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Asset Class | Format | CSV | CSV | CSV | CSV |
IRS | FpML | Trade register | Simple | Basic | Delta LadderF&O |
| Futures and Options | FIXML | Simple | |||
FX | FIXML | Simple |
Financial Products Markup Language (FpML)
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This format contains fewer headers (fields); IRS (21) ; F&O Futures and Options (12); FX(9) which will be used to determine the structure and composition of the portfolio(s) that will be used for margin analysis. The software’s defaulting logic will examine the required fields provided and default the remaining attributes of the trade(s) in order to calculate a margin result for the overall portfolio(s).
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A user has options in the amount of detail they want to provide (as input) to represent a trade. By using the Basic format a user only provides 9 headers, which identify account, product type, currency, notional amount, direction and rate. API defaults the remaining fields to build a Trade Register for the solver. So unless a user is trying to model a unique IRS trade, the easiest input format would be Basic CSV format with 9 fields. Alternatively, using existing Trade Registers, for assets cleared assets cleared through CME, would work well to check margin requirements.
Delta Ladder is the change of IRS portfolio value given a 1 basis point change to the underlying. Delta Ladder uses currency curves to compute the value of a portfolio at a given date. A Delta Ladder file input will provide a very quick response for margin calculation.
F&O Futures and Options (CSV format) | # headers |
Simple | 12 |
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Basic Upload Fields for IRS
Firm ID ID
Description: ID of the Firm- CORE's portfolio is based on FIRM & Account ID.
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.08% .0008
Simple Upload Fields for
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Futures and Options
Required Fields:
For futures- it is only necessary to populate one of the following: Ticker, or Maturity Code and Clearing Code, or Maturity Code and Product Name.
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Product Name
Description: Name of the F&O futures and options product.
Format: Must match the product name (“Desc” column) as specified on CME’s product reference file.
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API has a limit of 1000 trades per request. So if a user needs to margin more than 1000 trades, the user will need to do so in steps. Using add Transactions the user will have to enter trades, 1000 at a time. To add more trades, to the same portfolio, a user will update trades(remove old add new) in the add transaction, making sure portfolio id is the same as before. So a portfolio containing 80,000 trades will require a user to enter trades 80 times using the same portfolio id. To get margin on this portfolio, a user will now POST (submit) the portfolio id to get a margin id. Use GET (poll) with margin id to display margin results.
For FX and F&O asset futures and options asset class the engine performance does performance does not vary with respect to number of trades.
CME CORE API (REST – based) provides two ways to calculate IRS Margins:1)
- Full evaluation that matches CME’s exact end of day calculation.
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- Delta Ladder approximation engine which tends to get within 1-2% of (1) for simple portfolios and 5-10% for more complicated trades.
Delta Ladder should always come back to you in 1 – 2 seconds. The full evaluation depends on portfolio suite but is also very scalable.
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The above graph shows % difference in margins calculated using Simple/Basic CSV CSV on Y axis in comparison to same trade represented in Trade Register format, the X axis represents number of trades.
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Margin calculation over API is scheduled to be down every week from Friday 5 pm EST to Sunday 11 pm EST.