Saturday, August 6, 2011

reserve management in a bond dealer desk

A "reserve" is placed by a retail trading system and "owned" by a subsystem therein - called reserve manager. This retail system is a "client" of the trading desk built atop the desk's inventory.

One of the most important servers (runs as a daemon) of the desk -- the Offer mgr -- receive a reserve request, and actually "moves" a portion (say 20 bonds) to the reserve mgr and says good-night to those 20 bonds. (They may come back though.)
- If the reserve expires untouched, the 20 bonds "move" back from reserve mgr to offer mgr.
- If part (say 15 bonds) of the reserve goes unused and expires, they too "move" back from reserve mgr to offer mgr.
- If the entire reserve quantity is bought by the requesting client, then reserve mgr and offer mgr both say farewell to the 20 bonds.

In the partial (15 bonds) case, the retail client actually buys part (5 bonds) of the reserve quantity. We say farewell to the 5 bonds, book the trade and leave the remaining (15 bonds) with the reserve mgr until expiration.

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