With the increasing importance of IT infrastructure, a well-designed database has never been so crucial. For a hedge fund, the database relies on 3 pillars:
- what’s commonly referred to as the “security master”, i.e. the characteristics of all the instruments involved in trading
- market data, the prices of all the instruments you might be interested in trading and all the ones you need to calibrate yield curves
- trading data, which drives the position data an subsequently the risk profile of the portfolio
In addition, storing all other pertinent information, such as prime broker files, should also be stored in the database to automate daily reconciliation processes.
Over the years I have accumulated many useful techniques and design patterns to make a database schema flexible and easily extensible