FRTB Trade Scaling

Trade Scaling

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1. When you right-click a TradeId, the context menu What If - Trade Scale appears. The widget can be called in any pivot table containing the TradeId dimension.

   

   The Sensitivity Multiplier popup is displayed.

   

2. Complete all the fields and click Submit

   • Title: Short caption describing the meaning of the trade scale task

   • Trade ID: Id of the selected Trade

   • Scale Factor: Numerical values used during the scaling. If you select 2 as the scaling factor, the trade information will be multiplied by 2

   • Branch Name: Name of the branch on which to save the scaling result. If the branch does not exist a new branch will be created.

   • Duplicate Trades: Specify if you want to duplicate the trade

   • Duplicated Trade Suffix: Suffix to append to the new duplicated trade

   

3. In the Pivot table, if the epoch dimension is selected, the new branch (MyBranch in this case) will contains the same data contained in the master branch except for the selected trade (CMTY_4561 in this case). This trade indeed, is scale by a factor of 2 compared to the one contained in the master.

   

Duplicate Trade

In the previous section we described how to scale a trade. In this section we will show how to duplicate a trade and rescale its copy.

1. Right-click a TradeId, and select What If - Trade Scale in the context menu.

   

2. Complete the popup as in the previous case but this time select the Duplicate Trades checkbox. You can now edit the suffix to append to the new duplicate trade.

   

3. In the Pivot table, if the epoch dimension is selected, the new branch (MyBranch2 in this case) will contain a duplicated version of the original trade scale by a factor of 2. Since the new duplicated trade is a completely new trade, it will be contained only in MyBranch2 and it will not appear on the master branch.