Portfolio P&L Attribution with Daily Mark to Market
Summary
This document describes a portfolio monitoring module that groups trading activity by order source and tracks positions, fills, and profit and loss. Each source, such as manual trading or a strategy, can be treated as a separate portfolio. The display distinguishes opening and current positions, long and short fill quantities, trading P&L, holding P&L, and total P&L, with a transaction table that can be filtered by portfolio.
Its accounting explanation uses daily mark to market: opening positions are revalued from the prior settlement price to the current price, while today’s position changes are valued relative to their execution prices. Total P&L combines trading and holding components; net P&L further subtracts fees and slippage. The document also describes periodic recalculation and saving positions on orderly shutdown. A stated limitation is that rolling the prior day’s total positions forward may not suit continuously traded markets, and the described module does not yet provide daily timed or manual settlement.
Key ideas
- Order source identifiers allow trades to be grouped into separate portfolios.
- Current positions combine opening positions with the net quantity traded during the day.
- Daily mark to market separates P&L on opening holdings from P&L on today’s trades.
- Net P&L subtracts fees and slippage from total P&L.
- Rolling positions forward once per day may be unsuitable for markets that trade around the clock.
Tags
From a private course collection; the original is not published.