Decisions of sourcing and timing of market data

A key decision should be agreed and documented regarding the approach to ensuring
the quality of market data and the time frames that will be used to obtain it. It is
common to see that several booking locations contain the same instruments, particularly
hedge instruments such as futures. Depending how the firm is structured, it is
not uncommon that different locations use different sources of market data and
capturing market data at different points in time for end of day processing and price
testing. A decision should be made to define organizationally the boundaries of
acceptable practice. For larger institutions, in some instances, it may be agreed that
the sourcing of market data may come from one desk, such as a market-making
desk, and all other desks should use their marks. In other cases it may be deemed
acceptable that different desks have slightly different prices depending on the time
of capture and the trading strategy (i.e. arbitrage desk). In the case of sharing data,
a certain amount of time is required for the coordination of control teams, particularly
in large institutions.