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Quantitative Finance · Glossary

What is Configuration schema?

Definition 16.3 Research, Data and Risk Platforms · Chapter 16 — Signal Serving and Parameter Management

A configuration schema declares, for each parameter, its canonical unit and the units it may be entered in, its bounds, the largest change allowed in one step, and the size of change that needs a second approver; every proposed value is converted and checked against it before anyone approves it.

The life of a parameter change in the store: typed on entry, checked by the schema, approved by others, rolled out behind a flag to one strategy and then to all, every step recorded with its times in a history that cannot be edited unnoticed.
Figure 16.1. The life of a parameter change in the store: typed on entry, checked by the schema, approved by others, rolled out behind a flag to one strategy and then to all, every step recorded with its times in a history that cannot be edited unnoticed.

Examples

Example 16.4 (What was live at 10:31 last Tuesday)

The raise to 75 basis points was recorded on Tuesday at 09:43 and took effect at 10:00. On Thursday a correction was recorded: from Tuesday 10:30 the limit should have been 60. Asked on Wednesday what was live at 10:31 on Tuesday, the store answers 75 basis points; asked now, it answers 60. Both answers are right, and a post-mortem needs both: what the strategy used, and what it should have used.

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