Wednesday, July 30, 2008

real time PnL in FX spot (and forward) trading

The position master (heart of spot trading platform) marks all positions in real time through the day, but at 4pm it closes the book and marks all open positions one last time and computes unrealized PnL and realized PnL for the day.

Same as Reo.

In spot FX, most positions are "flat", at any time, there are a small number of non-flat positions. These jargons all refer to the same concept and are the subject of marking and unrealized PnL report.
- "current position",
- "open position",
- open trades

Note In forward FX, marking is done with live forward prices, not spot prices.

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New York (Time Square), NY, United States
http://www.linkedin.com/in/tanbin