I. INTRODUCTION * The computer program of the Trade Completion Simulation model, provided in this supplement, was developed for the securities industry to enable researchers to evaluate alternative trade completion systems. + The simulation program is coded in SIMSCRIPT II, a programming language with extensive built-in Monte Carlo facilities, because of the ease of using dynamic data structures (entities) and their organization into sets, the comprehensive debugging package, and the fast execution speeds. Another feature of the language that proved helpful was the capability it provided of using different random number streams so that a particular activity, e.g., trading volume generation, could be tested under slightly different random number patterns. The pro The program (and the compiler) can be executed on any IBM 360 (models 40 and larger) that has at least a 256K byte memory. gram 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. In the computer printout reproduced in this supplement, the program code letters are STC. The model, data inputs, and program descriptions are contained in R. L. Petruschell, S. J. Benton, D. J. Dreyfuss, L. E. Knollmeyer, J. Y. Lu, and R. E. Stanton, Reducing Costs of Stock Transactions: A Study of Alternative Trade Completion Systems, Vol. III, The Trade Completion Simulation Model, The Rand Corporation, R-552-ST, December 1970. The subprogram coding in this supplement is listed in the order of the descriptions appearing in Sec. III in Vol. III. *p. J. Kiviat, R. Villanueva, H. M. Markowitz, The SIMSCRIPT II Programming Language, Prentice-Hall, Inc., Englewood Cliffs, New Jersey, 1968. A nonproprietary compiler is available through the IBM SHARE customer group. 4. NUMBER OF DAYS THE SIMULATION RUNS (INTEGER, NEW CARD) 5. NUMBER OF FIRMS (INTEGER) 6. WHAT IS THE FIRST DAY DATA FOR SUMMARY STATISTICS SHOULD BE GATHERED INTEGER)= 7. INTERVAL BETWEEN SNAPSHOT PRINTOUT (ANSWER IN DAYS) (INTEGER) = 8. WOULD YOU LIKE AN INTERVAL WITH CONTINUOUS DAILY PRINTOUT (YES OR NO)(ALPHA)= TO START DAY (0 IF ANSWER WAS NO) (INTEGER) = TO END DAY (O IF ANSWER WAS NO) (INTEGER) 9. WHICH DISPLAYS WOULD YOU LIKE TO SEE? (ALPHA) = (ALPHA) = FAIL HISTOGRAMS (ANSWER YES OR NO) STOCK CHARACTERISTICS: 13. IDENTIFICATION NAME OF STOCK (ALPHA, NEW CARD) 15. BASE AVERAGE PRICE OF STOCK (REAL) INDUSTRY-WIDE OPERATING CHARACTERISTICS: = = = (INTEGER, NEW CARD) = = = 20. PERCENTAGE OF FREE INVENTORY AVAILABLE FOR STOCK LOANS (REAL) (REAL) = 22. AVERAGE INTERREGIONAL DELIVERY TIME (DAYS, O IF ALL FIRMS ARE LOCATED IN SAME AREA) (INTEGER) = OVERNIGHT BOX IS DESIRED ANSWER 1) (INTEGER)= 24. PERCENTAGE CASH CUSTOMERS LEAVING CERTIFICATES WITH BROKER 26. PERCENTAGE MARGIN BUYS COVERING SHORTS (REAL) = (REAL) (REAL) 27. PERCENTAGE DELIVERIES NOT MADE DUE TO DENOMINATION PROBLEM 28. PERCENTAGE OF BROKER TO BANK DELIVERIES THAT ARE DK'D CHOOSE ONE OF THE FOLLOWING NO FAILS INSTITUTIONAL FAILS ONLY BROKER TO BROKER FAILS ONLY CASH FAILS ONLY BOTH INSTITUTIONAL AND BROKER TO BROKER FAILS BOTH CASH AND INSTITUTIONAL FAILS ALL FAILS YOUR CHOICE (WRITE CHOICE EXACTLY AS ABOVE) (ALPHA, NEW CARD) 30. PARTIAL DELIVERIES WILL BE MADE FOR CHOOSE ONE OF THE FOLLOWING NO ORDERS INSTITUTIONAL ORDERS ONLY -4 BROKER BALANCE ORDERS ONLY STOCK LOAN REPAYMENTS ONLY BOTH INSTITUTIONAL AND BROKER BALANCE ORDERS BOTH BROKER BALANCE ORDERS AND STOCK LOAN REPAYMENTS BOTH STOCK LOAN REPAYMENTS AND INSTITUTIONAL ORDERS ALL BROKER AND INSTITUTIONAL ORDERS AND STOCK LOAN REPAYMENTS YOUR CHOICE (WRITE EXACTLY AS ABOVE) (ALPHA, NEW CARD)= 31. CLEARING PROCEDURE TO BE USED CHOOSE ONE OF THE FOLLOWING TRADE BY TRADE DAILY NET SORT ON FIRM'S NET POSITION - DAILY NET YOUR CHOICE (WRITE CHOICE EXACTLY AS AROVE) (ALPHA, NEW CARD)= 32. DESIRED PRIORITY FOR DELIVERY ORDERS (PLEASE RANK) (4 INTEGERS, NEW CARD) PLACE PRIORITY HERE TYPE INSTITUTIONAL CASH CUSTOMER STOCK LOAN REPAYMENT DISTRIBUTIONS: RULES: BROKER TO BROKER (BALANCE ORDER) A. FOR EACH DISTRIBUTION USER HAS THE CHOICE OF A UNIFORM, TRIANGULAR, 8. FOR EACH TYPE OF DISTRIBUTION EXCEPT THE TRIANGULAR THE MEAN AND MARKET SHARE USING A NORMAL DISTRIBUTION YOUR CHOICE (WRITE CHOICE ENTIRELY AS ABOVE) (ALPHA) PARAMETER1 IS GIVEN AS FIRM PROPORTION OF MARKET SHARE = = 35. UNCOMPARE RESOLUTION TIME DISTRIBUTION (ALPHA, NEW CARD) = 36. TRANSFER TIME DISTRIBUTION (ALPHA, NEW CARD) PARAMETER1 (MEAN OR MODE) (REAL, NEW CARD) = 37. CASH CUSTOMER CERTIFICATE ARRIVAL TIME DISTRIBUTION (ALPHA, NEW CARD) = -5 38. INSTITUTIONAL CERTIFICATE ARRIVAL TIME DISTRIBUTION (ALPHA, NEW CARD) 39. BANK TO BROKER DK RESOLUTION TIME DISTRIBUTION (ALPHA, NEW CARD) PARAMETER1 (MEAN OR MODE) (REAL, NEW CARD) = = = 40. BREAKDOWN OF CUSTOMER ORDERS INTO LOTSIZES DISTRIBUTION (ALPHA, NEW CARD) = PARAMETER 1 (MEAN OR MODE) (REAL, NEW CARD) = PARAMETER2 (STD OR MAX) (REAL) = 41. BREAKDOWN OF INSTITUTIONAL ORDERS INTO LOTSIZES DISTRIBUTION (ALPHA, N C) = PARAMETER1 (MEAN OR MODE) (REAL, NEW CARD) = PARAMETER2 (STD OR MAX) (REAL) 42. 0.T.C. DELIVERY TIME DISTRIBUTION (ALPHA, NEW CARD) SSUE INPUT: PARAMETER1 (MEAN OR MODE) (REAL, NEW CARD) = = 43. IDENTIFICATION NAME OF STOCK (SAME AS QUESTION 13) (ALPHA, NEW CARD) 44. OTC CODE (ANSWER 1 IF ISSUE IS OTC, O IF ISSUE IS NOT OTC) (INTEGER, NEW CARD) 45. INDUSTRY FLOAT (INTEGER)= 46. PROBABILITY OF RECOVERY FROM ZERO VOLUME (REAL)= 47. AVERAGE RECOVERY VOLUME FROM ZERO (INTEGER) 48. NUMBER OF DIFFERENT VALUES DESIRED FOR PERCENTAGE CHANGE IN VOLUME (INTEGER)→ 49. PERCENTAGE CHANGE IN VOLUME (REAL) = ENTER NUMBER OF VALUES CORRESPONDING TO ANSWER TO QUESTION 48. 50. CUMULATIVE PROBABILITY FOR SAMPLING PROCEDURE (REAL) = ENTER NUMBER OF VALUES CORRESPONDING TO ANSWER TO QUESTION 48. 51. PROPORTION OF MARKET SHARE PER FIRM (INTEGER) = IRM INPUT: ENTER NUMBER OF VALUES CORRESPONDING TO ANSWER TO QUESTION 5. 52. ONE CARD PER FIRM (NUMBER OF FIRMS DETERMINED BY QUESTION 5). A. PROPORTION OF BUSINESS ATTRIBUTABLE TO CASH CUSTOMERS (INTEGER) C. PROPORTION OF BUSINESS ATTRIBUTABLE TO INSTITUTIONAL CUSTOMERS (INTEGER) G. HOUSE NAME INVENTORY (INTEGER) CODE (4/4)) IN WORD 1, AN AMOUNT IN WORD 2, TEMPORARY ENTITIES EVERY ORDER HAS A (B(1/2),CB(2/2)) IN WORD 1, AND BELONGS TO A TEMPORARY.FILE EVERY DELIVERY.ORDER HAS A (BROKER (1/4), CONTRA.BROKER(2/4), TYPE (3/4), P0020 P0055 P0060 P0065 P0070 P0075 P0080 P0085 DEFINE PERMANENT ENTITIES A (DEL.DENOM. PROBLEM(1/2),REC.DENOM.PROBLEM(2/2)) IN WORD 21, A DATE IN WORD 3, AN INITIAL.DATE IN WORD 49 AND BELONGS TO A FILE.OF.DELIVERY.ORDERS EVERY STOCK.LOAN HAS A (BROKER (1/4),CONTRA.BROKER(2/4),TYPE(3/4)) IN WORD 1, AN AMOUNT.LOANED IN WORD 2, A DUE.DATE IN WORD 3, AND BELONGS TO A GROUP.OF.STOCK.LOANS DEFINE INSTITUTIONAL.SALES TO MEAN SALES.INSTITUTIONAL PERMANENT ENTITIES EVERY HOUSE OWNS A FILE.OF.DELIVERY.ORDERS, HAS A (NET.BUYS (1/2), NET.SALES(2/2)) IN WORD 1, A (CASH.BUYS (1/2), CASH.SALES(2/2)) IN WORD 2, A (INSTITUTIONAL.BUYS (1/2), INSTITUTIONAL.SALES(2/2)) IN WORD 3, A (MARGIN.BUYS (1/2),MARGIN.SALES(2/2)) IN WORD 4, A (SALES. PROPRIETARY (1/2), BUYS.PROPRIETARY(2/2)) IN WORD 5, A WRONG.NAME.INVENTORY IN WORD 6, A RIGHT.NAME.INVENTORY IN WORD 7, A SEGREGATION REQUIREMENT IN WORD 8, A DUMMY.SEGREGATION IN WORD 9, AN IINITIAL.SEGREGATION IN WORD 10, A (LOCATION(1/2), PROP.MARKET.VOLUME (2/2)) IN WORD 11, A (PRB.CASH(1/4),PRB.MARGIN(2/4), PRB.INST(3/4), PRB.PROP(4/4)) A (DEL.TRANSFER (1/2),DEL.OLD.BAL.ORDERS(2/2)) IN WORD 13, A (DEL.NEW.BAL.ORDERS(1/2),DEL.CUR.STOCK.LOANS (2/2)) IN WORD 14, A (DEL.PAST.STOCK.LOANS (1/2), DEL.FAILED. STOCK.LOANS (2/2)) IN WORD 15, PO250 A (DEL.0.CASH.CUST(1/2),DEL.N.CASH.CUST(2/2)) IN WORD 16, A (DEL.0.INST (1/2),DEL.N.INST(2/2)) IN WORD 17, A (REC.TRANSFER (1/2),REC.OLD.BAL ORDERS(2/2)) IN WORD 18, A (REC.NEW.BAL.ORDERS (1/2),REC.CUR.STOCK.LOANS(2/2)) IN WORD 19, P0255 P0260 P0265 P0270 A (REC.PAST.STOCK.LOANS (1/2),REC.FAILED.STOCK.LOANS (2/2)) IN WORD 20, P0275 P0090 P0095 P0100 P0105 P0110 P0115 P0120 P0125 .. REDEFINE VARIABLE NAMES TO GET AROUND FIRST 8 UNIQUE * P0135 P0130 P0140 P0145 P0150 P0155 P0160 P0165 P0170 P0175 P0180 P0185 P0190 P0195 P0200 P0205 P0210 P0215 P0220 P0225 P0230 P0235 P0240 P0245 A REC.CUST IN WORD 23 DEFINE DUMMY.SEGREGATION AS A REAL VARIABLE SFT STRUCTURES ARE DEFINED ** DEFINE TEMPORARY FILE AS A FIFO SET WITHOUT FB AND FA ROUTINES DEFINE GROUP.OF.STOCK.LOANS AS A SET RANKED BY LOW DUE.DATE P0280 P0285 P0290 P0300 P0010 P0025 P0035 P0040 |