Derivatives Trade Generation

Automated Derivatives Trade Reconciliation and Generation

Client

Asset Manager - Multi-Strategy Fixed Income

Business Problem

The derivatives pre-trade compliance team manually reconciled trade instruction emails against the firm’s current derivatives holdings to determine appropriate buy/sell actions.

The process was complex, relying on the tacit knowledge of senior staff to interpret nuanced instructions, apply trading rules, and avoid exposure breaches.

This manual approach increased the risk of operational errors, compliance violations, and delayed submission to the Charles River trading system.

Solution Delivered

We developed an Excel-based automation tool that fully digitised the derivatives trade reconciliation and generation process.

Core capabilities included:

  • Automated parsing of trade instruction emails and loading of extracted data into a structured Excel interface
  • Implementation of codified trading logic to determine buy/sell actions based on predefined exposure, position, and strategy rules
  • Auto-generation of formatted trade instructions ready for submission to the Charles River IMS trade booking system
  • Built-in validation to prevent duplication, incorrect notional sizing, and rule breaches

Results

  • Reduced trade reconciliation and generation time from over 2 hours to under 30 seconds
  • Removed key-person dependency by codifying all trade interpretation logic
  • Ensured 100% compliance with trading rules and position limits
  • Increased reliability and speed of trade submission into Charles River IMS
  • Enabled the trading desk to focus on exception handling and risk oversight, not data wrangling

Technology

Excel | VBA | Outlook

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