Metrics Molecule Calculates
Most Popular Metrics
| Name | Description | Formula |
| Contracts | Position, in contracts (aka lots) as defined by the exchange. For bilateral products, this is generally the industry-standard contract size. Long positions are positive. Shorts are negative. | |
| Quantity | Position, in the unit of measure used on the trade. For power products, this is generally in MWh, regardless of the trade unit of measure. Long positions are positive. Shorts are negative. | |
| Delta |
Black-76 delta, in the same unit of measure as Quantity. In Molecule, Delta is calculated only when marks arrive for the day (known issue). |
Calculations generally match Hull and Matlab. |
|
MTM Change (aka mtm_change) |
Trading PNL, or change in mark-to-market (aka unrealized) value from the last business day to the current one. Business day is defined at the product level, so if you have products across multiple exchanges, the prior mark used will vary (correctly). On the date of a trade, prior mark is defined as trade price.
|
(mark - prior mark) * quantity
|
|
Realized (current_realized_pnl) |
The amount of the trade that has realized, on the as-of date. | |
|
Unrealized (current_unrealized_pnl) |
Current unrealized value (aka mark-to-market), on the as-of date. |
(mark - trade price) * quantity
|
Others
| Name | Description | Formula |
| Cash Flow | A rough calculation of the amount of cash moving at settlement | quantity * price |
| Charm | Black-76 charm (aka delta decay). | Based on Hull. |
| Gamma | Black-76 gamma. | Calculations generally match Hull and Matlab. |
| Mark (WAvg) | In a summed view, the quantity-weighted average of the marks used to value the underlying trades. | |
| MTM Change (Currency) | MTM Change, converted to the base currency for your account. |
|
| PNL Change | Accounting PNL, or day-over-day change in PNL, including fees. |
(current unrealized + current realized + fees) - (prior unrealized + prior realized + prior fees)
|
| PNL Change (Currency) | PNL Change, converted to the base currency for your account. | |
| Quantity (UOM) | Unit Quantity, converted to the base unit of measure for your account. | |
| Realized (Decayed) | Our normal Realized number, scaled to the number of days of the contract that have expired so far. | |
| Theta | Black-76 theta. | Calculations generally match Hull and Matlab. |
| Trade Price (WAvg) | In a summed view, the quantity-weighted average of the underlying trade prices. | |
| Unrealized (Decayed) | Our normal Unrealized number, scaled to the number of days of the contract that have not yet expired. | |
| Unrealized (Prior) | The Unrealized number for the prior business day. | |
| Vega | Black-76 vega. | Calculations generally match Hull and Matlab. |
