Portfolios
Use this endpoint to submit portfolios for margin and risk analytics calculations.
POST/portfolios
Calculate portfolio margin
Calculate the margin requirements for multi-account and multi-exchange portfolios.
Required attributes
- Name
portfolio- Type
- array
- Description
Portfolio payload, multi-account positions.
Optional attributes
- Name
calculation_type- Type
- enum
- Description
One of margins, analytics or all.
- Name
calculation_type- Type
- enum
- Description
One of margins, analytics or all.
- Name
execution_mode- Type
- enum
- Description
One of sync or async.
- Name
vendor_symbology- Type
- enum
- Description
One of clearing, ion, bloomberg, gmi or tt_new.
- Name
cme_symbology- Type
- enum
- Description
One of clearing or globex.
- Name
currency_code- Type
- string
- Description
Currency for the aggregate multi-currency results. The international 3-letter currency code, as defined by the ISO 4217 standard.
- Name
use_closest_match- Type
- boolean
- Description
Allow the system to find and use the closest match contract e.g. for incorrect expiry or strike.
- Name
pnl_details- Type
- boolean
- Description
Historical P&L details. To create cache data for the entire P&L vector.
Request
POST
/portfolios# example of portfolio payload
portfolio_payload='
{
"vendor_symbology": "clearing",
"calculation_type": "margins",
"execution_mode": "sync",
"portfolio": [
{
"account_code": "Account 001",
"exchange_code": "ASX",
"contract_code": "XT",
"contract_type": "F",
"contract_expiry": "DEC-25",
"contract_strike": "",
"net_position": "500"
},
{
"account_code": "Account 001",
"exchange_code": "ICE.EU",
"contract_code": "B",
"contract_type": "Future",
"contract_expiry": "DEC-25",
"contract_strike": "",
"net_position": "500"
},
{
"account_code": "Account 001",
"exchange_code": "NYMEX",
"contract_code": "LO",
"contract_type": "CALL",
"contract_expiry": "202512",
"contract_strike": "50.1",
"net_position": "-1000"
},
{
"account_code": "Account 002",
"exchange_code": "EUREX",
"contract_code": "FDAX",
"contract_type": "FUT",
"contract_expiry": "202612",
"contract_strike": "",
"net_position": "-50"
}
]
}'
# post portfolio
headers=("Content-Type: application/json" "Authorization: Bearer $access_token")
response=$(curl -s -X POST "$c9_api_endpoint/portfolios" -H "${headers[1]}" -H "${headers[2]}" -d "$portfolio_payload" | jq)
echo $response
Response
{
"request_id": "0aa6a8b1-f8d4-4006-9102",
"username": "@cumulus9.com",
"data": [
{
"request_id": "0aa6a8b1-f8d4-4006-9102",
"portfolio_id": "13fcacf076f925f0309e",
"username": "@cumulus9.com",
"submitted_time": "2025-01-30 09:45:17.197197",
"account_code": "Account 001",
"price_date": 20250130,
"currency_code": "USD",
"initial_margin": 6313765.31,
"option_liquidation_value": -18850000,
"value_at_risk": 0,
"stress_loss": 0,
"additional_margin": 0,
"margin_by_ccp": [
{
"clearing_org": "ASXCLF",
"result_type": "span",
"currency_code": "AUD",
"fxrate": 1.60435,
"initial_margin": 1418500,
"option_liquidation_value": 0,
"cross_model_offset": 0
},
{
"clearing_org": "ICE",
"result_type": "irm",
"currency_code": "USD",
"fxrate": 1,
"initial_margin": 1715000,
"option_liquidation_value": 0,
"cross_model_offset": 0
},
{
"clearing_org": "CME",
"result_type": "span2",
"currency_code": "USD",
"fxrate": 1,
"initial_margin": 3714606.62,
"option_liquidation_value": -18850000,
"cross_model_offset": 0
}
],
"margin_by_contract": [
{
"clearing_org": "ASXCLF",
"result_type": "span",
"exchange": "SFE",
"cc_code": "XT",
"cc_name": "10 Year Treasury Bond",
"sector": "Interest Rate",
"sub_sector": "Fixed Income",
"currency_code": "AUD",
"fxrate": 1.60435,
"initial_margin": 1418500,
"option_liquidation_value": 0
},
{
"clearing_org": "ICE",
"result_type": "irm",
"exchange": "I",
"cc_code": "BRN",
"cc_name": "Brent Crude",
"sector": "Energy",
"sub_sector": "Oil",
"currency_code": "USD",
"fxrate": 1,
"initial_margin": 1715000,
"option_liquidation_value": 0
},
{
"clearing_org": "CME",
"result_type": "span2",
"exchange": "CME",
"cc_code": "NY-CL",
"cc_name": "WTI Crude Oil",
"sector": "Energy",
"sub_sector": "Oil",
"currency_code": "USD",
"fxrate": 1,
"initial_margin": 3714606.62,
"option_liquidation_value": 0
}
],
"margin_by_span": [
{
"result_type": "span",
"clearing_org": "ASXCLF",
"exchange": "SFE",
"scenario": "13",
"cc_code": "XT",
"currency_code": "AUD",
"scanning_risk": 1418500,
"initial_margin": 1418500,
"prompt_date_charge": 0,
"intra_spread_charge": 0,
"short_option_charge": 0,
"intercontract_credit": 0,
"strategy_spread_charge": 0,
"option_liquidation_value": 0
},
{
"result_type": "irm",
"clearing_org": "ICE",
"exchange": "I",
"scenario": "13",
"cc_code": "BRN",
"currency_code": "USD",
"scanning_risk": 1715000,
"initial_margin": 1715000,
"prompt_date_charge": 0,
"intra_spread_charge": 0,
"short_option_charge": 0,
"intercontract_credit": 0,
"strategy_spread_charge": 0,
"option_liquidation_value": 0
}
],
"margin_by_span2": [
{
"result_type": "span2",
"clearing_org": "CME",
"exchange": "CME",
"pod_id": "CRUDE",
"pod_name": "CRUDE",
"currency_code": "USD",
"margin_method": "SPAN2",
"option_liquidation_value": -18850000,
"initial_margin": 3714606.62,
"maintenance_margin": 3714606.62,
"concentration_component": 6606.27,
"hvar_component": 2050031.02,
"implied_offset": 0,
"liquidity_component": 83387.98,
"short_option_min": 30000,
"stress_component": 1574581.34,
"product_group": [
{
"product_group_id": "CL",
"product_description": "WTI Crude Oil",
"currency_code": "USD",
"risk_maintenance_requirement": 3714606.62,
"concentration_component": 6606.27,
"hvar_component": 2050031.02,
"liquidity_component": 83387.98,
"stress_component": 1574581.34,
"implied_offset_prorated": 0,
"total_initial_margin": 3714606.62
}
]
}
],
"closest_matches": [
{
"position_id": "0",
"engine": "validation",
"exception": "Applied closest matching expiry instead of loaded DEC-25 on position ASX | XT - 10 Year Treasury Bond Futures | FUT | 202506 | 0"
},
{
"position_id": "2",
"engine": "validation",
"exception": "Applied closest matching strike instead of loaded 50.1 on position NYMEX | LO - Crude Oil Options | CALL | 202512 | 50"
}
],
"portfolio": [
{
"market_type": "ETD",
"position_id": "0",
"exch_acronym": "ASX",
"contract_code": "XT - 10 Year Treasury Bond Futures",
"contract_type": "FUT",
"contract_id": "06a8f567b7ad61171413adbb3b0640e7",
"expiry": "202506",
"rel_period": 2,
"last_trade_date": 20250616,
"time_to_maturity": 99,
"net_position": 500,
"account_type": "H",
"price_date": 20250129,
"stl_price": 95.6,
"cvf": 1186.511915,
"is_valid": true,
"cycle_code": false,
"fxrate": 1.602,
"decomp_legs": [],
"closest_match_applied": [
{
"lower_bound": 202503,
"upper_bound": 202506,
"error_fields": "expiry",
"closest_match": "JUN-25",
"loaded_value": "DEC-25"
}
],
"clearing_org": "ASXCLF",
"option_type": null,
"margin_currency": "AUD",
"unit": "AUD",
"sector": "Interest Rate",
"sub_sector": "Fixed Income",
"underlying": "10 Year Treasury Bond",
"option_model": null,
"free_risk_rate": 0.01,
"imp_vol": 0.2
},
{
"market_type": "ETD",
"position_id": "1",
"exch_acronym": "ICE.EU",
"contract_code": "B - Brent Crude Futures",
"contract_type": "FUT",
"contract_id": "d4520d3e958f968cb1ab7fdd05b4dd07",
"expiry": "20251200",
"rel_period": 10,
"last_trade_date": 20251031,
"time_to_maturity": 198,
"net_position": 500,
"account_type": "H",
"price_date": 20250129,
"stl_price": 71.44,
"cvf": 1000,
"volume": 53306,
"is_valid": true,
"cycle_code": false,
"fxrate": 1,
"decomp_legs": [],
"closest_match_applied": [],
"clearing_org": "IPE",
"option_type": null,
"margin_currency": "USD",
"unit": "barrel",
"sector": "Energy",
"sub_sector": "Oil",
"underlying": "Brent Crude",
"option_model": null,
"free_risk_rate": 0.01,
"imp_vol": 0.2
},
{
"market_type": "ETD",
"position_id": "2",
"exch_acronym": "NYMEX",
"contract_code": "LO - Crude Oil Options",
"contract_type": "CALL",
"contract_id": "7e11131582ad9b29043b51698086cd18",
"expiry": "202512",
"rel_period": "0",
"last_trade_date": 20251117,
"time_to_maturity": 209,
"strike": 50,
"net_position": -1000,
"account_type": "H",
"price_date": 20250129,
"ustl_price": 67.72,
"cvf": 1000,
"is_valid": true,
"cycle_code": false,
"fxrate": 1,
"decomp_legs": [],
"closest_match_applied": [
{
"lower_bound": 0.5,
"upper_bound": 350,
"error_fields": "strike",
"closest_match": 50,
"loaded_value": 50.1,
"strike_denominator": 1
}
],
"clearing_org": "CME",
"option_type": "C",
"margin_currency": "USD",
"unit": "barrel",
"sector": "Energy",
"sub_sector": "Oil",
"underlying": "Crude Oil",
"option_model": "B76",
"free_risk_rate": 0.01,
"imp_vol": 0.2
}
]
},
{
"request_id": "0aa6a8b1-f8d4-4006-9102",
"portfolio_id": "910d938911f13d8c347fdba1e3dcc5d5",
"username": "@cumulus9.com",
"submitted_time": "2025-01-30 09:45:17.197197",
"account_code": "Account 002",
"price_date": 20250130,
"currency_code": "USD",
"initial_margin": 2150381.7,
"option_liquidation_value": 0,
"value_at_risk": 0,
"stress_loss": 0,
"additional_margin": 0,
"margin_by_ccp": [
{
"clearing_org": "EUREX_P",
"result_type": "eurexpme",
"currency_code": "EUR",
"fxrate": 0.95948,
"initial_margin": 2063248.2336687227,
"option_liquidation_value": 0,
"cross_model_offset": 0
}
],
"margin_by_contract": [
{
"clearing_org": "EUREX_P",
"result_type": "eurexpme",
"exchange": "EUREX",
"cc_code": "PEQ01",
"cc_name": "Listed Equity Index",
"sector": "Equity",
"sub_sector": "Single Name",
"currency_code": "EUR",
"fxrate": 0.95948,
"initial_margin": 2063248.2336687227,
"option_liquidation_value": 0
}
],
"margin_by_eurexpme_drilldown": [
{
"line_no": 3,
"iid": 67104574,
"product_id": "FDAX",
"contract_date": 20261218,
"maturity": 202612,
"call_put_flag": "",
"exercise_price": 0,
"version_number": "0",
"net_ls_balance": -50,
"liquidation_group": "PEQ01",
"liquidation_group_split": "PEQ01_HP3",
"component_margin": 2063248.2336687224,
"component_margin_currency": "EUR",
"premium_margin": 0,
"premium_margin_currency": "EUR"
}
],
"margin_by_eurexpme": [
{
"result_type": "eurexpme",
"clearing_org": "EUREX_P",
"exchange": "EUREX",
"currency_code": "EUR",
"liquidation_group": "PEQ01",
"liquidation_group_split": "PEQ01_HP3",
"initial_margin": 2063248.2336687227,
"market_risk": 2060662.1209639995,
"liquidity_addon": 2586.112704723063,
"long_option_credit": 0,
"time_to_expiry_adjustment": 0,
"premium_margin": 0
}
],
"portfolio": [
{
"market_type": "ETD",
"position_id": "3",
"exch_acronym": "EUREX",
"contract_code": "FDAX - DAX Index Futures",
"contract_type": "FUT",
"contract_id": "9f160777bcfb3d34137418b0cef3515e",
"expiry": "202612",
"rel_period": 8,
"last_trade_date": 20261218,
"time_to_maturity": 493,
"net_position": -50,
"account_type": "H",
"price_date": 20250129,
"stl_price": 22882,
"cvf": 25,
"is_valid": true,
"cycle_code": false,
"fxrate": 0.9593,
"decomp_legs": [],
"closest_match_applied": [],
"clearing_org": "EUREX_P",
"option_type": null,
"margin_currency": "EUR",
"unit": "x index",
"sector": "Equity",
"sub_sector": "Index",
"underlying": "DAX Index",
"option_model": null,
"free_risk_rate": 0.01,
"imp_vol": 0.2
}
]
}
],
"runtime": 1310,
"parameters": {}
}