App Ideas

App Ideas

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  1. Client has Exchange Fees set up based on quantity, however, if an Order is being booked as a result of Option Expiry the value of the order is zero - but exchange fees still end up getting posted. Order comment updates with EXPIRY for these types of orders, there should be a way to zero out the exchange fee posting on these orders by linking the order comment.

    12 votes
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  2. 4 votes
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  3. 3 votes
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  4. clients often need to manually rebook orders to new security/holding when par amount, currency, or contract size are updated with a new security/holding; app would need to get the old order info and place the order info onto the new security/holding

    6 votes
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  5. FATCA (Foreign Account Tax Compliance Act) compliance

    1 vote
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  6. 4 votes
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  7. We have custom columns that describe the delta/gamma/etc attribution. We should enhance trading P&L and look at holding level transactions

    12 votes
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  8. 7 votes
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  9. For all API users, IFP could provide the much needed functionality of Find Security. Instead of using fallback schemes (use exchange x, then exchange y, then...), whenever there is a conflict, use the Find Security app via IO Services to see the securities that are returned and intelligently handle from there.

    This could solve duplicate entries for ISINs, Cusips, and even the odd sedol. Also, users to "try" an exchange/country/currency to see the values that are returned.

    1 vote
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  10. Develop a "micro" app that enables users to access a holding's order information via custom columns. Fields could include # of trades, average fx rate, last trader, last broker, pending, limit price, etc.

    2 votes
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  11. vix risk reversal (buy 110 calls on VIX and sell 90 puts on VIX). delta hedge every day for the last 90 days and show the p&l associated with this strategy

    2 votes
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  12. e.g. for an option the max loss would be the premium and for a cds it would be either jump to par or jump to default

    4 votes
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  13. Set parameters for start and end period. Iterate through a portfolio of options and calculate the p&l associated with delta hedging on a daily basis.

    1 vote
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  14. looks at daily average trading volume related to position and adjusts historical volatility according to a measure of liquidity. This adjusted vol could be used as an override or stress test input etc.

    (This idea is from Mohsen)

    1 vote
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  15. I believe the asia product specialists are working on this for a client but I feel these two calculations would be highly valuable for all clients. This will allow us to do shadown fund administration and accounting.

    The only P&L piece we would then be missing is tax lot reporting which I don't believe we can do with IFP but ya never know.

    7 votes
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  16. Let a client call a file with a valid identifier (RIC, ISIN, CUSIP, SEDOL, OPRA CODE.) or provide the T&C of an OTC along with prociing overrides for vol, credit, yc, div, etc.

    and return theoretical prices and greeks.

    2 votes
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