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 Note: As of Release 172, unrealized for options will simply be (mark * 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.