Chronicle EFX

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.

Key Capabilities

• Flexible and extensible to allow use of multiple pricing algorithms
• Performance benchmarked in a live FX trading system, supporting in excess of 50k messages per second market data

Usage

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. 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.

Chronicle's Position and Risk Manager is used to calculate positions based on available trade data, as well as publishing these to output queues. Further, it can facilitate calculations of equivalent positions for use in pricing and hedging algorithms. The Position Books may also be marked for Risk Management, in which case a change in position will trigger the calculation of VaR risk for those specific books.

Key Capabilities

• Re-calculation of positions configurable to be triggered by multiple events – e.g. new trading activity or market movements
• Supports position calculation at multiple Position Book levels, and aggregation of Position Books until a total position across the firm is achieved
• Use Chronicle’s provided VaR calculations or replace them with custom proprietary risk algorithms

Chronicle’s Hedger module provides an extensible hedging capability. It generates hedging and risk management orders based on available position and pricing data, and risk metrics. Chronicle provides a number of basic hedging components, which can be customised and extended by clients. For those clients desiring a more sophisticated and bespoke auto-hedging capability, the Hedger module can be used as a framework in which proprietary hedging functionality can be easily and rapidly implemented.

Key Capabilities

• Choose from Chronicle’s out-of-the-box hedging algorithms, or embed proprietary algorithms within the Chronicle Hedger framework
• Supports multiple hedging strategies, configurable at Position Book level

Usage

The Hedger can be combined with Chronicle’s Book Builder, Pricing and Position Manager modules as input sources of market depth ladders, prices and risk positions, respectively. Using multiple hedging strategies, one Position Book could be hedged on a trade-by-trade basis, whilst another could represent an aggregated position and be hedged periodically intra-day.

Key Capabilities

• Time and interval based firewalls for outgoing orders based on individual and aggregate properties
• Supports both auto-reset and manual reset

Usage

Chronicle Order Gateway integrates seamlessly with all Chronicle's trading microservices to validate any orders that are formed using the other components.