The Need for a Lightening Fast Accounting Engine

The typical line between lots and journal entries

The Need For Speed

Start-up & Recovery

Real-time portfolio positions (and P&L)

  • A FX trader hedges a foreign bond position, which has just been sold by the principal PM
  • A treasuries trader rolls a bond position that has been sold, or pledged as collateral.

What-if Analysis

  • If I trade this bond will I move my portfolio(s) to the desired risk position?
  • If I trade this equity will I breach any portfolio constraints?
  • If I trade this future will I break my daily exchange limits?
  • Which options contract satisfies my portfolio goals at the cheapest price?
  • How much tax loss can I harvest?

The impact of the old trade-off

  • Front office systems implemented rudimentary tax lot processing that didn’t necessarily match the closing methods for each portfolio
  • Sub-ledgers needed to be synchronized with general ledgers
  • A feedback loop was created between accounting-initiated changes (e.g. re-orgs), and front-office-initiated changes (e.g. trades)

The new world

Per portfolio scaling (at the most extreme)

Eventual Consistency for global transactions

Inter-portfolio locking

Summary

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Spent career at various financial institutions across continents and across the buy/sell side. Content/thoughts are my own, not my employers’

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David Doherty

David Doherty

Spent career at various financial institutions across continents and across the buy/sell side. Content/thoughts are my own, not my employers’

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