New Calculation Engine

July 4, 2022, 2:06 p.m. - posted by Alex

Update time!

It’s been a while since our last post on here, we’ve been busy at work further improving CT Grid, adding new functionality, fixing bugs, and significantly improving performance.  

The big news is that our calculation engine has gone through a round of optimisations which have yielded performance improvements of 2x-10x.  This is a significant improvement for any system to claim, and factoring in the over billion calculations we’re processing on a daily basis, the margin for error was razed thin.  This was the single hardest migration we’ve had to do to date.  Great job team!

Along with performance improvements, formulas can now be built and managed by users of CT Grid (get in touch if you want this enabled for your desk). There are a suite of purpose built functions which make crafting curves very simple.  A couple of examples:

• Calculate mid only if the spread is 0.05: MID(BID, ASK, 0.05)
• Use Brent Future Oct-22 last trade value only if it’s been updated in the last 5 minutes: RECENT({B Oct-23 last}, 300)

A more involved example ..

• Use last traded if updated in last 5 minutes, else use mid if the spread is within 0.05, finally, fallback to settle: CASE(RECENT({B Oct-23 last}, 300), MID({B Oct-23 bid}, {B Oct-23 ask}), {B Oct-23 settle})

Here are some other things that have changed since March:

• Push notifications for mobile
• Added ability to cherry pick products from different desks when sharing curves
• Better rolling for crude CFDs
• Spread breaking in trade blotter
• Custom trade recaps (copy/paste)
• Pricer alerts for bid/ask order stacks
• Bloomberg contribution FIX link
• Now possible to copy values when time travelling
• Exporting CSV and Excel has been moved to the server
• General stability and performance improvements

There is a lot more in the pipeline, stay tuned!