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EXTENT-2016: Innovative Approach to Testing of Clearing and Settlement Systems

EXTENT-2016: Innovative Approach to Testing of Clearing and Settlement Systems

EXTENT-2016: Software Testing & Trading Technology Trends
22 June, 2016, 10 Paternoster Square, London

Innovative Approach to Testing of Clearing and Settlement Systems
Alyona Lamash, Head of Post Trade QA, Exactpro, LSEG

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June 27, 2016
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  1. Alyona Lamash Head of Post Trade QA Exactpro Innovative approach

    to testing of Clearing and Settlement systems
  2. Open Access Quality Assurance & Related Software Development for Financial

    Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 2 Innovative approach to testing of Clearing and Settlement systems Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 2460, +1 415 830 38 49 www.exactpro.com Alyona Lamash, Exactpro
  3. Alyona Lamash - Head of Post Trade QA division at

    Exactpro Systems Projects at Exactpro: •Turquose EuroCCP interface •CCP.A MIT NewClear implementation QA •SGX CSD MIT implementation QA •Strategic development of Post Trade QA Introduction
  4. Our task is Clearing and Settlement platform QA. •There are

    a number of challenges and complexities in this task •Next several slides describe such complexities and the way our team address them Agenda
  5. Components of complex post trade infrastructures

  6. • Participant structure complexity • Trade/Position/Account lifecycle • Risk calculation

    variety/complexity • Asset classes complexity • Upstream/downstream systems dependency • Access via variety of API endpoints • Test Library size Short list of challenges
  7. Participant structure complexity

  8. Participant structure complexity

  9. Trade/Position/Account lifecycle

  10. Collateral Upload Risk Run Margin Call Risk Run Settlement Run

    Trade Date Settlement Date Simulate Delivery Failure Day 1 Penalties BUY IN Cash Settlement Risk Run Trade Input Day 2 Risk Run Corporate Action Trade Input Day 3 Risk Run Settlement Run Collateral Deficit Delivery Default Corporate Action Trade/Position/Account lifecycle Delivery Default Trade Input Trade Input Trade Input
  11. Risk calculation complexity

  12. Asset classes complexity

  13. Upstream / downstream systems dependency

  14. Upstream / downstream systems dependency

  15. Access via variety of API endpoints

  16. Test Library size x x x x = LIBOR 2%

  17. Innovation in QA: Holistic Integrated Automation Test Framework

  18. Open Access Quality Assurance & Related Software Development for Financial

    Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 18 Collateral Upload Risk Run Margin Call Risk Run Settlement Run Trade Date Settlement Date Simulate Delivery Failure Day 1 Penalties BUY IN Cash Settlement Risk Run Trade Input Day 2 Risk Run Corporate Action Trade Input Day 3 Risk Run Settlement Run Collateral Deficit Delivery Default Corporate Action Case Study: ClearTH Delivery Default Trade Input Trade Input Trade Input
  19. Case Study: ClearTH

  20. Case Study: ClearTH

  21. Case Study: Risk Analyzer

  22. Case Study: HiVAT Verify Model Predictions Check Consistency Verify Logs

    Monitoring GUI and API
  23. Case Study: HiVAT Good for Regression Good for Failover Testing

  24. Thank you