Book
Table of Contents
This is the hub note for the trading book. Each linked note is a single focused concept; start here and follow the links. Return to Knowledge.
Summary
A book is the fundamental container of trading risk: every deal in the system belongs to exactly one book, and books are the unit around which risk, P&L, and accounting are organised. A book is not a purely trading-system concept — it is, first and foremost, an accounting concept, and the trading system's view of books must always reconcile with the general ledger. A single book can carry several independent classifications at once (e.g. a book can be both a ledger book and a risk-bearing book), sits within — but is distinct from — the trading desk's own portfolio hierarchy, moves through a deliberately heavyweight lifecycle from opening to closure, and ultimately exists to keep trading activity synchronised with the accounting ledger.
Detail
Concept map
- Classification → Book classification (trading vs banking, ledger vs source, risk-bearing vs wash/reserve/write-off/funding, and other special-purpose books).
- Regulatory boundary → FRTB trading book / banking book boundary (Basel III/IV intent-based classification, presumptive lists, capital treatment, switching restrictions).
- Portfolios → Books and portfolios (the accounting/trading split, the ledger-defined book hierarchy, global vs personal portfolios).
- Saved filters → Dynamic books (a live filter that behaves like a book without being one).
- Regional aggregation → Book groups and rates centres (rolling up centre-owned books for consistent revaluation data and access control).
- Lifecycle → Book lifecycle (opening, moving deals between books, closing).
- Ledger connection → Book and the ledger (the accounting hierarchy, ledger book mechanics, profit remittance and cash sweeping, P&L attribution and reporting).
- Access control → Book access and permissions (allowed-currency constraints, the fine-grained permission model, periodic access review).
- Funding process → Funding process (flattening net overnight cash per currency through a designated Funding Book).
- Wash books → Wash books and risk routing (risk-neutral books paired with a designated risk book via system-generated back-to-backs).
- Sweep processes → Sweep (the two distinct "sweep" mechanisms, and why the Sweep-target and Remittance-target book roles are not combinable).
- Central remittance → Central remittance (profit remittance) (profit sell-down, the Central Remittance Book, and periodic settlement to Group).
Where this lives in ORE Studio
Book and Portfolio are modelled in ores.refdata, not ores.trading,
and this is a deliberate classification rather than an accident of
where they were first built. Established trading systems draw the
reference-data/transactional-data boundary by lifecycle and
mutation pattern, not by "does this relate to trading": Murex calls
this bucket Static Data and Calypso calls it the Reference Data
domain, and both explicitly place books and portfolios in it
alongside counterparties, legal entities, and currencies — not
alongside trades, positions, or cashflows. The test both systems
apply is whether an object is created rarely (by middle/back-office
setup) and referenced constantly by trades, versus created
continuously as the direct output of trading activity. A trader
books into an existing Book the same way they select an existing
Counterparty or Currency; they do not create a new Book per trade the
way a new deal record is created per transaction. Books and
portfolios's own domain description reinforces this independently:
books are created by Finance/Accounts and synchronised into the
trading system, which cannot create books itself — an externally-
sourced, infrequently-changing master-data object is exactly what
reference data means in this codebase, the same bucket party and
counterparty already occupy despite also not being "pure lookups".
See also
- Trade Blotter — the book tree filters the deal grid; book moves are a deal action reachable from a row.
- P&L Attribution — the deal activity taxonomy a book move is categorised under.
- Risk Reporting — book-level risk measures such as Rho.