Yes, you should probably divide this into phases -
Phase 1 - Showing approx values and segregation based on instrument.
Phase 2 - Finding ways to improve accuracy of the approx values and thinking about how to handle cross-instrument cases. Also, exploring possibilities to dig deeper within an instrument in case there are multiple legs created over it.
Emphasis should be on conveying
- as deeper margin info as possible to the user
- as easily as possible [viz., a margin split pie chart, margin fluctuation line chart etc.]
- as early as possible so they can manage margins.
And displaying info on the interface instead of relying on intermittent Emails and SMS [which are not the best media here, hope this makes sense].