How Huaan Fund Enables Real-Time FOF NAV Calculation Across 10,000+ Funds with DolphinDB
Overview
Huaan Fund, one of China's leading asset managers, partnered with DolphinDB to build a unified real-time NAV (Net Asset Value) calculation system for its public FOF and fund advisory business. The platform ingests exchange market data directly, computes NAV continuously throughout the trading day, and supports investment research, risk management, and trading decisions across more than 10,000 funds, with an average response latency under 10 milliseconds.
The Challenge: Real-Time Valuation at Scale
China's public FOF market has grown rapidly, surpassing RMB 330 billion in AUM with cumulative returns exceeding RMB 30 billion as of mid-2026. A FOF (Fund of Funds) invests primarily in other public funds, which means valuing a FOF portfolio in real time requires looking through each underlying fund to its holdings — stocks, bonds, and other assets — and recalculating value as market prices move.
For Huaan Fund, this created four compounding challenges:
- Scale: valuations needed to update continuously across more than 10,000 funds
- Frequency: every price tick for any underlying security could trigger a NAV recalculation for multiple funds
- Data fragmentation: historical NAVs, portfolio holdings, and live market data all came from different source systems
- Flexibility: the investment research team needed to independently adjust position weights, valuation baselines, and rebalancing logic, without depending on external vendors
Traditional end-of-day batch valuation could no longer keep pace. Huaan Fund needed to move from static, post-close updates to continuous, intraday computation.
The DolphinDB Solution: A Unified Real-Time Architecture
Huaan Fund and DolphinDB built an integrated pipeline covering static data preparation, real-time market data ingestion, streaming NAV computation, and result delivery — replacing what would traditionally require multiple separate ETL and compute components with a single platform.
The pipeline runs as follows:
- T-1 data sync — fund NAVs and equity prices are synced from relational databases; look-through fund holdings are pulled via API from external data platforms.
- T-1 data preload — before market open, prior-day NAVs, position weights, and closing prices are loaded into DolphinDB's distributed database.
- Real-time market data ingestion — DolphinDB's built-in market data plugin connects directly to exchange feeds, streaming Level 1 quotes into stream tables.
- Real-time computation — intraday price changes are calculated from live quotes and joined with T-1 baseline data to compute each fund's real-time NAV and daily return.
- Delivery and persistence — results are pushed in real time to downstream systems via Python, and simultaneously written to distributed tables for querying, auditing, and recomputation.
This architecture gives Huaan Fund a single platform that handles heterogeneous data sources, and DolphinDB's unified streaming/batch engine means the same code runs both intraday streaming calculations and post-close batch jobs. The parallel computation framework sustains sub-10ms response times across a fund universe exceeding 10,000 funds, with full traceability for every calculation.
The Gains
| Before | After | |
|---|---|---|
| Valuation speed | End-of-day batch updates | Real-time computation, average latency < 10 ms |
| Fund coverage | Limited to partial valuations | 10,000+ funds supported |
| Architecture | Multiple ETL and compute tools stitched together | Single unified platform |
The shift to real-time valuation gives investment and risk teams intraday visibility for faster decision-making, while the consolidated architecture reduces operational complexity and infrastructure cost compared to maintaining multiple integrated systems.
Looking Ahead
As public FOF valuation shifts from end-of-day updates to intraday, real-time computation, competitive advantage in asset management increasingly comes down to speed, resource efficiency, and technical independence — not just breadth of data coverage. Huaan Fund's work with DolphinDB has built a high-performance, lightweight, and scalable real-time computing foundation, offering a model for real-time transformation across the FOF and fund advisory industry.