This paper focuses on a little known technique for accurately reconciling listed and OTC derivatives
in fast moving trading environments. The approach is applicable to all instrument classes that are
processed on a FIFO (first in first out) basis and include agricultural, energy and metal commodities,
CFDs, index or interest rate futures and some options.
Total equity reconciliation aims to account for the different allocations of profit between realised and
unrealised which are caused when two systems process the same FIFO trades but in different orders,
an inevitable consequence of processing data in disparate systems. It is not the purpose here to
discuss the mathematics behind FIFO processing, but to look at the requirements of a reconciliation
process to account fully for these differences.