Hierarchical Products

A Note on Products

Since flow trading is trade-over-time, it stands to reason that the products being traded might also change over time. In particular, for a forward market, as real-time approaches a product may be “refined” into smaller delivery intervals. That is, a monthly product is refined into daily products, and these daily products into hourly products.

A daily product is implicitly a portfolio of its hourly products. Thus, a flow trading implementation is more than capable of handling these dynamic partition events without requiring a bidder to create a new auth in the finer product basis.

Our reference implementation does precisely this, allowing one to specify a “parent” product when creating a new product, along with a conversion ratio. (Depending on the application, this ratio is likely either 1.0 or new duration / old duration.)

The server auth endpoints allow for querying the original specified portfolio definition as well as the dynamic, implicit definition (on the finest basis of products available).