Composites setup - Data Adapter

If you are a Data Adapter and Composites user the two services are closely coupled, the composites service is part of the processing pipeline allowing you to send a simple CSV of holdings, which will be expanded and enriched based on data coming from your chosen provider, any uploaded constituent weightings and from our ETF library (if enabled)

Step 1 - Client data transmission

Holdings

A CSV file describing the positions your firm holds. This is the standard Data Adapter CSV specification which can be found here for SD and here for PL (or a combined file if you have both services enabled)

This file is usually sent daily and should not require any changes to work with the composites service if already configured

Bring your own data (BYOD)

This is an optional, customer provided file that contains mappings of parent composite instruments, to their constituents with weightings of each. This is used by the service to match existing holdings which may be constituents of composite instruments (or to source new constituents)

The BYOD file does not need to be uploaded daily and will persist until overwritten by the client

Some use cases for supplying BYOD data include:

• Index constituent data you may already have access to
• Custom Baskets
• Bloomberg Proprietary Indices

For details on where to send the file and its format can be found on this page: Bring your own data (BYOD) guide

Sourcing additional constituents

By default, the composites service and Data Adapter will work together to add weightings for composites where you already hold the underlying.

🧮 Example

Position file sent to Data Adapter references two holdings:

PortfolioId	AssetId	AssetName	ISIN	DataProviderId	Quantity
11	futind_500emini	EMINI S&P MAR5		ESH25	10000
11	eq_msft	MicrosoftEquity	US5949181045	MSFT US	10000

In this example, using either BYOD or our ETF Library service we know that MSFT makes up approximately 6.9% of the S&P 500 weighting, however there are an additional 499 constituents which do not have market data sourced.

If the flag is enabled, we will use your data provider to source any missing data (in this case, the additional 499 constituents) - Otherwise the file generated for FundApps will represent just your single name holding in Microsoft and a 6.9% weighting of the S&P Index as calculated shares

Step 2 - Data sourcing from Refinitiv or Bloomberg

Data Adapter will process the position file attempting to source data from every listed instrument. For any composite instrument we attempt to get the 'top level' details of each before passing to the composites service.

ETFs this would be the <Unit> element without any constituents

Listed Index Derivatives this would be both the parent <Future> or <Option> as well as a relationship to an individual <Index> element without any constituents

For OTC Instruments (such as Swaps, CFDs, etc) - if supplied in the input CSV to Data Adapter with a ComponentISIN or ComponentDataProviderId we will also attempt to look these up

Step 3 - ETF Library and Bring your own data (BYOD)

Detailed in How does the composites service work? :

It will then add components to these instruments based on:

• Has the client supplied Bring your own data (BYOD) to us which matches one of the Instrument codes in the XML Index, Unit or StructuredProduct - see Bring your own data (BYOD) guide for details
• For ETF library, it checks if there is an ISIN code match;
  • First checking by ETF Benchmark ISIN
  • Then checking by ETF ISIN
• Where composite components are eligible for enrichment, the service will check if data has been supplied for the underlying component
• For XML clients we are unable to source additional market data on your behalf, so it will only enrich instrument components that you have specified underlying data for.
• For Data Adapter clients we do not currently support additional instrument components being sourced as part of composite enrichment

Step 4 - Transmission to FundApps

After all composite enrichment and market data is sourced, the resultant file is transmitted to your FundApps rule engine.

The fully enriched XML can be found in the previous uploads screen in the UI (also helpful for debugging)