What Is a Position Set?

A position set is a JSON structure that represents a collection of securities and position weights for a set of dates. A position set may include multiple classes such as equities, commodities, currencies, fixed income, indices, swaps, and other assets.

How Are Position Sets Used?

Position sets are used in Omega Point to store daily states of assets under management for a portfolio or strategy. Position sets can be retrieved from the API for any holding dates in the system. Additionally, position sets can be uploaded via the API to update or modify a portfolio.

What Are the Key Components of a Position Set?

Dates

Multiple position set dates can be obtained from the API in a single request, which are returned inside a “dates” array.

Date

Each item inside the dates array includes the position set date in ISO 8601 Date format.

Equity

Each date may also include the equity override value of the position set, if available. This is useful field to use if you have a custom reference value (e.g. AUM or NAV) that you would like the system use in the analytics calculations.

GMV

The GMV of the position set. This is a calculated field and does not need to be passed when the position set is passed as an input. 

Equities

An “equities” array inside each date lists the equity holdings of the position set, including the ID and weight (“economicExposure”) of each security.


Putting together all of the above, querying a sample position set could return the following JSON structure:

"dates": [
    {
        "date": "2016-07-01",
        "equity": 28787270,
        "gmv": 28178726.796875,
        "equities": [
            {
                "id": {
                    "mic": "XPAR",
                    "ticker": "FR"
                },
                "economicExposure": 577372.75
            },
            {
                "id": {
                    "mic": "XPAR",
                    "ticker": "PUB"
                },
                "economicExposure": -202841.5
            },
            {
                "id": {
                    "mic": "XFRA",
                    "ticker": "SZG"
                },
                "economicExposure": 244890.47
            }
        ]
    }
]

What Are Some Other Features of Position Sets?

You can directly reference a benchmark or a portfolio in your account by using some of the optional position set fields: 

  • type 
  • id

For instance, to reference a portfolio that already exists in your account, you can pass into any function that takes a PositionSetInput :

{
  type:  “PORTFOLIO”,
  id: “xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx”
}

Separately, to reference a benchmark, you can pass into any function that takes a PositionSetInput: 

{
  type: “BENCHMARK”,
  id: “SP500”
}

These are useful for comparing a portfolio to a benchmark (e.g. “active”) or comparing one portfolio or strategy to another. For more information on running comparisons in the API, please see the article on Simulation.

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