What can I reconcile and how do I go about doing so?
Holdings reconciliation in LUSID is a simple but powerful way to ensure consistency across two versions or views of the "same" portfolio e.g. an internal view versus an asset servicer book of record. The two representations - or sides - of the reconciliation can be defined by two separate sets of scope, code, effectiveAt and asAt; all can differ between sides.
The holdings reconciliation feature can accessed via:
- The reconcileHoldings API end-point.
- The Excel add-in (see the example file LUSID Excel - Setting up your IBOR in GitHub for details).
- The website via the Workflow dashboard.
Currently, LUSID supports holdings reconciliation of quantity and cost, with the ability to set relative or absolute tolerance levels for both. Clients will shortly be able to view and reconcile properties within the function.
Separately, there is a valuation reconciliation, taking in two aggregations and comparing the results.
We have provide some example applications below:
Example 1: Reconciling holdings between live position and fund accountant view
- The fund accountant uploads the start of day information for the UKGrowth1 fund to the FundAccountantStartOfDay scope.
- LiveScope holds the fund's live book of record.
- Reconciling the two versions shows the differences between the fund accountant start of day and the live position.
Example 2: Examining change on day in holdings for a live book
- If the client wished to examine the change on day in holdings in the live book, they would specify the above sides.
- Each day's trading could additionally be frozen at a particular point in the trading session (for instance 5pm), by using a particular cutoff datetime (or cutlabel) for effectiveAt.
- N.B. this is a reconciliation of the same portfolio against itself one day ago.
Example 3: Identifying erroneous trades in a live book
- If there is a concern that erroneous trades have appeared in the last 5 minutes in the live book, the above sides would enable reconciliation of the live portfolio against itself, this time using the asAt or system time to generate a representation as it stood 5 minutes ago.
- N.B. this is a reconciliation of the same portfolio against itself 5 minutes ago