Reply To: Approach for APM price updates without using local updates or live pricing.

#9213
Steve Parsons
Participant

I guess that in this case you are thinking of regular intraday price updates, e.g. every 15 mins.

The way to recalculate positions based on the latest prices in this scenario is to either update the universal using this mechanism, or if that is not desirable to use a named closing dataset to contain the intraday prices (and configure the APM service to use the named closing dataset).

Code can then be added to the upload mechanism so that the batch is rerun for portfolios that contain price sensitive deals. They key is to make sure that the batch on the relevant portfolios can run quicker than the interval between price updates being uploaded. This could require usage of grid.

Download PDF version

This field is for validation purposes and should be left unchanged.