Horizon’s position manager handles positions and risks intraday. It supports a global position and broken-down positions per underlying, portfolios and currencies.
The position manager computes the position based on real-time data (market prices and pricing), executions and the start-of-day position stored in the Horizon database. A Java API permits the integration of trade reports and start-of-day positions from external systems into Horizon’s database, so that the Horizon position manager can aggregate results from external systems.
The start-of-day position and trade reports include the following information: netVolume, average price (to calculate P&L), delta, gamma, vega, theta.
The invested, investedBought, investedSold information will be provided by our Inventory Manager. The Cash Delta, Live Delta, P&L will be provided by our position manager.