Monday, April 25, 2011

Executive Session

One requirement that comes up frequently is the use of our real time system in executive education or other short-duration courses.  The problem is that the participants will only be there for a short while, perhaps only for a couple of hours, so a daily marking to market is not useful.   A second problem is that markets may be closed during the time of the course, say on a Saturday or in the evening.  So what do we do?

The FTS Real Time System allows for what we call “session trading.”  The moderator of the session can start the session, specify the mark-to-market frequency, and monitor performance in two ways: in real time and also at every mark-to-market.   A sample screen is shown below, and if you are interested in using this feature, please contact us and we can go through the (relatively simple) steps involved.

As for trading when markets are closed, we can either replay history or we can simulate prices based on a model. We have two or three models that we have used, and all produce fairly realistic price paths. For derivatives, we use different pricing models so that the underlying and the derivative prices are in sync.  This has been fairly successful so far and helps create an active real-time trading environment to handle these special circumstances.

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