Create multi-level book positions from trade data, and calculate risk with PositionManager

What is Chronicle PositionManager?

Chronicle PositionManager has two main functions:

  • Calculation of positions based on available trade data, and publishing these to output queues.
  • Calculation of equivalent positions for use in pricing and hedging algorithms.

Positions can be calculated at multiple configurable Position Book levels and can be aggregated at higher level Position Books all the way until a global, total position across the firm is achieved. Re-calculation of Position Books is triggered by the processing of a new trade or trade amendment. Position Books may also be marked for Risk Management, in which case a change in position will trigger calculation of VaR risk for those specific books.

The PositionManager is reliant on Chronicle’s BookBuilder module to provide pricing data for position, PnL and Risk calculations. Position and Risk outputs can be consumed by anything, but are required by the Chronicle Hedger and Pricer modules, as well as being output on standard user interfaces.

"Positions can be calculated at multiple configurable Position Book levels and can be aggregated at higher level Position Books all the way until a global, total position across the firm is achieved."

Why Choose Chronicle PositionManager?

  • Asset class-agnostic
  • Supports position calculation at multiple Position Book levels, and aggregation of Position Books until a total position is achieved
  • Re-calculation of positions configurable to be triggered by multiple events – e.g. new trading activity or market movements. (Typically, we would recommend that clients configure throttling in the Chronicle BookBuilder module, to avoid unnecessary or overly-frequent recalculation of positions)
  • Chronicle’s own VaR calculations are provided out of the box, or clients can insert their own proprietary risk algorithms
  • Integrates easily with other Chronicle modules, to provide a seamless auto-hedging solution

How it works?

The PositionManager is built on the Chronicle software stack, which itself is designed to provide a flexible, reliable and low-latency framework. Notable features include:

  • High availability and resilience

  • Ease of integration - like other Chronicle modules, the PositionManager can either write its output to one or more Chronicle Queues, for consumption by other modules, or it can call another module (Chronicle or your own) directly.

  • The ability to take advantage of the many features provided by the Chronicle software stack, such as built-in monitoring and alerting, and replication*.

*Replication, in this instance, refers to the copying of data over the network via TCP/IP, usually done for failover, and/or to create a safe copy of the information on another host server or in another data centre.

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