Timing of data capture

The timing of when prices will be obtained for price testing needs to be specified by
the organization. The question the organization needs to address is to define the
timing and market data sources that are to be used. One consideration is to determine
if it is necessary to have the same end of day price available on a global basis for
price testing and end of day marking (i.e. all prices as of 4.15 p.m. London time).
Timing is more of an issue in larger institutions when the same instrument may be
booked at several locations.
Trading personnel generally prefer the end of day marks from each of the exchange
close as it provides better risk numbers at the end of day for portfolio hedging. It also
allows the Flash PnL and accounting (Tò1) PnL to be more accurately validated.
However, obtaining all prices ‘as of’ a certain point in time is preferred from a
financial viewpoint. It is usually preferred from a system implementation viewpoint
as well as it is generally easier to implement prices as of one point in time for simpler
logic and exception reporting and tighter batch processing frames. Usually practical
implementation issues decide the decision.
Regardless of the timing chosen, the organization should define and document the
timing. Audit personnel generally do not feel comfortable with different prices being
used for end price testing and end of day marks without it being thought through,
communicated to management and documented.