Real-Time Profit and Loss

As trading automation continues to grow pervasively throughout the capital markets, an increasingly important aspect of optimizing trading strategy is monitoring profit and loss  in real time. With automated strategies typically trading at high frequencies, it is possible for profits and losses to accumulate rapidly. While many organizations may compute this at end of day in batch-mode, with today’s volatile markets, it has become highly desirable to move to a system of real-time calculation. By enabling the profit and loss of a strategy to be monitored in real-time, and also allowing the strategy to use these calculations to adjust its own behavior, trading profits can be maximized while risks are minimized.

For example, a strategy may take a similar approach to that used in gambling where the more profit made, the more resources are available with which to trade. It is important to separate the overall performance of the system (the organization’s true profit and loss) from that of each strategy. By maintaining real-time potential profit and loss calculations for each strategy in conjunction with the risk manager, it becomes possible to identify those strategies or instruments that did not achieve their potential due to overall system constraints and those that are underperforming. This enables the balance between the strategies to be adjusted more accurately.

StreamBase’s Event Processing Platform brings value to hedge funds, investment banks, and asset management firms by enabling rapid development, testing, and modification of complicated profit and loss applications via the StreamBase Studio graphical development environment. In addition, the high performance StreamBase Server handles data rates of up to hundreds of thousands of messages/second, spanning multiple market data feeds and trading teams. The library of pre-built StreamBase adapters enables trading organizations to easily interface with any of a variety of consolidated feeds or exchange feeds, historical data-stores, and interactive dashboards.