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Quantitative Finance · Glossary

What is Booking model?

Definition 21.4 Research, Data and Risk Platforms · Chapter 21 — Trade Capture and Booking

A booking model is the set of rules that decides where a trade is booked — by instrument type, desk, legal entity and strategy — so that the book is a consequence of the trade’s attributes, not a field typed by hand.

The 57 executions of the 9 900-share block on the simulator, by time and price (marker area by size): ten child orders taking the offer every 20 seconds, each filled in several executions as it walks the book. Every execution is captured as a trade; every fund is allocated at the average. Data: fig_tradecap.py.
Figure 21.1. The 57 executions of the 9 900-share block on the simulator, by time and price (marker area by size): ten child orders taking the offer every 20 seconds, each filled in several executions as it walks the book. Every execution is captured as a trade; every fund is allocated at the average. Data: fig_tradecap.py.
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