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Gliffy Diagram
nameMarginServiceAPIBasicFlowV1
pagePin24

Margin API Input Formats

A user of Margin API can specify transactions in FIXML, FpML and CSV formats. Multiple formats are supported for each asset class.

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IRS (CSV format)

# headers

Trade Register

186200+

Simple

21

Basic

9

Delta Ladder

28


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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 easiesest easiest input format would be Basic CSV format with 9 fields. Alternatively, using existing Trade Registers, for 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. 

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IRS (CSV format)

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# headers

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Trade Register

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38

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Simple

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13

CME Trade Register format is the most detailed format to represent a trade. In comparison a Simple format uses 13 headers. When using Simple format, API software defaults the remaining fields, also the user has the option of entering either Contract/PF code  or Reference Entity Name, there is no need to enter RED ID.


F&O (CSV format)

# headers

Simple

12


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MXN                                 Mexican Peso   MYR                                 Malaysian Ringgit

NOK                                 Norwegian Krone

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