Introduction

The Historical Instrument Analytics service supports the historical computation of the theoretical or market calibrated valuation, and all relevant associated analytics, for investment securities such as equities, fixed income, and derivatives.

Use this service for building back-testing, performance attribution calculations, and end of month/quarter historical reporting.

Error handling

This API uses standard HTTP response codes to indicate whether a method completed successfully. A 200 response always indicates success. A 400 type response is some sort of failure, and a 500 type response usually indicates an internal system error.

Methods

Get a small number of analytics for a single instrument

Returns the values for any number of analytics for a given instrument on a given date. If no analytics are specified, the theoretical price is computed. Use this call for a small number of analytics.

GET /api/v1/historical/instrument/{id}
Request

Path Parameters

  • instrument ID

Query Parameters

  • date used to compute instrument value

  • comma-separated list of analytics

Response

Status Code

  • Success. The results contains the instrument ID, scenario, and an array of analytics for a given instrument.

  • The request format is wrong.

  • The request is not authenticated.

  • The requested method is not allowed.

  • An internal error has occured.

No Sample Response

This method does not specify any sample responses.

Get a large number of analytics for a single instrument

Returns the values of all requested analytics on a given date. Use this call for a large number of analytics.

POST /api/v1/historical/instrument/{id}
Request

Path Parameters

  • instrument ID

Query Parameters

  • date used to compute instrument value

list of analytics

Response

Status Code

  • Success. The results contains the instrument ID, scenario, and an array of analytics for a given instrument.

  • The request format is wrong.

  • The request is not authenticated.

  • The requested method is not allowed.

  • An internal error has occured.

No Sample Response

This method does not specify any sample responses.

Get analytics for multiple instruments

Returns the value for the specified analytics for all of the specified instruments on a given date.

POST /api/v1/historical/instruments
Request

Query Parameters

  • Date used to compute instrument value

Specifies the parameters to use when computing analytics on securities for historical dates

Response

Status Code

  • Success. Returns an array of results for each valid instrument ID and the value for each specified analytic.

  • The request format is wrong.

  • The request is not authenticated.

  • The requested method is not allowed.

  • An internal error has occured.

No Sample Response

This method does not specify any sample responses.