How does Tapaas calculate maker side A-Book PnL?

Tapaas calculates the maker side A-book P&L using an average cost model. When existing broker positions against LPs are closed, the daypnl uses the cost (i.e. price times volume) as the average cost of the overall closed position which in turn is impacted by the price when they were opened. When there have been large movements in prices, this results in PnL being generated against the maker.

In the general case, Tapaas does know which maker trade corresponds to which specific taker position. For the taker side, Tapaas receives cfd records that record each transaction as an individual open which is later closed. On the maker side, Tapaas just sees a single aggregate bucket of positions, so Tapaas cannot say how much the particular position that is being closed was opened at. When Tapaas sees a maker trade that is effectively closing a position, Tapaas does not know the exact price at which the specific position was opened at. So the average cost price is used.

In other words, when an A-book client closes a position, the corresponding maker trade will generate some daypnl, but the cost of that position against the maker is the average cost of all A-book client positions rather than the cost of that particular client’s position.