Security Resolution for Warehouse Objects

In this page:

Overview

Security resolution logic for warehouse objects is carried out within the stored procedure PACE_MASTERDBO.ESTAR_STD_INTERFACES.RETURN_XREF_SECALIAS_GEN

The resolution of security is controlled by two parameters: Security Resolution Options and Batting Order

Batting Order works for Warehouse objects exactly in the same way as it does for for Reference objects.

For Warehouse Objects, the only mode for Security Resolution Logic is Find 1st Match (note: there is no Match All mode)

While there is only one mode, there are some additional Security Resolution Options that are available for Warehouse Objects.

Security Resolution Logic

Security resolution can be performed only in Find 1st Match mode. (There is no Match All mode available)

Find 1st Match mode implements logic when the security is resolved by the 1^st matching of xref identifiers.

Find 1st Match Mode Logic

In this mode the security is resolved within the RETURN_XREF_SECALIAS_GEN stored procedure based on incoming identifiers declared in Batting Order and on setting specified in Security Resolution Options.

The stored procedure finds Security by the 1^st non-empty pair of XId and XIdType and an additional filter such as Asset Currency, Maturity Date, Exchange. Then the SP returns the Asset (Security Alias) and the XAlias’s for the remaining identifiers based on Security found. If any one of the remaining identifiers does not match the Security found or refers to another Security, the SP returns XAlias as 1.
If none of the identifiers refer to any existing Security, the lookup returns all the parameters as 0.

SWAP Securities Resolution

When your Warehouse record is related to a SWAP security, to perform security resolution properly one of the following conditions should be met:

1. Xref identifiers uniquely defining each leg of the SWAP security should be present in the incoming record (any kind of xref id can be used, for example, 1111/CUSIP for the contract leg, 2222/ISIN for the pay leg, 3333/SEDOL for the receive leg).

OR

2. Use a SWAPID uniquely defining each of the legs of the SWAP for security resolution. To do that, specify the following three fields:

Note

This logic can be applied since October 2016 EagleML Release

- Swap Processing Security Type (start it with ‘SW’ so that the rule recognizes it as a SWAP)
- Pay Receive Indicator (C,P or R for Contract, Pay or Receive)
- Primary Asset Id

SWAPID will have a higher priority for resolution than other identifiers (if other identifiers are specified).

Security Resolution Option

Security Resolution Options are specified settings which are used for security resolution logic.

For Warehouse Objects, they can contain following values:

XREF_EXCHANGE – additional setting which defines will the Xref Exchange value be used for resolving security or not

Note

If SecurityResolutionOption parameter is empty or not defined, XREF_EXCHANGE is used by default. To avoid using XREF_EXCHANGE set the SecurityResolutionOption parameter value to NULL.

Some additional fields can be used for security resolution (if they are defined in the incoming message):

Exchange <primaryExchangeCode>ALL</primaryExchangeCode>
Inactive Flag <smInactiveFlag>Y</smInactiveFlag>
Local Currency <localCurrency>USD</localCurrency>
Country Code <nraTaxCountry>US</nraTaxCountry>
Maturity Date <maturityDate>2015-06-30</maturityDate>

Additional information on when the above are applicable:

Type	Max number of Ids supported by SP	Exchange	Inactive Flag	Local Currency	Country Code	Maturity Date
Open Lot	10	Y	Y	Y	Y	Y
Close Lot	10	Y	N	N	N	N
Position	10	Y	Y	N	N	N
Cash Activity	10	Y	N	N	N	N
Performance	5	N	N	N	N	N
Trade	10	Y	N	N	N	N
Cash Flow Projection	10	Y	Y	N	N	N
General Ledger Balances	10	Y	N	N	N	N
NAV	Does not use Security
NAV Multi	10	Y	N	N	N	N
Trade Charges	Does not use Security
Broker Trade Quotes	Does not use Security

The order in which you list the identifiers in the security resolution option does not matter. Instead, the order for resolution is pulled from the Batting Order.

Default security resolution logic uses the “Find 1st Match” mode of security resolution and contains all additional settings and xreference identifiers you have specified.

If you do not want to use the default security resolution, you can change it for all workflows by using the Config Security Resolution Option for all workflows or for one individual workflow by using the Specific Security Resolution Option or to a single record by Setting Custom Security Resolution Options.