I am trying to match trades based on the following logic:
Match Buy Trades with Sell Trades on the same Commodity, Unit of Measure, Desk, Office and Line of Business. Also match on Volume (with a 10% variance) and Transaction Date (same as the Contract Date) within 1 working day variance.
My approach would be to create an 'INDEX' field, however I'm not sure how to state in the expression that the Buy/Sell indicator should be different. I'm also not sure how to look at trades that have a Contract Date variance of +/- 1 day.
Any pointers as to how to approach the above will be much appreciated.