Marking Spreads
When calculating mark or prior_mark for any spread product, we use the best available data in this order:
- If a user supplies a product in the trade's MARK field (i.e. forwards, swaps), the mark for that Product. This includes copies if MARKET DATA COPY is turned on
- If the Mark field is not filled out (i.e. futures), the mark for the trade's Product
- If the above aren't present (and we have a spread_formula), we attempt to use the spread_formula to resolve the mark
- If none of these are available or if we are using the spread_formula to resolve the mark, and one of the marks in the formula is not available, we do not mark the trade
If you upload forward marks for a spread and want that product to settle against a spread formula, the product will settle against the forward marks.
