AnsCom Quantitative Suite-> POST-MARKET Gold ETF Fair-Value Engine [FINANCIAL MODELLING] (A market-structure repair system)

📄 Access the Research Paper:

AnsCom Terminal – Real-Time Synthetic Price for GOLDIETF

A live terminal that approximates the ICICI Prudential Gold ETF (GOLDIETF) price after NSE market hours, using XAUUSD and USDINR in real-time.

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System Design:

Overview (powered by Mermaid charts)

Demo & Tutorial

• Project Demo (YouTube): _DEMO:

https://www.youtube.com/watch?v=Pi3xI19eqHs

• The demo will walk through:
  • How the engine fetches data (NSE + MT5 + Yahoo Finance)
  • How the synthetic ETF price is computed
  • How to read each panel in the ANSCom Terminal UI

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Problem Statement

Indian Gold ETFs like GOLDIETF trade only during NSE market hours.
However, gold (XAUUSD) and USDINR move 24×7 in global markets.

Traders and investors often want to know:

“If NSE was open right now, approximately where would GOLDIETF be trading?”

This project builds a real-time proxy fair-value engine that answers exactly that, by:

1. Fixing a reference point at 15:30 IST (Indian close)
2. Streaming live XAUUSD and USDINR prices
3. Scaling the last ETF close using proportional returns in gold and FX
4. Displaying everything in a live visual terminal with volatility, premium and driver breakdowns.

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Core Quant Model

The synthetic ETF level is approximated by:

$$ \text{SyntheticETF}_\text{live} = \text{ETF}_\text{close} \times \frac{\text{XAUUSD}_\text{live}}{\text{XAUUSD}_\text{ref,15:30}} \times \frac{\text{USDINR}_\text{live}}{\text{USDINR}_\text{ref,15:30}} $$

Where:

• ETF_close – last GOLDIETF close from NSE
• XAUUSD_ref(15:30 IST) – gold price at India close, from MT5 history
• USDINR_ref(15:30 IST) – FX rate at India close, from yfinance history
• XAUUSD_live, USDINR_live – current prices (streamed live)

The engine also tracks:

• Gold return vs 15:30 ref
• FX return vs 15:30 ref
• Premium vs last close in %
• Volatility (bps) from recent synthetic ETF ticks

All of this is displayed in the AnsCom Terminal interface (My natively developed interface).

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🏛 System Design – (ROUGH SYSTEM) Whiteboard → Code [Basically, my logic is presented below; the way i thought initially to make the program]

This project was first designed completely on a system-design board and then turned into code.
Each diagram has a direct mapping to the Python modules and functions.

FINAL OUTPUT :

Clone the repository

git clone https://github.com/PC5518/gold-etf-postmarket-fair-value-engine.git

Install dependencies

pip install -r requirements.txt

Run the engine (Ensure MT5 is open)

python src/run_terminal.py

1. Pre-Data Loading Engine (Reference Snapshot)

Status: BEFORE the live loop starts
Goal: Build a stable reference state at India close (15:30 IST)