In a nutshell, the baseline roll is how we 'roll-up' to the latest Post-Trade data provided in the Position File Upload

❓ What Is The Baseline Roll?

The 'Baseline Roll' is the process in Pre-Trade of storing the latest Post-Trade data
In simple terms, it provides a timestamp

How Does It Work?

On completion (successful) of the (Post-Trade) position file upload, Pre-Trade automatically starts importing the Post-Trade data.

1. On start, the Baseline Roll is marked as "Started" (meaning the import has begun but the new Baseline Roll will not be used).
2. The Baseline Roll then proceeds to import the Post-Trade data.
3. On successful completion, the Baseline Roll is marked as "Completed", and all orders placed with a timestamp after the Baseline Roll are aggregated together for the subsequent checks.

Key Characteristics

🕧When does it happen?: Immediately after the Position File Upload, providing the Date & Time provided are the most recent.

⏱️How long does it take?: This will vary depending on the number of assets, portfolios and Rule Results. We aim for this to be done within 15 minutes.

🤖 What data should be imported?: Aggregation, Rule Results, Assets & Market Data (Regulatory Data etc.)

Declaring Time In The Position File

Pre-Trade is unique in that we need a UTC timestamp in the Position File (Post-Trade). This is because we need to accurately aggregate the orders (which are placed at a specific point in time) against the Post-Trade data we have. The time provided should accurately reflect the UTC (universal) time the Post-Trade file represents.

‼️ If time is not declared in the position file, the BaselineRoll will be in effect from the beginning of the day (00:00:00)

<!-- Best Practice -->
<Snapshot Date="2023-09-05" Time="05:15:00">
<!-- Legacy Method -->
<Snapshot Date="2023-09-05T05:15:00">

What Don't We Support

Partial File Uploads: We have made a deliberate decision not to support Partial File Uploads.

☑️ Checking The Baseline Roll

• Get the latest baseline roll using the API: GET /baselineroll/latest. This will show if a Baseline Roll is in progress.
• Get a specific baseline roll using the API: GET /baselineroll/{id} where the {id} is replaced with a baseline roll id. This can be useful if you have the baseline roll coming back from the order.

Checking Rules

For audit reasons, it is also possible to check what Rules are currently in use within Pre-Trade. This will be a combination of Rules that work within Pre-Trade plus their currently approved rules.

This can be checked with a call to GET /rules