reporting solution using XSLT and creating configuration files to fully customize the output regulatory report.
  • Matching Engine: The matching engine is a content-based and structure matching process for the FpML standard. It uses the Hungarian Matrix algorithm to select the minimal distance cost between all nodes of 2 different documents.

Consulting

We’re specialists on the use of data standards in the financial services industry including FpML, FIX/FIXML, and ISO 20022.

Read our Case Study on Internal Messaging for an Investment Bank [pdf].

This is a sample of projects and tasks we have developed which involve some messaging consulting:

  • Consulting for global organizations developing their internal messaging based on FpML, FIX/FIXML, and ISO 20022.
  • Development of messaging specifications.
  • XML Schema development including the creation of extensions following standards’ architectural guidelines
  • Definition and implementation of validation rules
  • Creation of test cases for system testing
  • Advising on OTC derivatives trade repositories.
  • Data mapping between front-office and back-office systems (Murex, Kondor+, OPICS, Calypso, Scrittura).
  • Representation of complex structured products for internal messaging.
  • Data integration with DTCC and MarkitSERV.
  • Developed a set of templates in order to facilitate the population of a fully compliant FpML message identifying required, defaulted, and derived fields.
  • Standards compliance analysis.
  • DTD to XML Schema conversion.

Training

FpML Training

TradeHeader offers the following FpML training courses:

  • Introduction to FpML: This is an introductory course covering a wide range of FpML topics including product representation, technical foundations, messaging, business processes and events, validation, customization guidelines.
  • Extending FpML: This is a hands-on training course focused on customizing FpML. Participants learn how to extend the standard to cover complex products, securities, and custom messaging.
  • Validating FpML: This is an advanced course focused on coding a validation engine. Participants learn how to execute and extend an open source validation engine by creating new business rules and plugging in internal schemas.
  • Asset-class specific FpML training: This course expands the Introduction to FpML course by focusing on additional asset classes not covered in the introductory course.
  • TradeHeader offers online evaluation of the completed training courses.

FIX-FIXML Training

TradeHeader offers the following FIX-FpML training courses:

  • Introduction to FIX-FIXML: This is an introductory course covering the fundamentals of FIX including the session layer, messaging, and instruments. For the FIXML Schema, a section on technical foundations is also covered.
  • Extending FIXML: This is a hands-on training course focused on customizing FIXML. Participants learn how to extend FIXML to cover reference data, pricing, and custom fields.

ISO 20022 Training

TradeHeader offers the following ISO 20022 training courses:

  • Extending ISO 20022: This is a hands-on training course focused on customizing ISO 20022 for internal enterprise messaging. The course may cover settlement, securities, or both.