TheBooks

One aspect of trading managed accounts which can cause a CTA endless headaches is the production of end of day trade files to the various administrators and back offices that are associated with the accounts.

Each organization has their own “standard” file layout and unique requirements for both the file and how the information is to be transmitted.  Add to that symbology and decimal point requirements and the situation can quickly get out of hand.

TheBooks has a robust trade reporting facility which allows the end user to define file layouts and data transmission methods allowing the complete automation of this important operational function.

Here is a quick tutorial to get you started.

The Problem

You have just been given an allocation from a large fund of funds and they have specified that you must provide them a trade file at the end of each day that includes all trades done in their account.  The file is to be sent via sFTP, use CQG symbology, and indicate trade changes from prior days by including correction, cancellation, and new indicators within the file.

The Solution

To set this up in TheBooks, you must do three things:

1. Define a contact that represents the Fund of Funds and specify the sFTP information to use when sending files to the organization
2. Define the file layout for the file to be sent
3. Associate the account(s) in TheBooks to the contact specifying the file layout defined in step two and indicating the frequency the data is to be sent.

Define the contact

Contacts are defined using the Configuration -> Counter Parties option.  From there, you add a new contact, then using the FTP tab on the contact property sheet, define the sFTP information as shown below:

Configure the file

File layouts are also configured using the Configuration -> Counter Party option.  Clicking on the Outbound Data Formats folder on the left portion of the window displays a list of available formats.  We will be defining a new format, but to make things easy, we’ll start with an existing one as a model.

Selecting the item called “Default Activity Summary Format” and clicking on the Clone button on the toolbar causes TheBooks to create a new file layout using the selected layout as a model:

Given the requirements for the file, a few changes to the default settings are required:

• Both the Action and AllocationRowID columns should be added to the file layout.  This is done by selecting the columns in the left hand list of columns and clicking the include button.
• CQG should be selected in the Translate Market Symbols using this source combo box.
• The TranslatedMarketSymbol column should be added to the file because this is the name of the column that contains the CQG version of your market symbol.

The Action column causes TheBooks to generate CANCEL/CORRECT/NEW items in the file enabling trade changes to be reflected in the file and the AllocationRowID column provides a unique number that the receiver of the file can use to associate changes to the trades.

Once this has been done, give the file layout a name and the click OK to create it.

Associate the account

The last step in the process is to link the account with the contact.  This is also accomplished using the Configuration -> Counter Party option.  Click on the folder called Contacts that receive trading activity and click on the New button.

Select the contact and account from the dropdowns, select the Notify options to Daily, send a CSV via FTP in the new format you just defined and click OK.

That’s all there is to it.  Now, at end of day, the client will automatically receive a data file of trades sent via sFTP containing activity for their account.  Any changes to prior-reported trades will be noted within the file and the market symbols will be CQG symbols rather than the symbology you use.

Summary

Providing customized trade files to investors, clearing brokers, 3rd party administrators, and others can be a daunting task for a CTA with managed accounts.  For users of TheBooks, providing these types of files, customized to each recipient, is accomplished using a few, simple, configuration tasks.