If stock market pundits like Franklin Templeton’s Mark Mobius are to be believed, markets are going to be just as volatile as they were in 2011. The VIX index, a popular measure of implied volatility, made multiple excursions into the 40s last year, finally ending 2011 at 23.8, up almost 32% from 2010.

Options trading strategies cater well to volatility, offering the opportunity to capitalize on market volatility as a source of investment.  That being said, most option traders typically focus on one option Greek – Delta. While Delta certainly helps in mitigating the risk of an open position, it’s important to trade Delta in conjunction with the other option Greeks – Vega, Theta, and Gamma. Each option Greek measures a different dimension of the risk in an option position.  The aim of an options trader is to manage the option Greeks so that all risks are acceptable.

In this post, I’ll provide step-by-step instructions on how to create your own real-time Excel-based option Greeks calculator with on-demand options data from Xignite’s market data cloud. This will facilitate your option trading process, by allowing you to look at all the option Greeks, side by side. Although, this is our fifth post in the series on combining the power of Xignite and Excel, it’s our first one where we describe our powerful API mash-up platform, Splice, which provides you with the flexibility to get all the data you need in a single web service call.

Creating a Composite Black-Scholes Web Service API

Options are never traded by examining the option Greeks or the underlying stock in isolation. Traders need to look at the complete picture before making a decision. The composite web service API, we will create, addresses this need. It also provides the Black-Scholes option value, which can be used as a benchmark, for your own option Greek calculations. In this example, we will mash-up the following web service operations:

• GetLastSale for the latest stock quotes
• GetEquityOption for option quotes
• GetBlackScholesOptionValue for the Black-Scholes Value

A composite web service can be created by combining any of Xignite’s web service APIs. Keep in mind; you must be logged into Splice to do the same. If you don’t have an account yet, you can just sign up for a free trial.

After you login, click on create Splice, at the top of the page.

Clicking on the create Splice feature, will take you to the Splice editor, which offers a simple drag and drop UI.

The left pane lists all the web service APIs that Xignite offers. The right pane acts as a whiteboard where the web service APIs can be mashed-up.

The next step just involves dragging any web service from the left pane to the white board and linking the inputs and outputs you require for your web service call.

In this example, we used the GetLastSale, GetEquityOption and GetBlackScholesOptionValue web service APIs.  The mash-up I created is called BS. You can access it on the Splice Studio community. You can also clone it and make modifications.

Note: For a more detailed explanation on how to create a Splice, watch this 5 minute intro video.

Importing Option Data into Excel

We covered how to import data into Excel, using web services in a previous post.  The only difference in this post is that, you are now using a composite web service API that has been created by you (Isn’t that exciting!!!).

After you have imported data from the customized Black-Scholes API, there is another piece of data you need to import to complete the option Greek calculations. One of the most important inputs in option Greeks calculations is the volatility. In this example, I calculated historical volatility based on Google’s (GOOG) one year price movements. The historical data can be accessed using Xignite’s GetHistoricalQuotesAsof web service API. It lets you specify the period type (daily, weekly, monthly, quarterly or annually) and period, so that you can set up volatility calculations based on your volatility strategies. The GetHistoricQuotesAsof web service API produces a table as shown below:

Setting up an Option Greeks Calculator

All you need to do now is, provide the inputs and set up the calculations. The formula for all the option Greeks is present in the attached Excel spreadsheet.

To the make the process more intuitive, the attached spreadsheet contains a button that updates the stock quotes and also calculates the latest option Greeks. The macro that does this is given below:

Clicking on the “Calculate Option Greeks” button takes the inputs from the excel sheet, plugs it into the Black-Scholes formula, and returns all the option Greeks in the format as shown below.

As you saw in this post, using the Splice platform gives you the ability to create custom web service APIs that match your unique option trading strategies. Coupling these customized web service APIs with Excel gives you ability to quickly create a real-time options data Greeks calculator so that you can trade on volatility with all the important option indicators at your fingertips.  Give it a try and let me know what think…..

Tracking multi-asset class portfolios in real-time is critical to active investors. Since many investors, particularly portfolio managers and analysts, typically spend a good part of their day in Microsoft Excel, having the capability to track multi-asset class portfolios within Excel would be a tremendous benefit.

Getting real-time pricing on multi-asset class portfolios within Excel has historically been a tedious (and often expensive) chore, requiring multiple vendors and technologies.  But with Xignite’s on-demand cloud APIs, it’s now simple and straightforward.  Even those without a programming background can be up and running in just a few minutes.

In this article, I’ll provide step by step instructions on how to create your own multi-asset class P&L tool in Excel with real-time pricing data from Xignite. All the examples in this post are available for download in this Excel spreadsheet.

This is the fourth post in our series on combining the power of Excel and Xignite.  For more info on this topic, be sure to review our posts on automating financial models, importing market data using XML and importing data using CSV.

Importing Multi-Asset Class Data into Excel

In this example, let’s suppose we hold a multi-asset class portfolio with a few stocks (ORCL, AA & T), an ORCL call option, an ORCL bond, and crude oil futures. To create a real-time multi-asset P&L tool,  we need live financial data. We’ll use the following web services APIs from Xignite to import them into Excel via XML:

• Xignite ExtendedRealQuotes for stock quotes
• Xignite RealTimeOptions for options data
• Xignite Bonds for bond data
• Xignite Futures for futures data

We covered how to import XML in a previous post, but let’s quickly review the process by pulling the stock data as an example.  We’ll start on the Web page for the GetExtendedRealQuotes operation, a Xignite Web service providing real-time stock quotes.

Once you are on the webpage, update the symbols (ORCL, AA, T) in the prompt at the top of the page, click on view in XML, and copy the URL that gets generated.  Next, open a new Excel worksheet, go to the Data tab and select From Web, then paste the URL.  At the end of the URL append the following; replacing the email address with the one you used to sign up for your Xignite account:  &header_username=yourauthenticationtoken

Note : The free trial does not grant you access to the Xignite’s real-time services. You can use the following web service APIs instead:

• Xignite BatsRealTime for stock quotes
• Xignite GetEquityOption for options data
• Xignite GetBondTradedPrice for bond data
• Xignite GetDelayedFuture for futures data

You should end up with a table that looks like this:

Now follow the same process for options, bonds, and futures, which will result in new tables for each asset class. If after the import your data does not have headings, right click anywhere on the data, select XML > XML Source, then right click on the folder icon, remove the element and right click again and remap it. The paste option at the end of the data now has the option to include XML headings.

Implementing a Macro for Real-Time P&L

Now that the data has been imported, a simple macro enables us to monitor price movements in real-time by automatically refreshing the data.

To implement this, simply go to the Developer tab in Excel, select Macros, and then create a new macro called RefreshTime and select This Workbook in the Macros dropdown.

Next, paste the following macro script in the VBA window:

Sub RefreshTime()

Application.ScreenUpdating = False
ActiveWorkbook.RefreshAll
Application.OnTime Now + TimeValue("00:00:01"), "RefreshTime"
Range("D1").Value = "Last:"
Range("E1").Value = Format(Now, "hh:mm:ss AM/PM")
Application.ScreenUpdating = True

End Sub

This macro refreshes all the Web Query connections set up in the worksheet every second. It also prints the last update time on the worksheet, so that you can be sure you’re getting real-time data.

Now that you have the proper data imported and the refresh macro set up, you can input your buy prices and set up the P&L calculations in Excel. To make the tool more visually intuitive, you can add conditional formatting to the data based on parameters like real-time price or volume movements.

Here’s a link to the multi-asset class P&L Tool that I built in Excel using this example. It refreshes the data every second and reflects changes in security prices and ITD (Inception-to-Date P&L), YTD (Year-to-Date P&L) & MTM (Mark-to-Market-P&L) by changing colors.

As seen in this example, combining Excel’s highly flexible and customizable tools with Xignite’s on-demand financial data enables you to quickly build powerful financial applications.  This real-time multi-asset class P&L tool is just a springboard – building upon this, you can create even more complex Excel financial models and presentation spreadsheets to suit your needs.

In our next post , we will explore how we can build a real-time greek calculator using Xignite’s web service APIs.

Ad hoc Excel financial models are employed across a wide range of applications from stock portfolio management, currency trading, loan processing, etc., but they all have one thing in common: they all need ad-hoc financial market data as the input to the analysis.

This is the third post in a series that describes how to use Xignite on-demand financial market data with Excel. The last post in the series described how to import live market data into Excel using Xignite Web Service XML output. This post will take it to the next level and explore how to create Excel financial models that not only bring in live market data over the Internet, but allow you to modify the market data requested using Excel macros to create dynamic Excel financial models. All the examples in this post are available for download in this Excel spreadsheet.

The first step is to import the XML output from a representative Web service request that you will use in the analysis. For example, if the analysis is driven by the current stock price of a range of equities, then you might want to use the XigniteQuotes Web service which provides delayed stock quotes for US Equities. This process was covered in the last post in this series and produces a table such as the one below.

Which for reference was created using the Excel Web XML import of the following Xignite Web service URL.

http://www.xignite.com/xquotes.asmx/GetQuotes?Symbol=MSFT%2CGOOG%2CAMZN&Header_Username=yourxigniteemail@yourcompany.com

Where the authentication token at the end of the URL “yourxigniteemail@yourcompany.com” is simply the email address used to log into your Xignite account. If you don’t have an Xignite account, you can sign up for the free trial. (Note: To create more secure authentication, you can also use your IP address or any random string instead of your Xignite email, simply by adding a new token to your Xignite account.)

If you right click anywhere on the table, you can bring up the options for handling XML. In particular, take a look at what happens when you select “XML Source.”

Excel will open up the details of what it calls the “XML Map” for the table.

So, what exactly is going on here??? If you have ever used Excel pivot tables, the leap to how Excel handles XML is not that big. What is happening is this:

1. Excel links to the XML output at the Web service URL. Excel calls this the “Data Binding“
2. Excel maps the XML output to a range of cells. Excel calls this the “XML Map“
3. Excel adds formatting, sorting, filtering to the output to make it dynamic. Excel calls this type of table a “list”

We’re going to continue by changing the name of the XML Map from the cryptic “ArrayOfQuote_Map” to simply “Quotes” by clicking XML Maps… and Rename… from the XML source dialog. You can also add and remove items from the table (Excel list) by dragging and dropping from the XML Map or simply cutting and pasting within the spreadsheet. For this example, we’re going to remove everything except for symbol, name, date, time, high, low, last and volume by directly deleting the irrelevant columns in the spreadsheet. Notice that the remaining columns are bold on the XML Map whereas the removed columns are not, i.e., the bold shows which columns have been mapped from the XML page on the Web to the Excel list in your spreadsheet. So, now our XML map looks like this.

Now the fun begins! From the last post we know that we can update the data in our Excel table in real-time simply by clicking the Refresh All button. But, we can’t change the parameters (e.g., stock symbols, currency pairs, etc.) that drive the output. We can only update it. What is really happening when we click Refresh All is that Excel goes back out to the “Data Binding” that points to the Web service URL and refreshes the XML output, then it uses the XML map to reload the table. To alter the output, we need to alter the input, i.e., the Web service URL in the Excel data binding. This can be done by creating an Excel Macro that automates the series of steps we used to create the table. The Excel VB Macro below does exactly this.

Private Sub CommandButton1_Click()

Dim Symbol_List As String
Dim Quote_Url As String

Symbol_List = ActiveWorkbook.ActiveSheet.Range(“$J$1″).Value
Quote_Url = “http://www.xignite.com/xquotes.asmx/GetQuotes?
          Symbol=” & Symbol_List & “
          &Header_Username=yourxigniteemail@xignite.com”

ActiveWorkbook.XmlMaps(“Quotes”).DataBinding.LoadSettings (Quote_Url)
ActiveWorkbook.XmlMaps(“Quotes”).DataBinding.Refresh

End Sub

The simple Excel macro links to a button in our spreadsheet above and automates the following tasks when the button is clicked:

1. Grabs a new set of symbols from the spreadsheet
2. Creates the proper URL for the Web service request using the new symbols
3. Loads the new URL into the Excel XML Map Data Binding
4. Refreshes the Excel XML Map Data Binding
5. Upon Refresh, the Web Service is called and the table reloads via the XML Map

The spreadsheet looks something like the image below.

This exact same procedure can be used with any Xignite Web service. Here is a sample of what a currency cross rate table might look like using the GetRealTimeCrossRateTable operation of the XigniteCurrencies Web service that was explored in the previous post in this series.

Finally, any service that returns a time series or similar data like the GetTicks operation of XigniteQuotes can be combined with Excel charts to create graphs that you can interactively update in real-time.

These three examples above use virtually the same Excel macro, the only difference is the Xignite Web service URL and the XML Map in Excel. They are available for download in this example spreadsheet, however, to make it work YOU MUST REPLACE THE GENERIC AUTHENTICATION STRING WITH YOUR OWN XIGNITE ACCOUNT in the VB Editor and YOU MUST ENABLE THE SECURITY SETTINGS IN EXCEL TO ALLOW MACROS as in the picture below.

If you’ve ever written an Excel macro in the past, this should be straightforward. These examples are just a springboard for automating Excel financial models with live market data. They show the basics of how to get live market data into your Excel financial model and update it dynamically. Building upon this foundation, you have the combined power of market data from every Xignite Web service and all Excel functions, charts and macros at your fingertips to create complex Excel financial models and presentation spreadsheets.

The beauty of Xignite on-demand market data is that it can power any application from spreadsheets to major financial websites, anywhere, anytime, because it uses industry standard Web service APIs and XML data exchange formats. This is great news for Excel users, because Excel has fantastic XML support.

This is the second post in a series for Xignite customer’s using Excel that explores how to import market data into Excel using XML. The previous post in this series showed how you can import market data into Excel using a CSV file (comma separated values), the most common data exchange format for spreadsheets. As the native data format of Xignite Web services, XML allows you to go beyond the simple file import available with CSV to create direct links to Xignite Web services that allow you to update real-time market data from within Excel.

Importing Market Data into Excel from an XML File

The simplest way to get market data into Excel using XML is to import an XML file just as you would import a CSV file.  Simply go to the Web page on Xignite’s website for any Web service operation, type in the relevant input parameters, and click the “View in XML” button.  This will open a new browser tab with the Web service output in XML.  Let’s try it now on the Web page for the GetLastSales operation in XigniteBATSLastSale, an Xignite Web service providing real-time stock quotes.  Keep in mind you must be logged in to your Xignite Web services account in order to receive data.  If you don’t have an account, just sign up for a free trial.

The output should look something like the image above. The next step is to save the Web page as an XML file (usually File>Save As and choosing XML or .xml as the file type). Here is the sample XML file from the GetLastSales example above. After saving the XML file, open it in Excel (usually File>Open and choosing XML or .xml as the file type)

You’ll see a quick import dialog box like the one above asking if you want to import the XML file as an Excel table. You do, so just click OK.

When Excel is done importing the XML file, you should see a nicely formatted Excel table like the one above.

Creating and Refreshing an Excel Table from the Web

Importing your market data into Excel as an XML file as described in the previous section works great for a one-off analysis, but it doesn’t really take advantage of the power of on-demand. If you plan to reuse your analysis and need to update the market data in any way, e.g., same analysis, different symbol, daily end-of-day calculations, or even live real-time calculations, then you are better off creating a direct Internet connection between the Xignite Web service and your Excel spreadsheet that you can refresh at will. This section will describe how you can create an Excel table that pulls market data directly into Excel over the Web with a simple mouse click.

First, navigate to the Web page for the Xignite Web service operation of interest. Then, type in the relevant input parameters, and click the “View in XML” button just like before. In this example, we’re going to use the GetCrossRatesTable operation of the XigniteCurrencies Web service to create a cross rate table in Excel that we can automatically refresh with real-time currency exchange rates. The relevant XML output should appear in your browser as in the image below.

The next step is to copy the Web address (URL) of the XML Web page from your browser. This URL is highlighted in the image above and has the following value for this example.

http://www.xignite.com/xcurrencies.asmx/GetRealTimeCrossRateTable?Symbols=USD%2CJPY%2CGBP%2CDKK

Next, add the following authentication text to the end of the URL “&Header_Username=yourxigniteaccountemail@yourcompany.com”, replacing the sample email address with your own email address used to log into your Xignite account. This will allow Excel to access Xignite market data using your account without having to log in through the Xignite Website. When you are done, the complete URL should look like this.

http://www.xignite.com/xcurrencies.asmx/GetRealTimeCrossRateTable?Symbols=USD%2CJPY%2CGBP%2CDKK&Header_Username=yourxigniteaccountemail@yourcompany.com

Let’s get some market data! Open a new Excel spreadheet and select the “Data” ribbon at the top. Then press the “From Web” icon (highlighted below). A dialog box like the one in the image below will appear. Paste the complete Web service URL, including your authentication email address, into the “Address” bar and click “Go”.

If all has gone well, you should see the XML output in the dialog box Web page region just like in the image above. When you do, press the “Import” button. This will set off the same process as in the previous section for importing the XML file and should result in a cross rate table similar to the one below.

However, there is the one BIG difference from the simple XML file import approach used in the previous section. The Excel table is now linked directly to the Xignite Web service via the Internet.

The market data in your Excel spreadsheet is LIVE! Simply click the “Refresh All” button on the “Data” ribbon above and the table will automatically update.

You may receive a warning dialog box like the one above on the first refresh. Since you hopefully trust the source of the file, Xignite, us, just click “OK” and all the exchange rates in the table will update to the most current values. XigniteCurrencies provides real-time exchange rates that update every ten seconds, so you can repeat the refresh every ten seconds to get the latest exchange rates.

How simple was that!

Well, the truth is that Excel did a lot of work behind the scenes to link the XML output directly to the table in your Excel spreadsheet, including mapping each data element to a particular row and column. This behind the scenes work sets up some very cool options for power Excel users that we’ll describe in the next post in this series, such as modifying the symbols to get different currency rates. In the next post, we’ll explore how you can create interactive Excel spreadsheets that pull live market data over the Web using XML and completely automate your analysis with Excel macros.

It may be easier than you think to get the latest financial market data in Excel spreadsheets using Xignite.  Most of our customers use Xignite’s web services to power their custom-built applications and websites with financial market data.  But if you’re a financial analyst or a power user of Microsoft Excel, you may not want to build a new application.  What if you aren’t a programmer?  What if you just want the market data in Excel and you don’t need any other application?  In that case, all you really want is a simple way to get market data in Excel so you can perform your analytical magic without the need to hire a programmer.  In this blog post, I’ll show you a simple, easy way to do just that.

Web Pages Get Market Data in Excel Instantly

Excel can easily open files in the comma-separated values (CSV) file format.  And Xignite offers an easy, convenient way to get market data from any of our web services into CSV format.  Simply go to the web page on Xignite’s website for any web service operation and click the “View in CSV” button.  Try it now on the web page for the GetLastSales operation in XigniteBATSLastSale, an Xignite web service providing real-time stock quotes.  Keep in mind you can only get data from Xignite’s web services if you have an account that entitles you to receive data.  If you need an account, just sign up for a free trial.

If Excel doesn’t open when you double click the CSV file you download from Xignite, never fear.  Normally, CSV files will open automatically in Excel.  If a different application opens or if Windows asks you which application to use, that means Windows probably hasn’t associated the CSV file format with Excel.  If that happens to you, just open Excel, press Ctrl+O and select the CSV file to open it directly from within Excel.

URLs Get Market Data in Excel Directly

You can also get market data from any of Xignite’s web services in CSV format simply by pointing your web browser to the right URL.  To find the right URL with exactly the market data you want, first go to the web page of the operation you want to get data from, then click the “View in XML” button and then change the URL of the XML output to replace “.asmx” with “.csv” and you’re done!

Here’s an example:  If you go to the web page for the GetLastSales operation in XigniteBATSLastSale and click “View in XML” it will take you to the following URL:

http://www.xignite.com/xBATSLastSale.asmx/GetLastSales?Symbols=msft,orcl,dell

To get this same data in CSV format instead of XML format, simply change “.asmx” to “.csv” in the URL (and add “&_DownloadFile=y” to make the file easier to download in some browsers) as follows:

http://www.xignite.com/xBATSLastSale.csv/GetLastSales?Symbols=msft,orcl,dell&_DownloadFile=y

If you prefer, you can even change how rows repeat their data by adding “&_RepeatParentData=false” to make sure the XML parent nodes are not repeated, as follows:

http://www.xignite.com/xBATSLastSale.csv/GetLastSales?Symbols=msft,orcl,dell&_DownloadFile=y&_RepeatParentData=false

To get stock quotes for Microsoft, Oracle and Dell in CSV format, just enter this URL into your web browser.  Your browser will prompt you to download the CSV file.

Just one last step:  Since the file you download will not have the “.csv” file extension in its name, you’ll need to add “.csv” to the end of its file name so that Excel can recognize it as a CSV file.

Excel Gets Market Data Dynamically

If you need a lot of different kinds of data, you may not want to use web pages or manually entered URLs to get market data in Excel.  If there are too many web pages or too many URLs you need to enter manually, then you may need a way to get market data in Excel more systematically.

Fortunately, we can use Excel itself to create the right URLs dynamically for you.  Then all you have to do is click on the URL links to get market data in Excel.

In the example from the section above, you may have noticed that the symbol parameter values entered on the Xignite web page (MSFT, ORCL, DELL) are included in the URL itself (“Symbols=msft,orcl,dell”) setting the variable “Symbols” to the list of symbols you requested.  If you wanted stock quotes for Google, Amazon and Apple instead of Microsoft, Oracle and Dell, all you have to do is replace “MSFT,ORCL,DELL” in the URL with “GOOG,AMZN,AAPL” instead.  Then your URL would look like this:

http://www.xignite.com/xBATSLastSale.csv/GetLastSales?Symbols=goog,amzn,aapl&_DownloadFile=y

You could just as easily use Excel to create the above URL dynamically based on other cells in Excel where you enter which symbols you want to get.

Let’s take an example:  In a blank Excel spreadsheet, fill cells A1, A2 and A3 with GOOG, AMZN, and AAPL respectively.  Then, in cell A5 enter the following formula:

=”http://www.xignite.com/xBATSLastSale.csv/GetLastSales?Symbols=” & A1 & “,” & A2 & “,” & A3

This formula should create a URL that’s identical to the one above.  If you go to that URL, you’ll get stock quotes for Google, Amazon and Apple.  If you change GOOG to MSFT, then your URL will dynamically change to a URL that will get a stock quote for Microsoft instead of Google.  Now Excel is dynamically creating the URL where you’ll find exactly the data you want.

Just one problem:  You’ll notice your dynamically created URL in Excel can’t be clicked on.  To make the URL clickable from Excel, just use Excel’s HYPERLINK formula.  Here’s an example:

=HYPERLINK(“http://www.xignite.com/xBATSLastSale.csv/GetLastSales?Symbols=” & A1 & “,” & A2 & “,” & A3, “Click here”)

Now you can click the “Click here” link in Excel and your web browser will immediately go to the dynamically created URL and download the CSV file with the data you want.

Tip:  Use Separate Excel Tabs for Raw Market Data vs. Analysis

So now you’re a market data Excel guru, capable of pulling all sorts of market data in Excel, slicing it, dicing it, pivoting it and charting it!  Then you need to update all your analysis with the latest up-to-the-minute market data and suddenly you come to a screeching halt!  You don’t want to lose all the analysis you’ve done or the charts you’ve created.  How can you keep all your hard work from going to waste and just update the market data without affecting anything else in your Excel spreadsheet?

To make regular updates to your market data in Excel without rework, be sure to keep your raw market data in a separate Excel tab from the Excel tabs that include your custom analysis, charts, pivot tables and so on.  If you keep raw market data from Xignite in a separate Excel tab, updating your analysis will be as simple and easy as copying and pasting new raw market data directly from Xignite into your raw market data tab in Excel.  All of your other Excel tabs that reference the raw market data tab will update automatically with no need for rework.

See an Example

Get a concrete example of every tip in this blog post by checking out this Excel spreadsheet.  The Excel spreadsheet uses a simple example that values an equity portfolio.  One Excel tab includes the portfolio analysis, while the other holds the raw market data the analysis references.  The Excel spreadsheet shows a dynamically created, clickable URL to get the latest raw market data in CSV format.  The Excel spreadsheet also includes detailed, step by step instructions on how to refresh the portfolio’s valuation with the latest real-time market data from Xignite.

One of the most common financial applications of Xignite on-demand market data is portfolio management software.  Portfolio management software is used by a wide range of Xignite customers including asset managers, wealth managers, hedge funds, financial advisers, broker-dealers and publishers of online portfolio websites.   Each portfolio management software customer has unique requirements that vary across asset classes and update frequencies, however, the hit calculation required to select the right Xignite Web services subscription plans is essentially the same.

This is the third post in a blog series on hit calculation that will provide detailed example calculations for portfolio management software applications.  The first post and second post in this series provided a comprehensive hit calculation tutorial as well as a general hit calculation spreadsheet. The examples in this post are also available in this sample portfolio management software hit calculation spreadsheet.

Single Hit Data Block for Portfolio Management Software

Every portfolio management software application will access a number of Xignite Web services covering a variety of asset classes (XigniteQuotes, XigniteFunds, XigniteFutures, XigniteOptions, XigniteMetals, etc.) to obtain the current price of each asset in each portfolio.  Because Xignite Web services count hits uniformly as one hit per price quote, we can dramatically simplify the hit calculation using the single symbol, single hit data block described in the previous blog post in this hit calculation series, i.e., the number of symbols requested per month is equal to the number of hits per month.

Update Frequencies for Portfolio Management Software

As pointed out in the previous post in this series, the most important factor in determining usage is almost always the update frequency, or the number of requests to refresh the data each month.

Monthly Hits = # Symbols per Request x # Requests per Month

Therefore, we’re going to break our portfolio management software examples into three application scenarios according to update frequency.

• End-of-Day Portfolio Accounting System
• Real-Time Portfolio Management Software
• Online Portfolio Website

Each of these update scenarios has a unique trigger event:  day, cache refresh, and page view respectively, giving the following hit calculation formulas for each respective scenario.

Monthly Hits = # Symbols per Day x # Days per Month

Monthly Hits = # Symbols per Cache Refresh x # Cache Refreshes per Month

Monthly Hits = # Symbols per Page View x # Page Views per Month

In the sections that follow, we’ll use the formulas above to estimate the usage for each update frequency scenario above.

End-of-Day Portfolio Accounting System – Hit Calculation

The trick to calculating hits for portfolio management software is estimating the request population, or number of symbols per request, which for an end-of-day portfolio accounting system is given by the following formula.

Request Population = # Symbols per Day (by Asset Class)

Depending on the particular assets held in each portfolio, the result looks something like the table below.

End-of-Day Portfolio Accounting System Hit Calculation

The table above is a simple tally of all symbols across all portfolios managed by the portfolio accounting system.  Each symbol requires one price each day (equal to one hit).  In this particular example, we’ve assumed that the portfolio accounting system will run its valuation routine twenty working days each month, hence the hits are equal to twenty times the number of symbols per day.

60,000 Monthly Stock Hits = 3,000 Symbols per Day x 20 Days per Month

Xignite subscription plans are generally available in increments of 600, 6,000, 60,000, and so on, therefore the subscription plan is determined by rounding up to the maximum number of hits available in each subscription plan.

Real-Time Portfolio Management Software – Hit Calculation

The hit calculation for real-time portfolio management software is essentially similar to that for the end-of-day portfolio accounting system above with a straightforward change to the update request frequency.   To minimize response time, it makes sense for real-time portfolio management software to cache every symbol in every portfolio using the relevant Xignite Web services, and then serve individual portfolios from within the software application.  Using the same symbol count as the example above and assuming a cache refresh rate of 5 updates per minute, the hit calculation for stocks is as follows.

48,000 Cache Refreshes per Month
= 5 refreshes/min x 60 mins/hr x 8 hrs/day x 20 days/mo

144,000,000 Monthly Stock Hits
= 3,000 Symbols per Refresh x 48,000 Refreshes per Month

Extending the calculation above to the other asset classes gives the table below as the complete hit calculation for our real-time portfolio management software.

Real-time Portfolio Management Software Hit Calculation

As mentioned previously, the most important factor in determining usage is almost always the update frequency.  Compared to our end-of-day portfolio accounting system, our real-time portfolio management software requires several orders of magnitude more hits (With the exception of funds which only have end-of-day NAV prices, assuming ETFs are included in stocks). In fact, since most Xignite standard subscription plans top out at 60 million hits, this particular application would require a custom quote for the real-time stock Web service (e.g., XigniteRealTime, XigniteGlobalRealTime, XigniteBATSLastSale, or XigniteNASDAQLastSale)

Online Portfolio Website – Hit Calculation

While it’s possible to architect an online portfolio website to provide either end-of-day or real-time updates like the respective portfolio accounting system or portfolio management software examples above, it is more common to update each website visitor’s portfolio on-demand each time a visitor requests a page displaying the portfolio. In this case, the relevant trigger event is a page view, and the associated request population is given by the following formula.

Request Population = # Symbols per Page View (By Asset Class)

The number of symbols per page view is simply the average number of symbols in a single portfolio. If we use the same total symbol count as in the two previous examples, and further assume that there are 1,000 registered users of our online portfolio website that view their portfolios twice a day on average, then the calculation will look something like the table below.

Online Portfolio Website Hit Calculation

The average number of symbols per page view (symbols in a single portfolio) would normally be based on the specific portfolio holdings of the particular online portfolio website, but for this example we’ve used a little sleight of hand to make the calculation for our online portfolio website example as similar to the earlier end-of-day portfolio accounting system and real-time portfolio software examples.  Here we’ve assumed 50% overlap in portfolio assets across all users, so to get the average symbols per page view we simply divided the total number of symbols in the previous examples by 1,000 users and then multiplied by 2 to adjust for overlapping assets. For example, the average number of stock symbols per page view = average number of stocks in a single portfolio = 60 = 2 x 3,000 / 1000.

The total number of hits is then determined by multiplying the number of symbols per page view by the total number of page views per month as in the formula above.

60,000 Page Views per Month
= 1,000 users x 2 views/day/user x 30 days/month

3,600,000 Monthly Stock Hits
= 60 Symbols per Page View x 60,000 Page Views per Month

It is worth noting that the number of hits for funds could be significantly reduced by caching the end-of-day NAVs instead of serving them on-demand. These three common examples demonstrate a number of recurring concepts that can be used for similar hit calculations.

• Single Hit, Single Symbol Data Block (one hit per symbol)
• Average Request Population (average symbols per portfolio or page view)
• Common Event Triggers
  (EOD Updates vs. Real-time Caching vs. On-Demand Page Views)

In addition, they clearly demonstrate that update frequency is the most important factor in determining total hit usage.  Future posts in this series will provide more hit calculation examples for the most common financial applications.

Have you ever received this error?

RegistrationError: XigniteXXXXX: Maximum number of unregistered requests exceeded. Consider registering or subscribing to expand usage. Your request was authenticated using your IP address…

For example, you might get it if you have been developing on a test server with an IP address that has been authenticated by Xignite. Then, you move your application to a different production server.  If you haven’t registered the new production server’s IP address, you will receive a message like this one when trying to use the relevant Xignite Web service.

To resolve it, all you need to do is log into your Xignite account and add the new IP address (you automatically received a login when you register for the free trial or make a purchase).  One of the key features of the My Account screen is the Manage IP address link.  This link will allow you to manage your IP addresses that are used for authentication.  In addition to logging in directly, you can also add an IP address using the XigniteHelp Web service.  This service has an operation called AddIPAddress that will allow you to add new IP addresses without logging in to your account.