EXANTE Cross-Asset Portfolio Margin Risk Calculation for Hedge Funds Trading
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This document proposes a new risk calculation and control system for a broker that provides algorithmic trading. The current risk scheme has drawbacks like slow limit updates, a lack of portfolio margin calculation, and high traffic between components. The proposed system would calculate risk in near real-time using cross-asset portfolio margining. It would leverage margin coefficients that do not depend on accounts and centralized free money calculations to determine symbol limits. This approach aims to provide fast risk updates and checks while supporting a large number of symbols and accounts and using orders data to calculate accurate portfolio margins.
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We can also do it to get a feel for the market and learn about trading.
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Ankur Jain Resume
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一、工作未确定，回国需先给父母、亲戚朋友看下文凭的情况，办理一份就读学校的毕业证【微信：A575476】文凭即可
二、回国进私企、外企、自己做生意的情况，这些单位是不查询毕业证真伪的，而且国内没有渠道去查询国外文凭的真假，也不需要提供真实教育部认证。鉴于此，办理一份毕业证【微信：A575476】即可
三、进国企，银行，事业单位，考公务员等等，这些单位是必需要提供真实教育部认证的，办理教育部认证所需资料众多且烦琐，所有材料您都必须提供原件，我们凭借丰富的经验，快捷的绿色通道帮您快速整合材料，让您少走弯路。
留信网认证的作用:
1:该专业认证可证明留学生真实身份
2:同时对留学生所学专业登记给予评定
3:国家专业人才认证中心颁发入库证书
4:这个认证书并且可以归档倒地方
5:凡事获得留信网入网的信息将会逐步更新到个人身份内，将在公安局网内查询个人身份证信息后，同步读取人才网入库信息
6:个人职称评审加20分
7:个人信誉贷款加10分
8:在国家人才网主办的国家网络招聘大会中纳入资料，供国家高端企业选择人才
→ 【关于价格问题（保证一手价格）
我们所定的价格是非常合理的，而且我们现在做得单子大多数都是代理和回头客户介绍的所以一般现在有新的单子 我给客户的都是第一手的代理价格，因为我想坦诚对待大家 不想跟大家在价格方面浪费时间
对于老客户或者被老客户介绍过来的朋友，我们都会适当给一些优惠。
选择实体注册公司办理，更放心，更安全！我们的承诺：可来公司面谈，可签订合同，会陪同客户一起到教育部认证窗口递交认证材料，客户在教育部官方认证查询网站查询到认证通过结果后付款，不成功不收费！
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EXANTE Cross-Asset Portfolio Margin Risk Calculation for Hedge Funds Trading
- 1. February 2013 EXANTE CROSS-ASSET PORTFOLIO MARGIN RISK CALCULATION for HFT Sergey Troshin, PhD, Tech lead, Trading Platform
- 2. Contents 2 1. Broker for algorithmic traders Internal architecture overview 2. Current risk scheme and its drawbacks Problems by design. Implementation problems. 3. Risk calculation and control proposal Cross-asset portfolio margin risk management in near real time mode.
- 3. EXANTE platform 3 • One client account for all products • Trading terminal for Win, Mac, Unix • FIX connection
- 4. 4 Presence in all major financial centres • 50+ Exchanges • 100K+ Instruments
- 5. 5 • 10+ data vendor gateways • 10+ execution gateways
- 6. 6 Parallel trading via many Gateways using one Account => Accurate risk control is needed
- 8. Initial startup After each trade Current Risks 8
- 9. Current Risks 9 Pros: • Simple and extremely fast Gateway Cons: • Limits update are not fast enough because of heavy calculations on Back Office side • Orders data are encapsulated in Gateway • Portfolio Margin is not calculated • High BO=>RA traffic (symbols * accounts) • Gateway restart takes significant time • Possible inaccurate limits
- 10. Risks Requirements 10 • 100K symbols and 10K accounts • Fast risk calculation, updates and checks • Use orders data in risk processing • Portfolio margin calculation • Reasonable traffic (symbols + accounts)
- 11. Risks Proposal 11 SymbolLimit = FreeMoney * LeverageRate * CrossCourse / Price Definitions • MarginCoefficient = CrossCourse / Price (initial margin to open position with quantity set to 1 and leverage rate set as 1) Facts • Margin Coefficient doesn’t depend on account • LeverageRate is the same for many accounts • CrossCourse and Price can not change
- 12. Initial startup Trade processing Risks Proposal 12
- 13. Free Money 13 Account Margin = SUM(Asset Margin) + SUM(Cross-Asset Margin) Asset Margin = Quantity * LeverageRate * MarginCoefficient Cross-Asset Margin = SPAN-like algorithm for same underlying
- 14. Improvements 14 1. Move free money calculation to Risk Agent. Orders synchronization is needed. 2. Compute free money using cross margining info 3. Use margin data in ATP
- 15. Proposed risks 15 Pros: • Gateway is still very fast(<1ms) • Orders are used in limits calculation • Portfolio Margin can be calculated in different ways • Cross margin data could be used • All limits and leverage rates could be overridden • Fast as light risk updates • Backup gateways Cons:
- 16. 16 Questions? Sergey Troshin, PhD, Tech Lead (st@exante.eu) www.exante.eu