A typical use case for the reconciliation application would be to take drop copy of execution reports from an order management system and take FIX drop copies of messages from each and every broker dealer and exchange and ensure all messages are accounted for.
As well as checking the messages are reconciled the integrity of the message details can also be performed in real-time e.g. ensuring the price is consistent in the OMS and execution venue messages.
The application can take messages in realtime from any source, for example FIX, MQ, database and consume and transform messages of any type, for example FIX, FpML, & Excel.
The Dashboard module is the core of the Reconciliation tool. This module displays the state of message reconciliation in real-time as well as a chart allowing users to quickly see areas of high unmatched messages.
The reconciliation grids can be filtered to show users exactly the information they require.
The grids can also be focused contextually; showing messages around the time of unmatched messages when clicked, and the messages occurring around the time of a point on the chart when clicked.
Pairs of unmatched messages can be selected in each grid and clicking on the “Reconcile” button will display a modal dialog displaying message differences and allow a user to manually reconcile messages capturing a reason and the user that performed the manual reconciliation.
The raw message details can also be viewed from the Dashboard module.
The Rules module allows users to define the rules that the Reconciliation tool will use when reconciling and quality checking messages.
The user can define:
• The two message feeds that should be reconciled with one another (one is known as the source and the other the destination).
• A ‘where’ clause for each feed to filter the messages that are processed by this rule.
• The fields used to match messages from each feed with one another.
• One or more integrity rules for quality checking messages.
Any number of rules can be defined and the first rule that a message matches will be used.