Margin Service API - Optimize - Calculate

The calculate optimize request performs an optimize calculation on an existing portfolio. Optimize in this context specifically refers to the CME Optimizer algorithm/tool, which identifies appropriate interest rate listed derivative products which can offset CME-clearing OTC IRS product, thereby producing portfolio margin efficiencies.

For more information regarding the Optimizer deployable software see here. For more information about CME's portfolio margin program for interest rate products see here.

1 Description
2 Request
3 Response
4 Errors
5 Examples

Description

The request allows the client to calculate an optimized allocation of interest rate futures in an existing portfolio containing both CME-cleared OTC interest rate swaps and interest rate futures which was added to CME CORE (Add Portfolio and Update Portfolio).

The user must specify the unique CME CORE assigned portfolio identifier in the request URL. Once the user has submitted the above, the server will queue up the request for execution after which it is submitted to the Optimizer for processing a request identifier and status that are returned. If the portfolio does not exist, if the portfolio does not contain a valid combination of products (IRS or delta ladder + futures), if referenced transactions do not exist, or if there are other errors an error message/code will be returned.

Entity	Optimize
Action	Calculate
URL	`/optimize`
HTTP Method	`POST`
Parameter Input	No
XML Input	Yes
Multiple Output	No
Synchronous	No

Request

XPath	Name	Type	Required	Notes

XPath	Name	Type	Required	Notes
`/marginReq@reqUserId`	Requesting User ID	String	No
`/marginReq/margin@portfolioId`	Portfolio ID	String	Yes

Response

XPath	Name	Type	Required	Notes

XPath	Name	Type	Required
`/marginRpt@status`	Status	Async Status	Yes
`/marginRpt/margin@id`	ID	String	Yes
`/marginRpt/margin@portfolioId`	Portfolio ID	String	Yes
`/marginRpt/margin@updateTime`	Update Time	Date/Time	Yes
`/marginRpt/error@code`	Error Message	String	No
`/marginRpt/error@msg`	Error Message	String	No

Errors

Code	Description	Message

Code	Description	Message
`400`	Bad XML syntax or missing content. More information will be provided in the error message.
`403`	Returned if the user does not have permission to perform calculations on the portfolio
`406`	Returned if the user's portfolio does not contain a valid combination of products (IRS or delta ladder + futures)	msg="Cant Optimize portfolio; must contain Future and Options trade and either Delta Ladder trade or IRS trade"
`500`	The server was not able to process the request. More information (if available) will be provided in the error message.

Examples

Basic

This example requests that a portfolio with ID 12345678 be optimized. The unique ID of the margin request is returned along with the portfolio identifier.

Request

POST {{API_URL}}/optimize

<core:marginReq xmlns:core="http://cmegroup.com/schema/core/1.6">
	<margin portfolioId="12345678"/>
</core:marginReq>

Response

<ns2:marginRpt xmlns:ns2="http://cmegroup.com/schema/core/1.6" status="PROCESSING">
    <margin portfolioId="12345678" id="1234567"/>
</ns2:marginRpt>