[ts-gen] Beware of IB's notion of a position for FX

[R P Herrold]

On Wed, 7 Oct 2009, Ken Feng wrote:

> A.  If I buy a security and then sell it later, I go from flat to open
> position to flat.
> B.  If my portfolio only holds my book currency, then I am flat.
>
> IB uses A., while a typical fund or risk manager's perspective of flat
> is B.  Now, if you are just trading domestic equities or futures, A.
> and B. are effectively the same.  However, once you start to trade FX
> or foreign securities, A. and B. may be different.

This was part of what I referred to in:

http://www.trading-shim.org/pipermail/ts-general/2009-September/000612.html

 	the problem is that one
 	needs to track pre and post pricing for every trade for all
 	held assets -- so as to be able to factor out price
 	fluctuations in currencies and securities -- in anything but
 	the simplest of cases, this would quickly become a nightmare

It would have to be a pretty 'green' PM to not be familiar 
with anything but domestic assets.  ;)

Accounting for (and deciding how to hedge the risk of) forex 
and non-domestic valuations is a pretty standard footnote item 
in any 10-Q of consequence, and a decision for the fund's 
business plan to be address as to its strategic and tactical 
approach.

-- Russ herrold