7.

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Total due-ins--shares owed to a firm by either another firm
or a cash customer.

Payables are the amount a firm owes to other firms, cash, and institutional customers as of the day the report is printed. They include

1.

2.

3.

4.

Due-outs to brokers--contra account to receivables from brokers.
Cash customer orders--shares purchased by retail customers.
that are to be sent to him in his name.

Institutional orders--shares purchased by an institution that
are to be sent to a bank for safekeeping.

Attempted but DK--number of shares an institution has purchased and a broker has delivered to a bank that has refused to accept it.

5. Total due-outs--number of shares a firm owes to either cus-
tomers or other brokers.

Delivery File

The delivery file listing (Fig. 23) is useful for tracing specific failed transactions and for debugging. The attributes printed for each delivery order include the broker, contra broker, due date, number of shares, type, and fail age (if failed). For example, delivery order 1 is an order of 23 round lots to be delivered to an institution (contra = 0). Broker 1 previously attempted this delivery, but was DK'd by a bank acting for an institution. The age of a fail is (current date) (first due date). Delivery order 1 has date 143, which is the next day on which delivery of this order is attempted. Delivery order 164 has

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Outstanding aged fails-to-deliver are summarized in Fig. 25. Fails are separated by type and are accumulated by age up to some cutoff age. This report is generated each report interval. AGE = R refers to the remaining fails with ages larger than 27. Missing ages have no fails.

Fails Summary Table

OUTSTANDING AGED FAILS TO DELIVER, DAY 140 (INDUSTRY-WIDE)

At the completion of the simulation, a number of statistics for the industry as a whole (Fig. 26) and individual firms (Fig. 27) are reported. Means and standard deviations of buys, sales, fails (including mail in transit), and several other performance figures are listed.

The last report (Fig. 28) summarizes the average daily working capital contributions/requirements generated by each firm. These quantities result from broker-to-broker transactions (fails and stock loans) and broker-to-customer (cash and institutional transactions). Negative quantities are working capital requirements (reductions).

All outputs can be suppressed by appropriate variation of input parameters (e.g., input questionnaire item 9 and report interval = last day of simulation) except the input summary and run summary; the firm status and trading information reports are always generated on the first and last days of the simulation.

OPERATION PROCEDURES

*

The simulation program is coded entirely in the SIMSCRIPT II language. The program (and the compiler) can be executed on any IBM 360 (models 40 and larger) that has at least a 256K byte memory. The program has been compiled and executed to date under the MVT supervisor option of the IBM 360 Operating System. There are no known coding dependencies that might prevent its execution under the PCP or MFT options of the same operating system.

Three program libraries (partitioned data sets in 360 parlance) will usually be required for program execution and/or modification:

2.

3.

*

SYS1.SIM2--the SIMSCRIPT compiler and assembler requisite to any modification.

SYS1.SIM2LIB--compile and execute-time error load library.
The system must contain this data set for both model execution
and any recompilation..

STC.PROGRAM (or rename any appropriate name)--the model pro-
gram(s) in load module form.

A nonproprietary compiler is available through the IBM SHARE customer group.