A file delivery guide for sending intraday file updates via SFTP that refresh the Analyze.Intraday module for select portfolios. Files provided with intraday positions must follow a modified common portfolio format to provide position data to Omega Point.
Note: Intraday is a paid feature that must first be activated on the account. Please reach out to your customer success manager for more information.
Utilizing Intraday Data
Portfolios change throughout the day and investment teams no longer need to remain blind to the impact these changes have on the portfolio’s risk budget & exposure characteristics. Omega Point can utilize intraday position data to provide risk updates that can help investment teams better evaluate a portfolio’s posture against the latest factor landscape, allowing teams to manage the portfolio with clarity.
At its simplest, intraday data can be provided for a portfolio by uploading a position file with intraday position values, with a timestamp in the filename and followings the file requirements described below.
More complicated intraday uploads should follow this next section:
Intraday data files when providing both portfolio intraday position data & basket intraday updates.
Intraday data — which at a minimum includes a position set with the latest delta-adjusted values, and at a maximum can include basket positions & portfolio attributes or tags for recently traded positions that are new to the portfolio — is provided to the Omega Point platform by providing intraday position values. Omega Point does not process shares nor security prices, hence the need to provide the delta-adjusted economic exposure for each position in the portfolio. Also, intraday data needs to be synchronized to a time stamp, so intraday data delivered via SFTP must send related data together in order to abide by the concept of an ‘Intraday Batch.’
Batch
A collection of related intraday position data that is sent in close succession. Data included in the batch is used to model the portfolio’s exposures & risks. Files corresponding to an intraday batch — including intraday basket positions, intraday portfolio positions — are synced together as a single package and refreshes the OP UI with the latest calculations.
A batch ensures that the related data is included with the timestamped intraday upload. Once a batch is complete, this kicks off calculations using this data and posts the updates to the UI. Note: although we set a timestamp in the filename, this timestamp is simply used for display purposes. The UI will post by the latest available completed batch (in the order received).
Please communicate what data is to be provided intraday to the CS team. If only portfolios will be updated, then only portfolio data can be submitted intraday. If both portfolio and basket data will be updated, then both portfolio and basket must be provided at the same time with the same timestamp in the filename.
Note: any open batches that are expecting additional files are automatically cancelled by the platform after 5 minutes and the data must be resent.
File requirements
Positions are provided in common portfolio format, inclusive
position date
position timestamp
position asset class
position identifier — SEDOL, CUSIP, ISIN, BBG, FIGI
economic exposure (delta adjusted)
NAV
attributes category & value
category must be provided to CS team ahead of intraday upload. new categories require a request to add.
Basket positions are provided in common portfolio format, inclusive
position date
position timestamp
asset class
position identifier
economic exposure (delta adjusted)
SFTP upload to
/{account}/Intraday/work with OP’s customer success team to ensure this folder exists
provide CS team with the filename that corresponds to the portfolio ID, filename that corresponds to a basket ticker
The filename requires date and time to be included in the filename
portfolio name, date, and hour.
example: myPort_Mkt_Neutral_2024_01_02_08
Depending on complexity, intraday files can be provided once per hour.
Automatic intraday UI refresh
This Intraday Batch cycle drives the experience within the OP UI. When the batch successfully completes, a message is sent to the UI that will auto-refresh any data within the intraday UI module.
Note: the platform uses the latest available data to calculate intraday risks & exposures, regardless of timestamp.
Customers can then make use of the intraday risks & exposures modules.