Margin Service API - Optimize - Get

Owned by Space Sync for Confluence
Dec 21, 2024
4 min read

The get optimize request returns the status and results of an optimize request by its identifier.

Description

The request allows the Client to get the optimized results of an already optimized portfolio which was added and optimized in the Margin API (Add Portfolio and Optimize Portfolio). The Client must submit the unique assigned optimize request identifier in the request URL. The server then returns the identifier along with the status and the result requested.   

Request

Parameter

Name

Type

Required

Notes

Parameter

Name

Type

Required

Notes

reqUserId

Requesting User ID

String

No



The response for the Optimize get request includes the portfolio margin for three portfolio states:

  1. Current (futCurrAmt and otcCurrAmt): Margin of portfolio including the current allocation of futures in the OTC IRS account versus SEG account.

  2. Baseline (futPreAmt and otcPreAmt): Margin of portfolio where no futures are in the OTC IRS account.

  3. Post-Optimizer (futPostAmt and otcPostAmt): Margin of portfolio including the Optimizer's allocation of futures in the OTC IRS account versus SEG account.

Entity

Optimize

Action

Get

URL

/optimize/{id}

HTTP Method

GET

Parameter Input

Yes

XML Input

No

Multiple Output

No

Synchronous

Yes

Response

XPath

Name

Type

Required

Notes

XPath

Name

Type

Required

Notes

/optimizerRpt@status

Status

Async Status

Yes



/optimizerRpt/error@code

Error Code

String

No



/optimizerRpt/error@msg

Error Message

String

No



/optimizerRpt/margin@asOfTime

As-of Time

Date/Time

No



/optimizerRpt/margin@createTime

Create Time

Date/Time

Yes



/optimizerRpt/margin@id

ID

String

Yes



/optimizerRpt/margin@portfolioId

Portfolio ID

String

Yes



/optimizerRpt/margin@settleQual

Settlement Qualifer

Settlement Qualifer

No



/optimizerRpt/margin@settleInd

Settlement Indicator

Settlement Indicator

No



/optimizerRpt/margin@updateTime

Update Time

Date/Time

Yes



/optimizerRpt/margin/amounts@ccy

Amount Currency

Currency

Yes



/optimizerRpt/margin/amounts@ccyRate

Currency Exchange Rate

Decimal

No

Exchange rate used to convert base currency to USDE

/optimizerRpt/margin/amounts@conc

Concentration Margin Amount

Decimal

No

Concentration/liquidity margin requirement

/optimizerRpt/margin/amounts@init

Initial Margin Amount

Decimal

Yes

Initial margin requirement (Base + Concentration/liquidity + Skew)

/optimizerRpt/margin/amounts@maint

Maintenance Margin Amount

Decimal

Yes

Maintenance margin requirement (Base + Concentration/liquidity + Skew)

/optimizerRpt/margin/amounts@optVal

Option Value Amount

Decimal

Yes

Net Options Value (Long Options Value - Short Options Value). This only applies to portfolios with options. Negative if net short, positive if net long.

/optimizerRpt/margin/amounts/portfolio@futCurrAmt

Futures margin current portfolio

Decimal

Yes

SPAN®margin for the current allocation of futures in the SEG account

/optimizerRpt/margin/amounts/portfolio@futPreAmt

Futures margin baseline portfolio

Decimal

Yes

SPAN®margin for all futures (OTC and SEG futures) in account

/optimizerRpt/margin/amounts/portfolio@futPostAmt

Futures margin post-optimized portfolio

Decimal

Yes

SPAN®margin for SEG futures allocation identified by the Optimizer

/optimizerRpt/margin/amounts/portfolio@otcCurrAmt

OTC margin current portfolio

Decimal

Yes

OTC IRS margin for the current allocation of IRS+OTC futures in the account

/optimizerRpt/margin/amounts/portfolio@otcPreAmt

OTC margin baseline portfolio

Decimal

Yes

OTC IRS margin for IRS positions only

/optimizerRpt/margin/amounts/portfolio@otcPostAmt

OTC margin post-optimized portfolio

Decimal

Yes

OTC IRS margin for IRS + OTC futures identified by the Optimizer

/optimizerRpt/transation@portfolioId

Portfolio ID

String

Yes



/optimizerRpt/transation@type

Transaction Type

String

Yes



/optimizerRpt/transation@id

ID

String

Yes



/optimizerRpt/transation/payload@encoding

Encoding

String

Yes



/optimizerRpt/transation/payload@format

Format

String

Yes



/optimizerRpt/transation/payload/string

Payload String

FIXML Message Payload

No

Returned Optimizer offset and onset trade capture reports, FIXML format.



Examples

This assumes that margin request for portfolio has already been submitted. The id used (2345 should be the CME CORE generated unique id returned in response to a Margin Calculate request.

Like some list requests, Optimize Get response includes FIXML transactions which represent the onset and offset trades the Optimizer uses to describe which futures should move to or from the OTC IRS account to achieve margin offsets. Note the Optimizer Get response uses "TrdTyp = 22" to describe futures in the OTC IRS account.

Optimize Request
GET /MarginServiceApi/1.6/optimize/1234567

Response - Portfolio Optimized
<?xml version="1.0" encoding="UTF-8" standalone="yes"?> <ns2:optimizerRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS"> <margin portfolioId="12345678" id="1234567" createTime="2019-11-21T19:56:42+00:00" updateTime="2019-11-21T19:56:45+00:00"> <amounts conc="3531.75158986107" init="1033754.24448408" maint="1037285.99607394" optVal="48125"> <portfolio futCurrAmt="230415" futPreAmt="260000" futPostAmt="1300" otcCurrAmt="623627.825051428" otcPreAmt="1547449.14988385" otcPostAmt="1035985.99607394" diffAmt="770163.15380991"/> </amounts> </margin> <transaction portfolioId="12345678" type="TRADE" id="1234567"> <payload encoding="STRING" format="FIXML"> <string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"><TrdCaptRpt LastQty="100" SettlCcy="USD"><Instrmt ID="21" Src="H" SecTyp="FUT" MMY="201912" MatDt="2019-12-19" Exch="CBT"/><RptSide Side="2" InptDev="API"><Pty ID="TEST" R="4"/><Pty ID="CME" R="21"/><Pty ID="1234" R="24"><Sub ID="2" Typ="26"/></Pty></RptSide></TrdCaptRpt></FIXML></string> </payload> </transaction> <transaction portfolioId="12345678" type="TRADE" id="1234568"> <payload encoding="STRING" format="FIXML"> <string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"><TrdCaptRpt TrdTyp="22" LastQty="100" SettlCcy="USD"><Instrmt ID="21" Src="H" SecTyp="FUT" MMY="201912" MatDt="2019-12-19" Exch="CBT"/><RptSide Side="1" InptDev="API"><Pty ID="TEST" R="4"/><Pty ID="CME" R="21"/><Pty ID="1234" R="24"><Sub ID="2" Typ="26"/></Pty></RptSide></TrdCaptRpt></FIXML></string> </payload> </transaction> <transaction portfolioId="12345678" type="TRADE" id="1234569"> <payload encoding="STRING" format="FIXML"> <string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"><TrdCaptRpt LastQty="99" SettlCcy="USD"><Instrmt ID="21" Src="H" SecTyp="FUT" MMY="201912" MatDt="2019-12-19" Exch="CBT"/><RptSide Side="2" InptDev="API"><Pty ID="TEST" R="4"/><Pty ID="CME" R="21"/><Pty ID="1234" R="24"><Sub ID="2" Typ="26"/></Pty></RptSide></TrdCaptRpt></FIXML></string> </payload> </transaction> <transaction portfolioId="12345678" type="TRADE" id="1234570"> <payload encoding="STRING" format="FIXML"> <string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"><TrdCaptRpt TrdTyp="22" LastQty="99" SettlCcy="USD"><Instrmt ID="21" Src="H" SecTyp="FUT" MMY="201912" MatDt="2019-12-19" Exch="CBT"/><RptSide Side="1" InptDev="API"><Pty ID="TEST" R="4"/><Pty ID="CME" R="21"/><Pty ID="1234" R="24"><Sub ID="2" Typ="26"/></Pty></RptSide></TrdCaptRpt></FIXML></string> </payload> </transaction> </ns2:optimizerRpt>
Response - Portfolio Could not be Optimized
<?xml version="1.0" encoding="UTF-8" standalone="yes"?> <ns2:optimizerRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS"> <margin portfolioId="12345679" id="1234568" createTime="2019-11-25T17:31:41+00:00" updateTime="2019-11-25T17:31:44+00:00"> <amounts conc="0" init="271810.135066162" maint="271810.135066162"> <portfolio futCurrAmt="0" futPreAmt="5200" futPostAmt="0" otcCurrAmt="271810.135066162" otcPreAmt="284884.360044503" otcPostAmt="271810.135066162" diffAmt="18274.224978341"/> </amounts> </margin> </ns2:optimizerRpt>





Errors

Code

Description

Code

Description

403

Returned if the user does not have permission to access the specified optimize response.

404

Returned if the requested optimizer calculation could not be found.

500

The server was not able to process the request. More information (if available) will be provided in the error message.





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