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Using DEE Template Orders

This section provides an overview of the DEE template orders included in Atoti FRTB. For general information see DEE Template Orders .

Included template orders

The Solution provides template orders for:

CRIF-format extraction of StandardisedApproachCube data
The extraction of trade-level data for loading as summary data (at book and legal-entity level)

The files produced by these extraction procedures can be loaded into the cube.

Available template Orders

Extraction order JSON file	Details
CrifExtraction	StandardisedApproachCube export in CRIF format. See CRIF file format.
SACubeDeltaExport	StandardisedApproachCube Delta sensitivities export as summary data. See SBM_Delta_Sensi_Summary file format.
SACubeVegaExport	StandardisedApproachCube Vega sensitivities export as summary data. See SBM_Vega_Sensi_Summary file format
SACubeCurvatureExport	StandardisedApproachCube Curvature sensitivities export as summary data. See SBM_Curvature_Sensi_Summary file format.
SACubeDRCExport	StandardisedApproachCube DRC sensitivities export as summary data. See DRC_Summary file format.
SACubeRRAOExport	StandardisedApproachCube RRAO sensitivities export as summary data. See RRAO_Summary file format.
IMACubeExport	InternalModelApproachCube export as summary data. See IMA_Summary file format.
IMADRCCubeExport	IMADRCCube export as summary data. See IMA_DRC_Summary file format.
PLCubeExport	PLCube export as summary data. See PLSummary file format.

Custom Extraction Procedures

Within our template orders we make use of custom extraction procedures which can be found in the following directory:

frtb-activepivot/src/main/java/com/activeviam/frtb/ref/services/dee/impl/

Template order	Procedure used
`IMACubeExport`, `IMADRCCubeExport`, and `PLCubeExport`	`FRTBVectorExtractionProcedure` to format vector output columns to what is expected by the ETL of summary data.
`CrifExtraction`	`FRTBCrifExtractionProcedure` for a majority of our output columns so that they appear in the correct format.
`SACubeDeltaExport`	`DeltaExtractionProcedure` to create the columns which use different levels based on RiskClass.
`SACubeDRCExport`	`DRCExtractionProcedure` to create the columns which use different levels based on RiskClass.

Template Placeholders

All the template orders use the AsOfDate placeholder to describe the value of the AsOfDate level in the executed query as well as within the file name.

DEE Properties

The template order location is set by the data.extraction.templates.base.dir.path property. The base directory of the output files is set by the data.extraction.service.base.dir.path property.

note

Subdirectory and file names are set within the template orders themselves.

For more information, see DEE Properties .

Example Submit Template Order requests

URL

http://localhost:8080/frtb-starter/connectors/rest/dee/v1/submitTemplateOrders

Body - Summary Data Extractions

The following example can be used for IMACubeExport, IMADRCCubeExport, and PLCubeExport by changing the templateOrderName to the relevant template order name.

{
  "templateOrderName": "PLCubeExport",
  "templatePlaceholders": {
    "AsOfDate": "2018-06-29"
  }
}

Body - CRIF Extraction

The following example can be used for CrifExtraction

{
  "templateOrderName": "CrifExtraction",
  "templatePlaceholders": {
    "AsOfDate": "2018-06-29"
  }
}