Margin Service API - Optimize - Get

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
`reqUserId`	Requesting User ID	String	No

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

Current (futCurrAmt and otcCurrAmt): Margin of portfolio including the current allocation of futures in the OTC IRS account versus SEG account.
Baseline (futPreAmt and otcPreAmt): Margin of portfolio where no futures are in the OTC IRS account.
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
`/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
`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.