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Chronicle Pricer

Extensible pricing capability, with support for multiple pricing algorithms, input sources and events

What is Chronicle Pricer?

Chronicle’s Pricer module provides the infrastructure in which clients can embed their own pricing algorithms, and run pricing calculations. By decoupling the structure from the pricing logic, the Chronicle Pricer enables clients to retain full control of their proprietary pricing methodologies.

At the most basic level, the module generates prices for trading a given asset class, based on market data inputs. However, Chronicle has designed the Pricer to be flexible and extensible, allowing multiple pricing algorithms to be used. Combined with Chronicle’s BookBuilder and PositionManager modules, the Pricer becomes a powerful engine for calculating and publishing prices based on multiple inputs and events.

For order generation and execution, prices can be output for consumption by other modules, such as Chronicle’s own Hedger, or else published to a user interface or for use by a client API.

"Chronicle Pricer generates prices for trading a given asset class, based on market data inputs"

Why Choose Chronicle Pricer?

  • Asset class-agnostic
  • Enables clients to leverage Chronicle’s trademark distributed, low latency capabilities high-performance Java (with microsecond per message latency, and a throughput of 100k messages per second) whilst retaining control over their proprietary pricing methodologies
  • Performance benchmarked in a live FX trading system, supporting in excess of 50k messages per second market data
  • Multi-algorithm support, built into the module’s foundations
  • Fully configurable pricing algorithms
  • Support for multiple inputs and outputs
  • When used in conjunction with other modules and components, promotes rapid prototyping and deployment of pricing and trading solutions

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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