Dynamic Fund Allocation System Design¶
15.1 Overview¶
The Dynamic Fund Allocation System enables intelligent multi-account fund allocation and dynamic capital rebalancing. This system provides support for automated fund transfers between accounts, performance-based allocation strategies, cross-currency transfers, and automated rebalancing based on strategy performance and risk metrics.
🎯 Core Capabilities¶
| Capability | Description |
|---|---|
| Multi-Account Allocation | Dynamic fund allocation across multiple accounts |
| Performance-Based Allocation | Allocation based on strategy performance metrics |
| Cross-Currency Transfers | Automated currency conversion and transfers |
| Automated Rebalancing | Periodic portfolio rebalancing and optimization |
| Risk-Based Allocation | Allocation based on risk metrics and exposure |
| Transfer Execution | Automated and manual transfer execution |
15.2 System Architecture¶
15.2.1 Fund Allocation Service Microservice Design¶
New Microservice: fund-allocation-service
services/fund-allocation-service/
├── src/
│ ├── main.py # FastAPI application entry point
│ ├── engine/
│ │ ├── allocation_engine.py # Fund allocation strategy engine
│ │ ├── performance_analyzer.py # Strategy performance analysis
│ │ ├── risk_analyzer.py # Risk-based allocation analysis
│ │ └── rebalancing_engine.py # Portfolio rebalancing engine
│ ├── executor/
│ │ ├── allocation_executor.py # Transfer execution engine
│ │ ├── transfer_validator.py # Transfer validation and limits
│ │ ├── currency_converter.py # Cross-currency conversion
│ │ └── transfer_scheduler.py # Transfer scheduling and timing
│ ├── strategies/
│ │ ├── fixed_ratio_strategy.py # Fixed ratio allocation
│ │ ├── performance_strategy.py # Performance-based allocation
│ │ ├── risk_parity_strategy.py # Risk parity allocation
│ │ └── target_volatility_strategy.py # Target volatility allocation
│ ├── api/
│ │ ├── allocation_api.py # Allocation management endpoints
│ │ ├── transfer_api.py # Transfer execution endpoints
│ │ └── strategy_api.py # Strategy management endpoints
│ ├── models/
│ │ ├── allocation_model.py # Allocation data models
│ │ ├── transfer_model.py # Transfer data models
│ │ ├── strategy_model.py # Strategy configuration models
│ │ └── performance_model.py # Performance data models
│ ├── config.py # Configuration management
│ └── requirements.txt # Python dependencies
├── Dockerfile # Container definition
└── docker-compose.yml # Local development setup
15.2.2 Fund Allocation Architecture Layers¶
Layer 1: Asset Monitoring - Real-time Asset Tracking: Continuous monitoring of account assets - Performance Tracking: Strategy performance monitoring and analysis - Risk Monitoring: Risk metrics and exposure monitoring - Currency Monitoring: Multi-currency asset tracking
Layer 2: Allocation Strategy - Strategy Engine: Multiple allocation strategy implementations - Performance Analysis: Strategy performance analysis and ranking - Risk Analysis: Risk-based allocation calculations - Target Calculation: Target allocation calculations
Layer 3: Transfer Execution - Transfer Planning: Transfer plan generation and validation - Currency Conversion: Cross-currency conversion and transfers - Transfer Execution: Automated transfer execution - Transfer Monitoring: Transfer status monitoring and tracking
Layer 4: Management Interface - API Interface: Comprehensive API for allocation management - Frontend Integration: User interface for allocation management - Monitoring Dashboard: Real-time allocation monitoring - Reporting System: Allocation and transfer reporting
15.3 Core Components Design¶
15.3.1 Allocation Engine Module¶
Purpose: Calculate optimal fund allocation across accounts
Key Functions: - Strategy Selection: Choose appropriate allocation strategy - Target Calculation: Calculate target allocations - Performance Analysis: Analyze strategy performance - Risk Assessment: Assess risk-based allocation needs
Allocation Engine Implementation:
from typing import Dict, List, Optional, Tuple
from datetime import datetime, timedelta
import asyncio
class AllocationEngine:
def __init__(self, portfolio_service, performance_service, risk_service):
self.portfolio_service = portfolio_service
self.performance_service = performance_service
self.risk_service = risk_service
# Default allocation strategies
self.strategies = {
"fixed_ratio": FixedRatioStrategy(),
"performance_based": PerformanceBasedStrategy(),
"risk_parity": RiskParityStrategy(),
"target_volatility": TargetVolatilityStrategy()
}
# Default allocation configuration
self.default_config = {
"strategy": "performance_based",
"rebalancing_frequency": "daily",
"min_transfer_amount": 100.0, # USD
"max_transfer_amount": 1000000.0, # USD
"currency": "USD"
}
async def calculate_allocation_plan(self, account_ids: List[str],
strategy: str = None,
config: Dict = None) -> Dict:
"""Calculate allocation plan for given accounts"""
if strategy is None:
strategy = self.default_config["strategy"]
if config is None:
config = self.default_config
# Get current assets
current_assets = await self._get_current_assets(account_ids)
total_assets = sum(asset["total_nav"] for asset in current_assets.values())
# Get strategy instance
strategy_instance = self.strategies.get(strategy)
if not strategy_instance:
raise ValueError(f"Unknown strategy: {strategy}")
# Calculate target allocations
target_allocations = await strategy_instance.calculate_targets(
account_ids, current_assets, total_assets, config
)
# Generate transfer plan
transfer_plan = await self._generate_transfer_plan(
current_assets, target_allocations, config
)
return {
"strategy": strategy,
"total_assets": total_assets,
"current_allocations": current_assets,
"target_allocations": target_allocations,
"transfer_plan": transfer_plan,
"config": config,
"timestamp": datetime.now()
}
async def _get_current_assets(self, account_ids: List[str]) -> Dict:
"""Get current assets for all accounts"""
current_assets = {}
for account_id in account_ids:
try:
nav_data = await self.portfolio_service.get_account_nav(account_id)
current_assets[account_id] = {
"account_id": account_id,
"total_nav": nav_data["total_nav"],
"currency_breakdown": nav_data["currency_breakdown"],
"last_update": nav_data["timestamp"]
}
except Exception as e:
print(f"Error getting assets for account {account_id}: {e}")
current_assets[account_id] = {
"account_id": account_id,
"total_nav": 0.0,
"currency_breakdown": {},
"last_update": datetime.now()
}
return current_assets
async def _generate_transfer_plan(self, current_assets: Dict,
target_allocations: Dict,
config: Dict) -> List[Dict]:
"""Generate transfer plan based on current and target allocations"""
transfers = []
min_amount = config.get("min_transfer_amount", 100.0)
max_amount = config.get("max_transfer_amount", 1000000.0)
for account_id, target_data in target_allocations.items():
current_nav = current_assets.get(account_id, {}).get("total_nav", 0.0)
target_nav = target_data["target_amount"]
difference = target_nav - current_nav
# Only create transfer if difference is significant
if abs(difference) >= min_amount and abs(difference) <= max_amount:
transfer = {
"from_account": None,
"to_account": account_id,
"amount": abs(difference),
"currency": config.get("currency", "USD"),
"type": "deposit" if difference > 0 else "withdraw",
"priority": "high" if abs(difference) > max_amount * 0.1 else "normal",
"reason": f"Allocation adjustment: {difference:.2f} USD"
}
transfers.append(transfer)
return transfers
15.3.2 Allocation Strategies Module¶
Purpose: Implement various fund allocation strategies
Key Functions: - Fixed Ratio Strategy: Fixed percentage allocation - Performance-Based Strategy: Allocation based on performance - Risk Parity Strategy: Risk-based allocation - Target Volatility Strategy: Volatility-based allocation
Fixed Ratio Strategy Implementation:
class FixedRatioStrategy:
def __init__(self):
self.name = "fixed_ratio"
self.description = "Fixed ratio allocation strategy"
async def calculate_targets(self, account_ids: List[str],
current_assets: Dict,
total_assets: float,
config: Dict) -> Dict:
"""Calculate target allocations using fixed ratios"""
# Get fixed ratios from config or use equal allocation
fixed_ratios = config.get("fixed_ratios", {})
# If no fixed ratios provided, use equal allocation
if not fixed_ratios:
equal_ratio = 1.0 / len(account_ids)
fixed_ratios = {account_id: equal_ratio for account_id in account_ids}
# Calculate target amounts
target_allocations = {}
for account_id in account_ids:
ratio = fixed_ratios.get(account_id, 0.0)
target_amount = total_assets * ratio
target_allocations[account_id] = {
"target_amount": target_amount,
"target_ratio": ratio,
"strategy": self.name,
"reason": f"Fixed ratio allocation: {ratio:.1%}"
}
return target_allocations
Performance-Based Strategy Implementation:
class PerformanceBasedStrategy:
def __init__(self):
self.name = "performance_based"
self.description = "Performance-based allocation strategy"
async def calculate_targets(self, account_ids: List[str],
current_assets: Dict,
total_assets: float,
config: Dict) -> Dict:
"""Calculate target allocations based on performance"""
# Get performance data for accounts
performance_data = {}
for account_id in account_ids:
try:
# Get performance metrics (Sharpe ratio, returns, etc.)
performance = await self._get_account_performance(account_id, config)
performance_data[account_id] = performance
except Exception as e:
print(f"Error getting performance for account {account_id}: {e}")
performance_data[account_id] = {"score": 0.0}
# Calculate performance scores
total_score = sum(data["score"] for data in performance_data.values())
# Calculate target allocations based on performance
target_allocations = {}
for account_id in account_ids:
if total_score > 0:
performance_ratio = performance_data[account_id]["score"] / total_score
else:
performance_ratio = 1.0 / len(account_ids)
target_amount = total_assets * performance_ratio
target_allocations[account_id] = {
"target_amount": target_amount,
"target_ratio": performance_ratio,
"strategy": self.name,
"performance_score": performance_data[account_id]["score"],
"reason": f"Performance-based allocation: score {performance_data[account_id]['score']:.2f}"
}
return target_allocations
async def _get_account_performance(self, account_id: str, config: Dict) -> Dict:
"""Get performance metrics for an account"""
# This would integrate with performance tracking service
# For now, return mock data
return {
"sharpe_ratio": 1.2,
"returns_1m": 0.05,
"returns_3m": 0.15,
"max_drawdown": -0.08,
"score": 1.2 # Composite performance score
}
15.3.3 Transfer Executor Module¶
Purpose: Execute fund transfers between accounts
Key Functions: - Transfer Validation: Validate transfer requests - Currency Conversion: Handle cross-currency transfers - Transfer Execution: Execute actual transfers - Transfer Monitoring: Monitor transfer status
Transfer Executor Implementation:
from typing import Dict, List, Optional, Tuple
from datetime import datetime
import asyncio
import uuid
class AllocationExecutor:
def __init__(self, portfolio_service, forex_service):
self.portfolio_service = portfolio_service
self.forex_service = forex_service
self.transfer_history = []
self.active_transfers = {}
async def execute_transfer_plan(self, transfer_plan: List[Dict],
config: Dict) -> Dict:
"""Execute a complete transfer plan"""
execution_result = {
"plan_id": str(uuid.uuid4()),
"total_transfers": len(transfer_plan),
"successful_transfers": 0,
"failed_transfers": 0,
"transfer_details": [],
"start_time": datetime.now(),
"end_time": None,
"status": "in_progress"
}
# Execute transfers sequentially or in parallel based on config
parallel_execution = config.get("parallel_execution", False)
if parallel_execution:
# Execute transfers in parallel
tasks = [self._execute_single_transfer(transfer, config)
for transfer in transfer_plan]
results = await asyncio.gather(*tasks, return_exceptions=True)
for i, result in enumerate(results):
if isinstance(result, Exception):
execution_result["transfer_details"].append({
"transfer": transfer_plan[i],
"status": "failed",
"error": str(result)
})
execution_result["failed_transfers"] += 1
else:
execution_result["transfer_details"].append({
"transfer": transfer_plan[i],
"status": "success",
"result": result
})
execution_result["successful_transfers"] += 1
else:
# Execute transfers sequentially
for transfer in transfer_plan:
try:
result = await self._execute_single_transfer(transfer, config)
execution_result["transfer_details"].append({
"transfer": transfer,
"status": "success",
"result": result
})
execution_result["successful_transfers"] += 1
except Exception as e:
execution_result["transfer_details"].append({
"transfer": transfer,
"status": "failed",
"error": str(e)
})
execution_result["failed_transfers"] += 1
execution_result["end_time"] = datetime.now()
execution_result["status"] = "completed"
# Store execution result
self.transfer_history.append(execution_result)
return execution_result
async def _execute_single_transfer(self, transfer: Dict, config: Dict) -> Dict:
"""Execute a single transfer"""
transfer_id = str(uuid.uuid4())
# Validate transfer
validation_result = await self._validate_transfer(transfer, config)
if not validation_result["is_valid"]:
raise ValueError(f"Transfer validation failed: {validation_result['errors']}")
# Check if currency conversion is needed
if transfer.get("currency") != "USD":
converted_amount = await self._convert_currency(
transfer["amount"], transfer["currency"], "USD"
)
else:
converted_amount = transfer["amount"]
# Execute the transfer
transfer_result = {
"transfer_id": transfer_id,
"from_account": transfer.get("from_account"),
"to_account": transfer["to_account"],
"amount": transfer["amount"],
"currency": transfer["currency"],
"converted_amount_usd": converted_amount,
"type": transfer["type"],
"status": "executed",
"timestamp": datetime.now()
}
# Update portfolio service
if transfer["type"] == "deposit":
await self.portfolio_service.update_cash(
transfer["to_account"], transfer["currency"], transfer["amount"]
)
elif transfer["type"] == "withdraw":
await self.portfolio_service.update_cash(
transfer["from_account"], transfer["currency"], -transfer["amount"]
)
# Store transfer result
self.active_transfers[transfer_id] = transfer_result
return transfer_result
async def _validate_transfer(self, transfer: Dict, config: Dict) -> Dict:
"""Validate a transfer request"""
validation_result = {
"is_valid": True,
"errors": [],
"warnings": []
}
# Check transfer amount limits
min_amount = config.get("min_transfer_amount", 100.0)
max_amount = config.get("max_transfer_amount", 1000000.0)
if transfer["amount"] < min_amount:
validation_result["errors"].append(
f"Transfer amount {transfer['amount']} is below minimum {min_amount}"
)
if transfer["amount"] > max_amount:
validation_result["errors"].append(
f"Transfer amount {transfer['amount']} exceeds maximum {max_amount}"
)
# Check account existence and balances
if transfer["type"] == "withdraw":
from_account = transfer.get("from_account")
if not from_account:
validation_result["errors"].append("Withdraw transfer requires from_account")
else:
# Check if account has sufficient balance
balance = await self.portfolio_service.get_cash_balance(
from_account, transfer["currency"]
)
if balance < transfer["amount"]:
validation_result["errors"].append(
f"Insufficient balance: {balance} < {transfer['amount']}"
)
# Check if any errors found
if validation_result["errors"]:
validation_result["is_valid"] = False
return validation_result
async def _convert_currency(self, amount: float, from_currency: str,
to_currency: str) -> float:
"""Convert currency using forex service"""
if from_currency == to_currency:
return amount
rate = await self.forex_service.get_rate(from_currency, to_currency)
return amount * rate
15.4 Data Architecture¶
15.4.1 Fund Allocation Data Models¶
Allocation Plan Model:
{
"plan_id": "plan_12345",
"strategy": "performance_based",
"total_assets": 1000000.0,
"current_allocations": {
"account_001": {
"total_nav": 400000.0,
"currency_breakdown": {"USD": 0.4}
},
"account_002": {
"total_nav": 300000.0,
"currency_breakdown": {"USD": 0.3}
},
"account_003": {
"total_nav": 300000.0,
"currency_breakdown": {"USD": 0.3}
}
},
"target_allocations": {
"account_001": {
"target_amount": 450000.0,
"target_ratio": 0.45,
"strategy": "performance_based",
"performance_score": 1.2
},
"account_002": {
"target_amount": 300000.0,
"target_ratio": 0.30,
"strategy": "performance_based",
"performance_score": 0.8
},
"account_003": {
"target_amount": 250000.0,
"target_ratio": 0.25,
"strategy": "performance_based",
"performance_score": 0.6
}
},
"transfer_plan": [
{
"from_account": null,
"to_account": "account_001",
"amount": 50000.0,
"currency": "USD",
"type": "deposit",
"priority": "normal"
},
{
"from_account": "account_003",
"to_account": null,
"amount": 50000.0,
"currency": "USD",
"type": "withdraw",
"priority": "normal"
}
],
"config": {
"strategy": "performance_based",
"min_transfer_amount": 100.0,
"max_transfer_amount": 100000.0,
"currency": "USD"
},
"timestamp": "2024-12-20T10:30:15.123Z"
}
Transfer Execution Model:
{
"execution_id": "exec_12345",
"plan_id": "plan_12345",
"total_transfers": 2,
"successful_transfers": 2,
"failed_transfers": 0,
"transfer_details": [
{
"transfer": {
"from_account": null,
"to_account": "account_001",
"amount": 50000.0,
"currency": "USD",
"type": "deposit"
},
"status": "success",
"result": {
"transfer_id": "transfer_12345",
"amount": 50000.0,
"currency": "USD",
"converted_amount_usd": 50000.0,
"status": "executed",
"timestamp": "2024-12-20T10:30:15.123Z"
}
}
],
"start_time": "2024-12-20T10:30:15.123Z",
"end_time": "2024-12-20T10:30:20.456Z",
"status": "completed"
}
15.4.2 Real-time Data Flow¶
Portfolio Updates → Asset Monitoring → Performance Analysis → Strategy Calculation
↓
Allocation Planning → Transfer Generation → Validation → Execution
↓
Transfer Execution → Portfolio Updates → Performance Tracking → Rebalancing
15.5 API Interface Design¶
15.5.1 Fund Allocation Endpoints¶
Allocation Management:
POST /api/v1/allocation/plan # Create allocation plan
GET /api/v1/allocation/plan/{plan_id} # Get allocation plan
GET /api/v1/allocation/plans # List allocation plans
POST /api/v1/allocation/execute # Execute allocation plan
GET /api/v1/allocation/summary # Get allocation summary
Transfer Management:
POST /api/v1/transfer/execute # Execute transfer
GET /api/v1/transfer/history # Get transfer history
GET /api/v1/transfer/status/{transfer_id} # Get transfer status
POST /api/v1/transfer/validate # Validate transfer
Strategy Management:
GET /api/v1/strategy/list # List available strategies
POST /api/v1/strategy/configure # Configure strategy
GET /api/v1/strategy/performance # Get strategy performance
15.5.2 Real-time Updates¶
WebSocket Endpoints:
/ws/allocation/status # Real-time allocation status
/ws/transfer/progress # Real-time transfer progress
/ws/strategy/performance # Real-time strategy performance
15.6 Frontend Integration¶
15.6.1 Fund Allocation Dashboard Components¶
Allocation Overview Panel: - Current Allocations: Display current account allocations - Target Allocations: Show target allocation percentages - Allocation Differences: Highlight allocation differences - Strategy Performance: Display strategy performance metrics
Transfer Management Panel: - Transfer Plans: Show generated transfer plans - Transfer Execution: Execute and monitor transfers - Transfer History: View transfer execution history - Transfer Status: Real-time transfer status monitoring
Strategy Configuration Panel: - Strategy Selection: Choose allocation strategies - Strategy Parameters: Configure strategy parameters - Performance Analysis: Analyze strategy performance - Risk Metrics: Display risk-based metrics
15.6.2 Interactive Features¶
Visualization Tools: - Allocation Charts: Visual allocation breakdown - Performance Charts: Strategy performance visualization - Transfer Flow Charts: Transfer execution flow - Risk Heatmaps: Risk concentration visualization
Analysis Tools: - Allocation Analysis: Detailed allocation analysis - Performance Attribution: Performance attribution analysis - Risk Analysis: Comprehensive risk analysis - Scenario Analysis: What-if scenario analysis
15.7 Performance Characteristics¶
15.7.1 Fund Allocation Performance Metrics¶
| Metric | Target | Measurement |
|---|---|---|
| Plan Generation | <5 seconds | Allocation plan generation time |
| Transfer Execution | <30 seconds | Transfer execution time |
| Real-time Updates | <1 second | Real-time status update frequency |
| Strategy Calculation | <2 seconds | Strategy calculation time |
15.7.2 Risk Management Quality¶
| Requirement | Implementation |
|---|---|
| Transfer Limits | Configurable transfer amount limits |
| Validation Rules | Comprehensive transfer validation |
| Risk Monitoring | Real-time risk monitoring |
| Audit Trail | Complete transfer audit trail |
15.8 Integration with Existing System¶
15.8.1 Portfolio Service Integration¶
Enhanced Integration:
Real-time Updates: - Asset Monitoring: Real-time asset monitoring - Performance Tracking: Strategy performance tracking - Transfer Execution: Automated transfer execution - Portfolio Updates: Real-time portfolio updates
15.8.2 Risk Management Integration¶
Risk Control Integration: - Transfer Limits: Transfer amount limits and controls - Risk Validation: Risk-based transfer validation - Exposure Monitoring: Real-time exposure monitoring - Alert Integration: Risk alert integration
15.9 Implementation Roadmap¶
15.9.1 Phase 1: Foundation (Weeks 1-2)¶
- Basic Allocation: Basic allocation strategy implementation
- Transfer Execution: Basic transfer execution
- Simple Frontend: Basic allocation interface
- API Integration: Basic API integration
15.9.2 Phase 2: Advanced Strategies (Weeks 3-4)¶
- Performance Strategy: Performance-based allocation
- Risk Strategy: Risk-based allocation strategies
- Advanced Validation: Advanced transfer validation
- Real-time Monitoring: Real-time allocation monitoring
15.9.3 Phase 3: Automation (Weeks 5-6)¶
- Automated Rebalancing: Automated portfolio rebalancing
- Scheduled Execution: Scheduled allocation execution
- Advanced Analytics: Advanced allocation analytics
- Risk Integration: Comprehensive risk integration
15.9.4 Phase 4: Production Ready (Weeks 7-8)¶
- High Availability: Redundant allocation infrastructure
- Performance Optimization: High-performance allocation
- Advanced Reporting: Comprehensive allocation reporting
- Enterprise Features: Institutional-grade allocation management
15.10 Business Value¶
15.10.1 Dynamic Fund Management¶
| Benefit | Impact |
|---|---|
| Automated Allocation | Automated fund allocation and rebalancing |
| Performance Optimization | Performance-based fund allocation |
| Risk Management | Risk-based allocation strategies |
| Operational Efficiency | Reduced manual allocation effort |
15.10.2 Operational Excellence¶
| Advantage | Business Value |
|---|---|
| Dynamic Management | Dynamic fund allocation management |
| Performance Tracking | Real-time performance tracking |
| Risk Control | Comprehensive risk control |
| Professional Grade | Institutional-grade fund management |
Document Information
Type: Dynamic Fund Allocation System Design | Audience: Technical Leadership & Engineering Teams
Version: 1.0 | Date: December 2024
Focus: Multi-Account Fund Allocation | Implementation: Detailed technical specifications for dynamic fund allocation and capital management