Reply To: What’s the Pro/Con of the “new” ReFixing Script ?

#6896
Israr
Participant

The “new” script uses three functions :

Index.refixingGetListOfModifiedHistPrices
Index.refixingInsertTransAffectedByPriceChanges
Index.refixingRefixTransAffectedByPriceChanges

PROD :
(1) It identifies which trades need Re-Fixings
(2) The API refixes without having to unfix or change the dates

CON :
(1) It can take a lot of processing time to run. Especially it must be made clear the very first time it is run in a mature environment. The longer the time taken between runs the more processing time it takes ( we have seen at clients where day 1 it takes the whole day to run )

(2) because of above it may need to be run on weekends

(3) the standard report that this generates , identifying trades that have been refixed, is not that useful – so some enhancement / enrichment to the report would be recommended.

(4) Refixings will change the PnL , but Endur doesn’t have a “Impact of Reset Refixings” type result ( this is totally different to “Impactof Resets” ) so the PnL change due to this script will be Unexplained.

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