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Open Financial Market Platform

Introduction

Kaupthing Bank Luxembourg, in co-operation with Weigle Wilczek GmbH, is proud to propose the Eclipse Open Financial Market Platform Project as an open source project under the Eclipse Technology Project.

This proposal:

  • is in the Project Proposal Phase (as defined in the Eclipse Development Process document) and is written to declare its intent and scope.
  • is written to solicit additional participation and input from the Eclipse community.

The Eclipse Open Healthcare Framework proposal has been used as a basis for this proposal.

You are invited to comment on and/or join this project. Please send all feedback to the http://www.eclipse.org/newsportal/thread.php?group=eclipse.technology.ofmp newsgroup.

Overview

The goal of the Open Financial Market Platform (OFMP) is to extend the Eclipse Platform to create an open-source platform for interoperable, extensible financial market systems based on Equinox, Eclipse's OSGi framework. OFMP targets on tools and components for middle-office Financial Markets applications for the banking industry. OFMP will open-source field-tested components from a bank's production environment connecting to common back-office and front-office systems.

This Open Financial Market Platform proposal might lead to more generic projects, such as an Open Banking & Finance Framework.

The Open Financial Market Platform will develop infrastructure, tools, components, and services to support development of both client and server applications. Client development will be based on Eclipse RCP and server components will be based on Equinox OSGi together with core Eclipse concepts such as plug-in based extensibility.

The essential functional elements of OFMP V 1.0 are well understood by domain experts. While there is a significant engineering effort required, we feel that the work plan as proposed here can be implemented given sufficient resources, and does not involve an unrealistic level of technical risk. Consequently, we propose this project to be considered as an incubator within the Technology PMC.

We are not aware of any other efforts to build a open-source platform for constructing financial applications. Consequently, we expect it will take both time and effort to grow an OFMP community within the finance industry. We are optimistic that within the first 6-12 months there will be a considerable growth in the team after successfully passing the Creation Review and being established as an Eclipse project. Our development plans are deliberately open-ended so that we can employ these additional resources effectively as they become available. If we are wrong in our optimism, our development plan can still succeed, but clearly will take longer to reach its goals.

Vision

Financial industry has experienced continuous standardization of its main products and methods since the early 90's.

OFMP's goal is to respond to the increasing need of a vertical market integration within current existing financial software offerings. Several financial open source tools and mathematical libraries can benefit from this platform as an integration point.

The componentization enables contributors to more easily build reusable financial business components and applications, using Eclipse's powerful component model and extension mechanisms in client-side as well as server-side environments through OSGi.

Scope

A lot of financial applications require a common set of services, for example:

  • Business Date
  • Calendars
  • Counterparties
  • Currencies
  • Quotes
  • Order Management processes
  • Limits
  • Exposures
  • Market Data

To assemble those services, several types of tools are required:

  • Business Rules Engine
  • Tools to integrate with data-oriented and service-oriented legacy EIS and external data source
  • Reporting Infrastructure
  • Background Job Scheduler
  • Financial Mathematical Libraries
  • Real time data Infrastructure
  • Document Management System

OFMP will provide a framework for implementing support for a broad range of financial instruments and financial algorithms/libraries, effectively combining live data with quantitative financial models. Specific tools and components for risk management can be easily integrated and will be provided as well.

While providing field-tested components that connect to common financial systems in an extensible framework, the platform allows to integrate sophisticated methods from quantitative finance to observe, analyse and project data in a real life banking environment. Latest results from academic research can be more easily adopted while using this framework.

We believe there is an opportunity to provide a common, vendor-neutral platform that includes generic components, integration mechanisms, supporting tools and workflows, together with a process for staged customization to meet national standards, allow differentiation of commercial products, and meet the requirements of financial organizations. As mentioned above, OFMP will only cover Financial Markets functionalities and will be established as a middle-office platform.

Functional Structure

Proposed functional structure is presented on the following diagram:

← Technology oriented Business oriented →

Common

  • Background job scheduler
  • Business rules engine
  • Reporting infrastructure
  • Currency calendar
  • ...

Environment Definition

  • Market data management
  • Counterparty management
  • Trading guidelines management
  • Trading books management
  • ...

Risk Controlling

  • Real time position keeping
  • Intra-day risk management
  • Reconciliation process
  • Position mark to market
  • ...

Business Standard

  • CLS Compliancy
  • P&L Calculation
  • Order management
  • ...

Risk Management

  • Market risk measurements
  • Derivatives instrument pricing
  • Stress testing
  • Monte Carlo methods
  • Simulations
  • ...

These components can be used in applications that are supporting Money Markets, Capital Markets and Foreign Exchange activities.

Though initially this structure is mainly focused on Financial Markets divisions, it can also be extended to cover other financial divisions like Accounting, Credit, Corporate, Insurance, Asset Management, etc.

Tentative Plan

2008-01 v0.1: Main Functional Business Components running on Eclipse OSGi server
2008-04 v0.2: Financial Mathematical libraries integration
2008-07 v0.5: Risk Models available and Risk Reporting deployed
2008-11 v1.0: Release 1.0 covering Financial Markets and Risk Management functionalities

As a further step the platform will be enriched by Risk Management components to evolve to a complete Risk Management Information System (MIS).

Liaison with Industry Standards Groups

  1. The Financial Information eXchange (FIX) Protocol is a messaging standard developed specifically for the real-time electronic exchange of securities transactions. FIX is a public-domain specification owned and maintained by FIX Protocol, Ltd.
    www.fixprotocol.org
  2. The Financial products Markup Language (FpML®) is the industry-standard XML protocol for complex financial products.
    www.fpml.org
  3. SWIFT messaging supplies secure, standardised messaging services and interface software to nearly 8100 financial institutions in 207 countries.
    www.swift.com
  4. Continuous Linked Settlement (CLS) is the market standard for foreign exchange settlement between major banks.
    www.cls-group.com

Integration Points with Other Eclipse Projects

The existing code base includes a number of components that make use or will make use of frameworks provided by existing Eclipse projects. The initial list of projects that may be used by the Open Financial Platform include:

Business Intelligence and Reporting Tools (BIRT)

  • OFMP is expected to use BIRT for its Business Reporting needs.

Data Tools Platform (DTP)

  • Model Base project to provide a model of relational database schemas and structures.
  • Connectivity project, which provides components for defining, connecting to, and working with data sources.

Device Software Development Platform

  • eRCP project to provide client-deployment in hand-held devices.

Eclipse

  • Equinox project to implement both client-side and server-side OSGi services as evolved by the OSGi Enterprise Expert Group.

SOA Tools

  • SOA Tools will provide support for service-based communication with other EIS.

Eclipse Technology Project

  • Dynamic Languages Toolkit project to provide tooling for the RCML language (www.rcml.net)
  • Java Workflow Tooling project for Financial Workflows modeling.
  • Maya project for profile-based client deployment.
  • Eclipse Persistence Services project for interaction with relational databases, XML, and Enterprise Information Systems (EIS).

Code Contributions

Kaupthing Luxembourg offers its Forex Financial Markets Middle Office Platform code base and tests for consideration by the project as an initial starting point. This platform has been developed internally by Kaupthing Luxembourg since April 2006 and in collaboration with Weigle Wilczek GmbH since October 2006.

Other Open Source projects used in current code

  • Rich Client Markup Language (www.rcml.net)
  • Spring Framework
  • ACEGI Security
  • Quartz scheduler
  • ObjectLab DateCalc
  • iBatis, XML-based object/relational mapping and persistence framework as well as a data access abstraction layer.

Organization

Kaupthing Project Initiator

Mr. Alexandre Simon
Director, Head of Financial Markets
Kaupthing Bank Luxembourg
Phone:: +352 46.31.31.212
Fax: +352 46.31.31 224
Web:www.kaupthing.lu

Initial Participants

Mr. Frederic Conrotte
Software Architect - Analyst
Kaupthing Bank Luxembourg S.A.
Phone: +352 46.31.31.548
Fax: +352 46.31.31 224
E-Mail: frederic dot conrotte at kaupthing.lu
Web: www.kaupthing.lu
Co-Project Lead - System Integration, Committer
Mr. Fabian De Keyn
Financial Engineer - Market Risk manager
Kaupthing Bank Luxembourg S.A.
Phone: +352 46 31 31 683
Fax: +352 46.31.31 224
E-Mail: fabian dot dekeyn at kaupthing.lu
Web: www.kaupthing.lu
Co-Project Lead - Financial Enginering, Committer
Mr. Aleksey Aristov
Software Architect - Analyst
RCML Project Creator
Weigle Wilczek GmbH
Phone: +49 (0)711. 45 999 8 - 0
Fax: +49 (0)711. 45 999 8 - 29
E-Mail: aristov at weiglewilczek.com
Web: www.weiglewilczek.com
Co-Project Lead - System Architecture, Committer
Mr. Stephan Wilczek
Managing Partner
Weigle Wilczek GmbH
Phone: +49 (0)711. 45 999 8 - 0
Fax: +49 (0)711. 45 999 8 - 29
E-Mail: wilczek at weiglewilczek.com
Web: www.weiglewilczek.com
Project Coordination - Ecosystem Development, Committer
Mr. Alexander Thurow
Software Developer
Weigle Wilczek GmbH
Phone: +49 (0)711. 45 999 8 - 0
Fax: +49 (0)711. 45 999 8 - 29
E-Mail: thurow at weiglewilczek.com
Web: www.weiglewilczek.com
Committer
Mr. Sergey Vasiljev
Software Designer and Architect
Freelancer
Phone: +49 (0)163 6158713
E-Mail: serge dot vasiljev at gmail.com
Committer
Mr. Etienne Hermand
Financial Engineer
Phone: +352 26 31 12 91
E-Mail: ehermand05 at gsb.columbia.edu
Contributor

Other participants are more than welcome and being actively sought.

We aim to attract 2 types of project contributors:

  • Contributors part of Financial Engineers Community (Business Analysts, Financial Mathematicians,...)
  • Contributors part of Software Development Community

Interested parties

The following organizations have expressed interest in joining the project:

  • Kaupthing Luxembourg S.A.
  • Weigle Wilczek GmbH