Positions analysis

The Positions Analysis section is intended for operational analysis of the broker's open positions on client, liquidity provider, and B-Book accounts.

The report allows you to assess the structure of open positions, broker revenue and margin efficiency, check the quality of client position hedging, and identify unhedged positions and risk concentration.

Depending on the task, you can analyze the data in three modes:

• Structure - analysis of broker revenue and margin efficiency;
• Reconciliation - checking client position coverage and identifying mismatches between client, liquidity provider, and B-Book positions;
• Concentration - assessment of market and margin risk distribution across instruments and accounts.

The table row structure is preserved when switching between modes, while the set of displayed metrics depends on the selected mode.

Please note! ALL report metrics related to margin and risk are optimized for accounts that use the Margin per Position model. To ensure accurate risk and revenue analysis, make sure the account settings are consistent with this model.

Analysis modes

Use the Structure, Reconciliation, and Concentration tabs to switch between analysis modes.

Structure mode

The mode is intended for analyzing the profitability of open positions and the efficiency of the broker's margin usage.

By default, the table displays the following metrics for this mode:

• Broker Revenue Gross;
• Broker Revenue Net;
• Return on Margin;
• Hedge Effectiveness;
• Trade Commission;
• Markup;
• Rollover;
• External Commission;
• Open P/L;
• Closed P/L;
• Other P/L.

Detailed descriptions of the metrics are provided in the Structure section.

Reconciliation mode

The mode is intended for checking whether client risk is covered by positions on liquidity provider and B-Book accounts, as well as for identifying uncovered risk and hedging errors.

By default, the table displays the following metrics for this mode:

• Position Market Value / Broker Net Exposure;
• Provider Ratio %;
• B-Book Ratio %;
• Hedge Coverage %;
• Gap / Mismatch.

Detailed descriptions of the metrics are provided in the Reconciliation section.

Concentration mode

The mode is intended for assessing the concentration of the broker's market and margin risk by instruments and individual accounts.

By default, the table displays the following metrics for this mode:

• Position Market Value / Broker Net Exposure;
• Total Assets;
• Margin Contribution %;
• Total Acc. Used Margin;
• Total Margin Usage %;
• Concentration by Market Value %;
• Concentration by Risk %.

Detailed descriptions of the metrics are provided in the Concentration section.

Data mode

For the current date, the report displays up-to-date data in Real-time mode.

When a past date is selected, the report is generated based on the EOD snapshot of open positions at the end of the selected day. Positions opened after the selected date are not included in the report. Monetary values are converted to the report currency using the exchange rate at the end of the selected day.

Report settings

Before generating the report, you can configure grouping, filters, and the way the data is displayed.

Grouping

Select the primary grouping using the following tabs:

• Category - positions are grouped by instrument categories;
• Asset type - positions are grouped by asset type;
• Instrument - positions are displayed by instrument without additional grouping by category or asset type.

When Category is selected, you can enable Group by asset type. In this case, an additional asset type level is added between the category and instrument levels.

Depending on the selected parameters, the hierarchy can have the following structure:

• Category → category → instrument → account;
• Category + Group by asset type → category → asset type → instrument → account;
• Asset type → asset type → instrument → account;
• Instrument → instrument → account.

When Summarize accounts is enabled, the last level is replaced with aggregated rows by account relation.

Filters

Use the following fields to filter the data:

Parameter	Description
Currency	Currency in which the report's monetary values are displayed. The current exchange rate is used for current data, and the end-of-day rate is used for historical data.
Date	Date for which the report is generated. Current data is used for the current date; an end-of-day snapshot is used for a past date.
Accounts	Filters by account.
Account group	Filters by account group.
Instruments	Filters by trading instrument.

After changing the filters, click Apply.

Additional parameters

Parameter	Description
Group by asset type	Adds an asset type level within a category. Available only when Category grouping is selected.
Summarize accounts	Replaces individual account rows with the aggregated Client Total, LP Total, and B-book Total rows.
Show only mismatches / gap	Keeps positions with a significant Gap / Mismatch value or a warning that requires attention.
Show advanced columns	Adds metrics from the other analysis modes. When enabled, the full set of Structure, Reconciliation, and Concentration metrics is displayed.
Sort by open date	Sorts positions by open date, starting with the earliest. Available only when Summarize accounts is disabled.

Table structure

The data is displayed in a hierarchical table. You can expand and collapse groups using the arrow next to the group name.

The Grand Total row contains the aggregate metrics for the entire report.

• Monetary metrics at aggregate levels are calculated based on the rows included in the corresponding level.
• Percentage metrics at aggregate levels are recalculated based on the aggregated source values rather than averaged.

Some values at the account level are displayed in a muted color. Such values are provided for reference and are not included in the corresponding aggregate metric at the parent level.

If a metric cannot be calculated for a particular row or account type, N/A or a dash is displayed.

Common columns

The following columns are used in all analysis modes:

Parameter	Description
Instrument Category	Instrument category. Displayed when the corresponding grouping is selected.
Instrument	Instrument or instrument category, depending on the row level.
Account Relation	Account relation type. Client is displayed if the client profile is the account client and the broker profile is the provider. LP is displayed if the liquidity provider profile is the account provider and the broker profile is the client. B-book is used for the broker's internal accounts.
Account Group	Group to which the account belongs and to which the specified Trading settings apply.
Account ID	ID and name of the account.
Amount Unhedged (Lots)	Position amount in lots. At the instrument level, shows the unhedged part of the position accounted for on the B-Book account and the execution account. At the individual account level, shows the position amount on that account. The metric is not aggregated at levels that combine different instruments.
Position Open Date	Date when the position was opened on the account. For an aggregated row, the earliest position open date in the group is displayed. The metric is not calculated at the instrument level or above.
Margin Req	Margin used to open the position. At the account level, shows the margin of the specific position on the specific account. Aggregation rules are described below.
Alarm	Indicator of a detected issue. If several conditions are met for the row, the warning with the highest priority is displayed.
Alarm Description	Description of the detected issue. If several warnings are triggered, their number may be displayed instead of the text; hover over the value to view the full list.

Margin Req

At the individual account level, Margin Req shows the margin of the specific position on that account.

At the instrument level, the metric reflects the broker's margin and is calculated as the sum of margin for positions on liquidity provider and B-Book accounts. Margin on client accounts is displayed for reference in a muted color and does not increase the broker's aggregated Margin Req.

At the asset type, category, and Grand Total levels, values are summed across the instruments included in the corresponding level.

Structure

The Structure mode is intended for assessing the profitability of open positions and the efficiency of the broker's margin usage.

Broker Revenue Gross

Broker Revenue Gross is the broker's gross operating revenue before external hedging costs are taken into account.

At the instrument level and above, the metric is composed of:

• Trade Commission - commissions for trades on client trading accounts;
• External Commission - commissions for trades on provider accounts;
• Markup - markups applied to instrument prices in positions;
• Rollover - swap amounts for positions;
• Open P/L, Closed P/L, and Other P/L on B-Book/Internal accounts.

In general, the calculation can be represented as follows:

Broker Revenue Gross = Trade Commission + External Commission + Markup + Rollover + B-Book P/L

Commissions, markups, and swaps on client accounts are treated as components of the broker's revenue. P/L on client and liquidity provider accounts is not included in Broker Revenue Gross. Data from liquidity provider accounts is not included when calculating gross revenue.

Signs of the source operations are converted to reflect the business meaning of the corresponding column before Broker Revenue Gross is calculated. For example, a commission charged to a client is treated as broker revenue, while a markup increases gross revenue.

Broker Revenue Gross is not calculated at the individual account level.

When Summarize accounts is enabled:

• commissions, markups, and rollover from Client Total are included; client P/L is ignored;
• LP Total is not included in Broker Revenue Gross;
• P/L from B-book Total is included, as well as commissions and rollover if such operations occurred on internal accounts.

Broker Revenue Net

Broker Revenue Net is the broker's net operating revenue after execution and hedging costs are taken into account.

The metric is calculated based on Broker Revenue Gross with additional Trade Commission, External Commission, and Rollover values from liquidity provider and Internal accounts:

Broker Revenue Net = Broker Revenue Gross + Trade Commission + External Commission + Rollover on liquidity provider and Internal accounts

Commissions and swaps on liquidity provider and Internal accounts are taken into account with their actual sign. These operations usually reduce gross revenue; however, if the rollover result is favorable, Broker Revenue Net can be higher than Broker Revenue Gross.

Broker Revenue Net is not calculated at the individual account level.

When Summarize accounts is enabled:

• client commissions, markups, and rollover are already included in Broker Revenue Gross;
• commissions and rollover from LP Total are additionally included in Broker Revenue Net; P/L on liquidity provider accounts is ignored;
• P/L from B-book Total is included along with commissions and rollover related to internal accounts.

Return on Margin

Return on Margin (ROM) shows the ratio of the broker's net revenue to the broker margin used for the corresponding instrument or group of instruments:

Return on Margin = Broker Revenue Net / Margin Req × 100%

The metric is not calculated at the individual account level.

At aggregate levels, the percentage is recalculated based on the aggregated Broker Revenue Net and Margin Req.

Color indication:

• green - above 1%;
• orange - from 0% to 1%;
• red - below 0%.

If Margin Req equals 0, the metric is not calculated.

Hedge Effectiveness

Hedge Effectiveness shows the share of the broker's gross revenue that remains after execution and hedging costs are taken into account:

Hedge Effectiveness = Broker Revenue Net / Broker Revenue Gross × 100%

The metric is not calculated at the individual account level.

At aggregate levels, the percentage is recalculated based on the aggregated Broker Revenue Net and Broker Revenue Gross.

Color indication:

• green - above 70%;
• orange - from 30% to 70%;
• red - below 30%.

If Broker Revenue Gross equals 0, the metric is not calculated. If Broker Revenue Net is negative, the value is displayed as problematic regardless of the mathematical result of the ratio.

Trade Commission

Trade Commission shows the total trading commissions for trades on client accounts.

The amount and charging conditions of the trading commission depend on the commission conditions specified in the account tariff.

At the account level, the actual commission value is displayed. At aggregate levels, the value reflects the corresponding result for the broker.

External Commission

External Commission shows the total external commissions for trades on provider accounts.

Commission charging conditions are specified in the commission conditions configured in the provider account tariff.

Markup

Markup shows the markup applied to the instrument price in a trade and is one of the components of the broker's revenue.

Markups are configured in the corresponding tariff settings.

Rollover

Rollover shows the result of swap trades used to charge or credit the fee for carrying a position overnight. The value can be either positive or negative.

Swap parameters are configured in Interest rates.

Open P/L

Open P/L shows the profit or loss on open positions.

At the instrument level and above, only P/L on B-Book/Internal accounts is included in the broker's revenue. P/L on client and liquidity provider accounts is not included in the broker's aggregated revenue.

Closed P/L

Closed P/L shows profit or loss already realized when a position or part of it is closed.

At the instrument level and above, only P/L on B-Book/Internal accounts is included in the broker's revenue.

Other P/L

Other P/L shows other P/L related to the position that is not included in Open P/L or Closed P/L.

At the instrument level and above, only P/L on B-Book/Internal accounts is included in the broker's revenue.

If the filtered selection does not contain the account types required to calculate revenue and hedging metrics, some aggregate metrics may be displayed as N/A.

Reconciliation

The Reconciliation mode is intended for checking whether client risk is covered by positions on liquidity provider and B-Book accounts.

Position Market Value / Broker Net Exposure

At the individual account level, Position Market Value / Broker Net Exposure shows the market value of the position in the report currency.

At the instrument level, the metric shows the absolute value of the broker's net position after netting internal B-Book positions. At the asset type, category, and Grand Total levels, absolute values are summed, so opposite-direction risks across different instruments do not offset each other.

Provider Ratio %

Provider Ratio % shows the share of the client position covered by a position on a liquidity provider account:

Provider Ratio % = Net Market Value of liquidity provider positions / Net Client Market Value × 100%

The metric is calculated at the instrument level and above. N/A is displayed at the individual account level.

A positive value means that the provider position direction corresponds to the direction required to hedge the client position. A negative value indicates that the provider position is in the opposite direction and is a sign of incorrect hedging.

A value of 0% means that there is no external coverage by a liquidity provider.

B-Book Ratio %

B-Book Ratio % shows the share of the client position covered by an internal B-Book position.

The metric is based on the ratio of the B-Book position market value to the client position market value. The sign also indicates whether the direction is correct:

• a positive value means that the B-Book position is opposite to the client position and correctly offsets it;
• a negative value means that the B-Book position is in the same direction as the client position and increases the broker's risk.

For full internal coverage, the value is 100%.

The metric is calculated at the instrument level and above. N/A is displayed at the individual account level.

Hedge Coverage %

Hedge Coverage % shows the total share of the client position covered by external and internal hedging:

Hedge Coverage % = Provider Ratio % + B-Book Ratio %

The target value is 100%.

A negative value in either component reduces the total coverage percentage.

The metric is calculated at the instrument level and above. N/A is displayed at the individual account level.

Gap / Mismatch

Gap / Mismatch shows the monetary value of the mismatch between the client position and the positions used to cover it.

At the instrument level, the metric is calculated as the following algebraic sum:

Gap / Mismatch = Client Market Value - Market Value of liquidity provider positions + B-Book Market Value

With correct coverage, the value approaches 0.

At the asset type, category, and Grand Total levels, Gap / Mismatch values of the instruments included in the corresponding level are summed.

If the absolute Gap / Mismatch value exceeds 1, the DATA MISMATCH warning may be triggered for the row.

Concentration

The Concentration mode is intended for analyzing the concentration of the broker's market and margin risk by instruments and accounts.

Position Market Value / Broker Net Exposure

Position Market Value / Broker Net Exposure is calculated in the same way as described for the Reconciliation mode.

Total Assets

Total Assets shows the total funds available on the account.

At the individual client or liquidity provider account level, the actual Total Assets value is displayed. The metric is not calculated for a B-Book account.

At the instrument level and above, the sum of Total Assets on liquidity provider accounts related to the corresponding positions is displayed.

Margin Contribution %

Margin Contribution % shows what share of the available funds of an account or group of accounts is represented by the margin for the corresponding position.

At the individual account level:

Margin Contribution % = Position Margin Req / Account Total Assets × 100%

The metric is not calculated for B-Book accounts.

At the instrument level and above, the metric is calculated as the ratio of the total Margin Req of liquidity provider and B-Book positions to the total Total Assets of liquidity provider accounts at the corresponding level.

If Total Assets is less than or equal to 0 and Margin Req is non-zero, 100% is displayed. If the margin also equals 0, the metric is not calculated.

Total Acc. Used Margin

Total Acc. Used Margin shows the account's total used margin.

At the individual client or liquidity provider account level, the actual used margin of the account is displayed. The metric is not calculated for a B-Book account.

At the instrument level and above, the total used margin of liquidity provider accounts at the corresponding level is taken into account.

Total Margin Usage %

Total Margin Usage % shows the ratio of total used margin to available funds.

At the individual account level:

Total Margin Usage % = Total Acc. Used Margin / Total Assets × 100%

The metric is not calculated for a B-Book account.

At the instrument level and above, the metric is calculated as the ratio of the total used margin on liquidity provider accounts to the total Total Assets on liquidity provider accounts at the corresponding level.

If Total Assets is less than or equal to 0 and used margin is non-zero, 100% is displayed. If used margin equals 0, the metric is not calculated.

Concentration by Market Value %

Concentration by Market Value % shows the share of market risk attributable to an individual account, instrument, or group of instruments.

At the client account level, the metric shows the ratio of the position market value on the account to the Broker Net Exposure of the corresponding instrument.

A value above 100% means that an individual client's position exceeds the broker's net position for the instrument. A negative value means that the client's position is opposite to the main risk and reduces the total exposure.

The metric is not calculated for liquidity provider accounts. 100% is displayed for B-Book accounts.

If the instrument position is below the specified threshold, a dash is displayed instead of a percentage.

At the instrument level, the metric is calculated as the share of the instrument's Broker Net Exposure in the report's total absolute Broker Net Exposure. At the asset type and category levels, the sum of exposures of the instruments included in the corresponding level is used.

For Grand Total, the value is 100%.

Concentration by Risk %

Concentration by Risk % shows the share of margin risk attributable to an individual account, instrument, or group of instruments.

At the client account level:

Concentration by Risk % = Position Account Margin Req / Instrument Margin Req × 100%

The metric is not calculated for liquidity provider accounts. 100% is displayed for B-Book accounts.

At the instrument level and above, the metric shows the share of Margin Req for the corresponding level in the report's total Margin Req.

For Grand Total, the value is 100%.

Warnings

The Alarm and Alarm Description columns identify positions and accounts for which potential hedging, margin usage, or risk concentration issues have been detected.

If several conditions are met for the same row, the warning with the highest priority is displayed in the Alarm column. Alarm Description contains the issue description. If several warnings are triggered, their number may be displayed instead of the text - hover over the value to view the full list.

Critical warnings triggered at lower levels are also displayed in the parent rows. In this case, Alarm Description displays Issues detected on lower levels.

Priority	Issue	Condition	Alarm Description	Mode
P1	Critical Margin Usage	Total Margin Usage % > 90% on a client account	CRITICAL: Account near Stop-out (>90%)	Concentration
P1	Liquidity provider deficit	Total Margin Usage % > 70% on a liquidity provider account	LP LIQUIDITY GAP: Low funds at LP	Concentration
P1	Inverse A-Book	Provider Ratio % < 0	CRITICAL: Inverse A-Book (Internal Risk Doubled)	Reconciliation
P1	Inverse B-Book	B-Book Ratio % < 0	CRITICAL: Inverse B-Book (Internal Risk Doubled)	Reconciliation
P1	Ghost Position	No client position, but a B-Book position remains, or a liquidity provider position remains when there is no B-Book position	ERROR: Ghost Position detected	Reconciliation
P1	Global Risk	Grand Total Margin Usage % > 75%	CRITICAL: Total company liquidity exhausted	All modes
P2	Bankruptcy	Total Assets < 0	Negative Total Assets: Account in debt	Concentration
P3	High Margin Usage	Total Margin Usage % from 75% to 90%	Warning: High Margin Usage	Concentration
P4	Client dependency	Concentration by Risk % > 100% on a client account	Single client risk (Client risk > Broker Net)	Concentration
P4	Concentration	Concentration by Risk % > 40% at the instrument level	High Portfolio Concentration (Risk > 40%)	Concentration
P5	Data Mismatch	`	Gap / Mismatch	> 1`
P6	Risk driver	Margin Contribution % > 60%	Symbol is the primary risk driver for account	Concentration
P7	Pure B-Book	No external hedging on a liquidity provider account for the instrument	Pure B-Book: No external hedge coverage	Status Info

Report export

Click Save as XLSX to download the current report in XLSX format.

The exported file includes the current report settings, including the selected filters, grouping, and sorting, as well as the report generation date and time.

The top of the file also contains a notice about the use of the Margin per Position model.