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Pair Project – Futures and Options (FNO) Transactions Reconciliation Part 1
Background
The fund regularly trades in futures and options contracts, through three (3) brokerage
accounts.
The daily trade records are warehoused in the internal accounting system, from which you
download a report to compare to each broker′s trade records.
You are to perform the reconciliation process between the internal accounting system′s report
and the broker trade records.
Key reconciliation points for each broker are:
Investment
Quantity
Direction
Price
Commission
At the end of each day, you must produce a reconciliation summary to be sent to your manager
via email, with any breaks highlighted for further action.
The reconciliation process can be done via sсrіpts/spreadsheets/any suitable medium, but the
detailed reconciliation breakdown must be saved and stored (usually in a spreadsheet) for audit
purposes.
Your task is to create a standardized reconciliation process that can take in all the necessary
inputs for a given day and produce standardized outputs. (More details to be found in the
Deliverables section)
Input Files
1x Fund′s Trade Record [Quantedge_Future.csv]
3x Broker Trade Records
-MS_Activity.csv
-GS_Activity.csv
-SG_Activity.csv
Deliverables
Please create a file/macro/sсrіpt that will perform the reconciliation of the 4 input files.
You will want to write the file in such a way that the user can feed in any day′s trade records and
get a consistent output.
Reconciliation breaks should be highlighted to your manager in an email.
The reconciliation results should be presented in a way that is easily understood.
Please write a set of instructions on how to run your file. Your finished project will be
sent to another group, who will run it according to your listed instructions. PLEASE NOT THAT ″NEWG″ in Quantedge_Future is the same as SG in SG_Activity. NEWG is the same as SG in terms of broker name.
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