Live position management
Implementation of a real time position keeping engine
Problem solved
Significant reduction of time taken for positions to update. Timely information delivery to trading desks with consequent avoidance of misalignments between trading strategies and current portfolio position.
Our competitive advantage
Thanks to our experience we could discuss requirements at the business level directly with traders and risk managers and the problems faced by the business stakeholders were immediately self-evident.
Ark's expertise in the domain was fundamental in the ability to design a working solution efficiently and to rapidly provide a working prototype that was evolved to a production system in an agile fashion over a short time frame.
Outcome
Creation of a performant position computation engine delivering live position data to a web based interface on the basis of transactions automatically flowing into the client's ETRM system from brokerage and exchange platforms.
CDC operations (creation, update, cancellation of transactions) were acquired directly from the ETRM's system's DBMS via ad-hoc triggers and queued on a message bus. The computation engine was responsible for processing the queue and keeping an up to date view of the position for each of the tenors in the term structure for each market and provide live updates to a web based user interface.
The design remit of visualising an up to date position in less than one second from receipt of a change by the ETRM system in 95% of the cases and in less than two seconds in 99% of the cases was fully met.
Business stakeholders
- Trader
- Risk Manager
- Energy Manager
- Executives
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