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This page contains questions that we often get regarding our API
How do I get all the necessary information to rebalance my index successfully?
To have all the information you need, you do the following.
- 1.You retrieve the new rebalance weights from the active multi-assets endpoint or the rebalancing file you received one day after your index review date. The rebalancing file can be found in your Google Drive file, or you can request to receive it by email. The new constituents symbols are the keys in the received dictionary. Note that when you query the active multi-asset endpoint, you receive the rebalancing weights for indexes that vinter publishes.
- 2.On the rebalancing day, you request the end-of-day prices for all the constituents in your new index from the single assets daily endpoint. Doing this lets you know what price will be used for the rebalancing. You will have to query the endpoint one constituent at a time.
- 3.You are done.
For more information, please see the respective endpoint pages. You can also request end-of-day and closing price Excel files from your customer success manager.
New values are published daily after 4:10 pm London time.
The reference rates are calculated from validated transactions on selected exchanges. Index values are published soon after the time window ends. The time window during which transactions are obtained and the calculation method varies depending on the index frequency. There are three frequencies with which index values are updated: real-time, hourly, and daily. There are two types of index structures: plain (using transactions from one trading pair) or composite (pools transactions from several trading pairs).
Each Vinter real-time index is updated every 10 seconds and calculated as follows.
- Obtain validated transactions on the trading pair from selected exchanges during the last 60 seconds.
- For each exchange, select the latest transaction.
- Take the median across all selected transactions.
All Vinter hourly index values are calculated by taking the average of the real-time index values during that hour. Each hourly index value is thus a Time Weighted Average Price (TWAP) of non-missing median prices.
The daily frequency is the most important since it is used to settle regulated financial derivatives and to evaluate exchange-traded products. Two daily values can be calculated: VAP or VFIX.
Vinter's Average Price (VAP): taking the average of the real-time values in a certain time window. Each daily value is thus a Time Weighted Average Price (TWAP) of non-missing median prices.
Vinter’s Fixing (VFIX): taking the last real-time index value before a certain time of the day.
Current weight is the current allocation of each constituent to the portfolio (current weights are sometimes called drifting weight).
Rebalancing weight is the weight that was set at the last rebalancing. So rebalance weight is the constituent's weight just AFTER closing on the rebalance day.
Yes, via the active multi-assets endpoint.
The rebalancing weights are the opening weights on the first business day of each month. This means they will be used as the end-of-day value on the first business day of each month. Note that the current end-of-day weights will not equal the rebalancing weights since they (most likely) have drifted during the day's trading.
Yes, you can change the asset selection rule. First, you need to order the change from us, then VInter will write a public statement. The changes will be reflected 60 days later so investors and other parties can synchronize with the new rule.
btc-usd-p-5-d is the last real-time value (median of last trades from a selected number of exchanges): hence a VFIX.
btc-usd-p-d is a one-hour TWAP between 15:00 and 16:00 London time.
The p stands for primary. For some reference rates, you can find a c for complimentary. This is a value that is calculated in the same way but uses a different data feed.
You should rebalance on rebalancing day if you want optimal tracking. If you rebalance the day after, you will get a tracking error. How large depends on the market.
Daily around 10 minutes after publication. Important, end-of-day files at the rebalancing date have the current constituents and prices. You will get the next period’s constituents and prices on the 1st day of the month for indexes that only contain cryptocurrencies and the first business day for indexes that contain commodities or equities.
The date is in the future as we provide closing prices, which are opening prices for the next day.
The launch date is the first listing date for an index. Every value before is considered a backtesting value, and every value after is considered a “live”/”real” value.
If you want to know which values that were calculated by the production platform and which were calculated using backtesting data, you can look at the columns.
These are all empty for values imported from the backtesting environment. From a regulatory perspective, the listing date is when the AM becomes an official user. Backtesting data is a simulation of the past performance of a similar strategy to the final index.
Yes, we request ISINs on our indexes from Euroclear Sweden. We include the ISIN code in the methodology.
If you want to retrieve the next coming rebalancing weights from the API, you use the endpoint
You filter out the field "next_rebalance_weights" to receive the upcoming rebalance weights. The next_rebalance_weights field becomes the weights field after rebalance, and the next_rebalance_weights field is set to empty.
Vinter can feed data to the following platforms.
- 1.ACTIV Financial Systems, Inc.
- 2.baha GmbH
- 3.Bloomberg Finance LP
- 4.FactSet Research Systems Inc.
- 5.Fidessa Trading (UK) Limited
- 6.FIS Financial Systems (France) SAS
- 7.ICE Data Services Europe Ltd.
- 8.Infront AS
- 9.Iress Data Ltd
- 10.Morningstar Real-Time Data Ltd.
- 11.Refintiv Limited
- 12.Royal Bank of Canada; RBC Europe Ltd
- 13.SIX Financial Information Ltd
Yes, and yes.
Today we are calculating around 100 reference rates. Those are not necessarily in the top 100 by market cap though the vast majority are. We could cover the top 200 on demand, the tricky part being data reliability and asset liquidity since market makers do not consider low-volume assets.
In the Vinter Portal, you can rebalance at any time. Change the asset allocation in our graphical user interface or upload a csv file. Management fees and performance fees are calculated daily. Users can, with the click of a button, generate the portfolio composition file (PCF) in Excel format. The PCF is calculated with the most recent reference rate value.