CSAM Data Warehouse Interface

PortfolioReturns

One or multiple interfaces to deliver performance / return data:

• for a given period

• for the portfolio as well as the associated / chosen benchmark

• on portfolio level vs. on segment / instrument level

IMPLEMENTED

PortfolioAttributions

Interfaces that return data about the source and decomposition of performance.

IMPLEMENTED

PortfolioRiskExPost

Ex post risk figures

IMPLEMENTED

PortfolioValuation

Interface to deliver portfolio valuation data (valid at the reporting date) to produce:

• asset allocation breakdowns along several segmentations

• position lists (full, top-n) with details like CUSIP, ISIN, Valor, Instrument Name etc. 

IMPLEMENTED

BenchmarkValuation

Interface to deliver benchmark valuation data (valid at the reporting date) to produce:

• asset allocation breakdowns along several segmentations

• comparison of portfolio weights to benchmark weights 

IMPLEMENTED

Segmentations

Interface to fetch all base segmentations from the DWH

IMPLEMENTED

PortfolioMasterData

To control the contents of a mandate report, several master data points are needed (valid at the given reporting data):

• client / portfolio / pm name

• mandate / performance start dates

• benchmark / strategy definition

• etc.

IMPLEMENTED

PortfolioRiskExAnte

Interface that return data about the ex-ante risk and risk decomposition of the portfolio.

IMPLEMENTED

Data availability, quality & security

• get list of portfolios with their last status per quality level (unaudited vs. audited)

• get list of portfolios to be authorised for local reporting specialists (e.g. SG-based)

PARTIALLY

PortfolioContributions

MWR-type contribution to return

• for a given period (typically MTD, YTD)

• on segment level (sector, currency, etc.) or instrument level

IMPLEMENTED

PortfolioProfitLoss

P&L figures on portfolio level

IMPLEMENTED

PortfolioTransactions

List of transactions

IMPLEMENTED

PortfolioProjectedCashflows

Projected Cashflows

IMPLEMENTED

InstrumentReturns

Returns for a list of instruments and for a given period

IMPLEMENTED

PortfolioRiskStatus

• the portfolios current risk status (CSAM specific calculation based on past returns)

IMPLEMENTED

PortfolioGuidelineAnalysis

• information about guideline checking (BVV2, investment restrictions) etc.

IMPLEMENTED

Structured Files

Json (or XML)

• Wherever adding to the understandability of data, structuring should be used

• Examples are

  • Flexible number of breakdown segments should not be deliverd as normal tags but listed by abstract <segment> tag

  • Flexible numbers of measures

  • Flexible number of legs, unbundling instruments

  • Groups of fields that can be reused between portfolio and benchmark data or between calls

  • etc.

IMPLEMENTED

Request & Parameters

mirrored in response

• The full request is mirrored in the response including:

  • The path as in REST-call

  • All parameters passed

IMPLEMENTED

Network Protocol

HTTP / restful API

• Standard technology to communicate between services

• could also send XQuery execution but this would bring data hub technical design dependency to the report engine

IMPLEMENTED

Compression

gzip

• body of reply should be compressed

IMPLEMENTED

Data format

Json

• Json is more compact then XML and most easily consumed at reporting engine side

• We can also consume XML

• please only use JavaScript compatible identifiers (e.g. no "-")

• XML can be converted in NodeJS to JSON using camaro

IMPLEMENTED

Paging

no paging

While many UI-oriented rest-interfaces do data paging, we don't support paging because the batch mechanism can't work without the complete file and files sizes will be moderate

IMPLEMENTED

Interface Versioning

/v1
/v2
/LATEST

• we propose to have only major versioning in the URL (minor versions should be neutral to clients by definition)

• we propose to add a /LATEST version (similar to MarkLogic)

IMPLEMENTED

Security

certificates

IMPLEMENTED

Data Versioning

open

• Additional metadata should be added to the result that uniquely depict the timestamp/version of the data (for data lineage reasons)

• The report engine will not consider this information in process the data (e.g. business logic)

OPEN

Other?

Are there other technical aspects to the data hub interface?

• load balancing?

• up-/down-times?

• etc.?

PARTIALLY