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Quantitative Finance · Glossaire

Qu'est-ce que « Front-to-back flow » ?

Definition 1.1 Research, Data and Risk Platforms · Chapitre 1 — The Platform Map

The front-to-back flow of a trading firm is the path that a trade and the data about it take through the firm’s systems: market and reference data; the decision and the order; the execution; the position and its P&L; the risk it adds; its booking, confirmation, settlement and reconciliation; and the controls and reports that close the day.

The miniature firm’s systems by layer, from the venues at the top to the controls at the bottom; the research platform reads the tick store and the reference data beside the trading path. Arrows show the main direction of the day’s data; the full set of flows is the map’s data (pl_platmap), not the drawing.
Figure 1.1. The miniature firm’s systems by layer, from the venues at the top to the controls at the bottom; the research platform reads the tick store and the reference data beside the trading path. Arrows show the main direction of the day’s data; the full set of flows is the map’s data (pl_platmap), not the drawing.

Exemples

Example 1.2 (The miniature firm in numbers)

The map of the miniature firm (pl_platmap) has 18 systems, 22 datasets and 15 end-of-day jobs. Seven datasets arrive from outside: the day’s fills, the day’s market-data capture, the official closing prices, a market-data snapshot of curves and volatilities, the vendor’s reference-data and corporate-action files, and the clearing broker’s statement. Every other dataset is produced by exactly one job from others.

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