Factset Derivative API

openapi: 3.0.3
info:
  title: Factset Analytics Datastore About Derivative API
  description: Allow clients to fetch precalculated Analytics through predeterministic URLs.
  contact:
    name: FactSet Research Systems
    url: https://developer.factset.com/contact
    email: api@factset.com
  license:
    name: Apache License, Version 2.0
    url: https://www.apache.org/licenses/LICENSE-2.0
  version: 1.0.0
servers:
- url: https://api.factset.com
  description: Production
- url: https://api-sandbox.factset.com
  description: Sandbox
security:
- basicAuth: []
tags:
- name: Derivative
paths:
  /securitizedDerivative/get:
    get:
      tags:
      - Derivative
      operationId: get/securitizedDerivative/get
      x-supportsOffsetBasedPaging: false
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 10
      x-supportsPermissionDeniedResponse: false
      summary: Factset Fundamental Data for a Single Securitized Derivative.
      description: Fundamental data for a single securitized derivative. Dates are interpreted in the timezone of the issuer.
      parameters:
      - name: id
        in: query
        schema:
          type: string
          format: id64
          x-positive: true
          description: Identifier of the instrument.
        required: true
      - name: _attributes
        in: query
        schema:
          type: array
          items:
            type: string
            maxLength: 100
            exclusiveMaximum: false
          uniqueItems: true
          maxItems: 50
        style: form
        explode: false
        description: Limit the attributes returned in the response to the specified set.
      - name: _language
        in: query
        schema:
          type: string
          format: isoLanguage
          description: ISO 639-1 code of the language.
          maxLength: 2
          minLength: 2
          exclusiveMinimum: false
          exclusiveMaximum: false
      responses:
        '200':
          $ref: '#/components/responses/GetSecuritizedDerivativeGet200Response'
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
  /securitizedDerivative/barrier/type/list:
    get:
      tags:
      - Derivative
      operationId: get/securitizedDerivative/barrier/type/list
      x-supportsOffsetBasedPaging: false
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 10
      x-supportsPermissionDeniedResponse: false
      summary: Factset List of Barrier Types.
      description: List of barrier types.
      responses:
        '200':
          $ref: '#/components/responses/GetSecuritizedDerivativeBarrierTypeList200Response'
      parameters:
      - name: _attributes
        in: query
        schema:
          type: array
          items:
            type: string
            maxLength: 100
            exclusiveMaximum: false
          uniqueItems: true
          maxItems: 50
        style: form
        explode: false
        description: Limit the attributes returned in the response to the specified set.
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
  /securitizedDerivative/issuer/search:
    post:
      tags:
      - Derivative
      operationId: post/securitizedDerivative/issuer/search
      x-supportsOffsetBasedPaging: false
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 10
      x-supportsPermissionDeniedResponse: false
      summary: Factset Search for Issuers of Securitized Derivatives.
      description: Search for issuers of securitized derivatives, including issuer groups, which do not represent actual juristic persons, but are defined by FactSet to facilitate searching. FactSet does not consolidate the data provided by different suppliers, therefore the result may contain more than one identifier for a given issuer. The response is limited to 100 results.
      requestBody:
        content:
          application/json:
            schema:
              $ref: '#/components/schemas/PostSecuritizedDerivativeIssuerSearchRequest'
      responses:
        '200':
          $ref: '#/components/responses/PostSecuritizedDerivativeIssuerSearch200Response'
      parameters: []
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
  /securitizedDerivative/keyFigures/notation/get:
    get:
      tags:
      - Derivative
      operationId: get/securitizedDerivative/keyFigures/notation/get
      x-supportsOffsetBasedPaging: false
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 10
      x-supportsPermissionDeniedResponse: false
      summary: Factset Notation-based Key Figures of a Securitized Derivative.
      description: "Notation-based key figures of a securitized derivative. Not all key figures are applicable and/or calculated for all types of securitized derivatives. Following, some frequently used references: \n\nCover ratio - see attribute `underlyings.coverRatio` in endpoint `/securitizedDerivative/underlying/list`.\n\nVarious barrier types (e.g. strike, knock in) - see endpoint `/securitizedDerivative/barrier/type/list`.\n\nExercise right - see attribute `exercise.right` in endpoint `/securitizedDerivative/get`.\n\nIssue price - see attribute `issue.price` in endpoint `/securitizedDerivative/get`.\n\nAsk price - see attribute `prices.ask`.\n\nBid price - see attribute `prices.bid`."
      parameters:
      - name: id
        in: query
        schema:
          type: string
          format: id64
          x-positive: true
          description: Identifier of a notation.
        required: true
      - name: _attributes
        in: query
        schema:
          type: array
          items:
            type: string
            maxLength: 100
            exclusiveMaximum: false
          uniqueItems: true
          maxItems: 50
        style: form
        explode: false
        description: Limit the attributes returned in the response to the specified set.
      - name: _language
        in: query
        schema:
          type: string
          format: isoLanguage
          description: ISO 639-1 code of the language.
          maxLength: 2
          minLength: 2
          exclusiveMinimum: false
          exclusiveMaximum: false
      responses:
        '200':
          $ref: '#/components/responses/GetSecuritizedDerivativeKeyFiguresNotationGet200Response'
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
  /securitizedDerivative/notation/ranking/intraday/list:
    post:
      tags:
      - Derivative
      operationId: post/securitizedDerivative/notation/ranking/intraday/list
      x-supportsOffsetBasedPaging: true
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 5
      x-supportsPermissionDeniedResponse: false
      summary: Factset Ranking of Securitized Derivatives' Notations Using Intraday Figures.
      description: 'Ranking of securitized derivatives'' notations using intraday figures. The result is limited to 100 notations that all must satisfy all selected filters. If more than one notation of an instrument matches the parameters, and no market priority has been specified, the selection of the notation depends on the sort attribute:

        - absolute and relative performance (see the response attributes `trade.performance.absolute` and `trade.performance.relative`) - the notation with the most recent trade price is used

        - number trades, trading value and trading volume (see the response attributes `accumulated.numberTrades`, `accumulated.tradingVolume` and `accumulated.tradingValue`) - the notation with highest (lowest) value is used


        By default, the result is sorted descending by the relative intraday performance corresponding to the most recent trade price, see attribute `trade.performance.relative`. The result may contain sortable values based on different currencies, possibly making the ranking nonsensical, if the parameters `valueUnit` and/or `currency` have not been specified.


        The search can be restricted to a specific set of products by using customer-specific instrument or notation lists. Such restriction lists are set up by FactSet upon request.


        All identifiers used as parameters must be valid and entitled.'
      requestBody:
        content:
          application/json:
            schema:
              $ref: '#/components/schemas/PostSecuritizedDerivativeNotationRankingIntradayListRequest'
      responses:
        '200':
          $ref: '#/components/responses/PostSecuritizedDerivativeNotationRankingIntradayList200Response'
      parameters: []
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
  /securitizedDerivative/notation/screener/valueRanges/get:
    post:
      tags:
      - Derivative
      operationId: post/securitizedDerivative/notation/screener/valueRanges/get
      x-supportsOffsetBasedPaging: false
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 10
      x-supportsPermissionDeniedResponse: false
      summary: Factset Possible Values and Value Ranges for the Parameters Used in the Endpoint `/securitizedderivative/notation/screener/search`.
      description: "The endpoint returns the possible values and value ranges for the parameters used in the endpoint `/securitizedDerivatives/notation/screener/search`. It allows to request the values and value ranges only for a restricted set of notations that match predefined parameters. If more than one notation of an instrument matches the parameters, and no market priority has been specified, only the notation with the highest trading volume, averaged over one month, is considered. The functionality may be used to pre-fill the values and value ranges of the parameters of the `/securitizedDerivatives/notation/screener/search` endpoint so that performing a search always leads to a non-empty list of notations. Lists of distinct values, e.g. identifiers, are sorted descending by the number of notations for each value.\n\n Since some underlyings, e.g. an index or a performance difference of a stock and an index (alpha structure), do not represent a directly tradable asset, they do not have a price in the classical\nsense. Therefore, the term \"level\" is used instead of \"price\", e.g. underlying level instead of underlying price.\n\n The endpoint does not support possible values and value ranges for securitized derivatives with multiple underlyings, thus only securitized derivatives with a single underlying are considered.\n\n The possible values and value ranges can be restricted to a specific set of products by using customer-specific instrument or notation lists. Such restriction lists are set up by FactSet upon request."
      requestBody:
        content:
          application/json:
            schema:
              $ref: '#/components/schemas/PostSecuritizedDerivativeNotationScreenerValueRangesGetRequest'
      responses:
        '200':
          $ref: '#/components/responses/PostSecuritizedDerivativeNotationScreenerValueRangesGet200Response'
      parameters: []
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
  /securitizedDerivative/notation/screener/search:
    post:
      tags:
      - Derivative
      operationId: post/securitizedDerivative/notation/screener/search
      x-supportsOffsetBasedPaging: true
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 10
      x-supportsPermissionDeniedResponse: false
      summary: Factset Screener for Securitized Derivatives's Notations Based on Securitized Derivatives-specific Parameters.
      description: "Screener for securitized derivatives's notations based on securitized derivatives-specific parameters. The result is limited to the notations that satisfy all the selected filters. If more than one notation of an instrument matches the parameters, and no market priority has been specified, only the notation with the highest trading volume, averaged over one month, is considered. All identifiers used as parameters must be valid and entitled.\n\n Since some underlyings, e.g. an index or a performance difference of a stock and an index (alpha structure), do not represent a directly tradable asset, they do not have a price in the classical\nsense. Therefore, the term \"level\" is used instead of \"price\", e.g. underlying level instead of underlying price.\n\n The endpoint does not support the search for securitized derivatives with multiple underlyings, thus only securitized derivatives with a single underlying are returned in the result.\n\n The search can be restricted to a specific set of products by using customer-specific instrument or notation lists. Such restriction lists are set up by FactSet upon request."
      requestBody:
        content:
          application/json:
            schema:
              $ref: '#/components/schemas/PostSecuritizedDerivativeNotationScreenerSearchRequest'
      responses:
        '200':
          $ref: '#/components/responses/PostSecuritizedDerivativeNotationScreenerSearch200Response'
      parameters: []
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
  /securitizedDerivative/underlying/list:
    get:
      tags:
      - Derivative
      operationId: get/securitizedDerivative/underlying/list
      x-supportsOffsetBasedPaging: false
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 10
      x-supportsPermissionDeniedResponse: false
      summary: Factset List of Underlyings With Barrier and Cash Flow Information.
      description: Provides details regarding the underlyings, their respective barriers and related cash flows (if any) of a securitized derivative. A unique combination of a cash flow and related barrier modalities, such as observation and level, is called a condition. In case of a securitized derivative with multiple underlyings, a condition comprises the respective barriers of all underlyings participating in that condition. Since some underlyings, e.g. an index or a performance difference of a stock and an index (alpha structure), do not represent a directly tradable asset, they do not have a price in the classical sense. Therefore, the term "level" is used instead of "price", e.g. underlying level instead of underlying price.
      parameters:
      - name: id
        in: query
        schema:
          type: string
          format: id64
          x-positive: true
          description: Identifier of an instrument.
        required: true
      - name: _attributes
        in: query
        schema:
          type: array
          items:
            type: string
            maxLength: 100
            exclusiveMaximum: false
          uniqueItems: true
          maxItems: 50
        style: form
        explode: false
        description: Limit the attributes returned in the response to the specified set.
      - name: _language
        in: query
        schema:
          type: string
          format: isoLanguage
          description: ISO 639-1 code of the language.
          maxLength: 2
          minLength: 2
          exclusiveMinimum: false
          exclusiveMaximum: false
      responses:
        '200':
          $ref: '#/components/responses/GetSecuritizedDerivativeUnderlyingList200Response'
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
components:
  schemas:
    PartialOutputObject:
      type: object
      properties:
        isPartial:
          type: boolean
          description: Flag indicating that the response is a possibly incomplete array or an object containing a possibly incomplete array, due to hitting a processing time limit. If `true`, some matching results might be missing from the array, or elements for matching results might be incorrectly included (for example, when priority sorting would have removed the element). Depending on the use case, such a response may be unsuitable.
          example: true
      description: Object denoting that the endpoint response is possibly incomplete.
      required:
      - isPartial
      x-property-sort:
      - isPartial
    AttributesMember:
      type: array
      description: Limit the attributes returned in the response to the specified set.
      items:
        type: string
        maxLength: 100
        exclusiveMaximum: false
      maxItems: 50
      uniqueItems: true
    PostSecuritizedDerivativeIssuerSearchRequest:
      type: object
      properties:
        data:
          type: object
          x-property-sort:
          - role
          - name
          - category
          - underlying
          - factorCertificates
          - registrationCountry
          - market
          description: The data member contains the request's primary data.
          properties:
            role:
              type: string
              description: Specify whether legal entities in the role of an issuer or in the role of an issuer group are returned.
              default: issuerGroup
              x-enum-description:
              - Legal entities defined by FactSet and thus not representing an actual juristic person.
              - Legal entities in the role of an issuer representing an actual juristic person.
              enum:
              - issuerGroup
              - issuer
            name:
              type: object
              x-property-sort:
              - searchValue
              description: Issuer name.
              properties:
                searchValue:
                  type: string
                  pattern: ^[ -!#-&(-+--/0-:=?-Za-zw"]*$
                  minLength: 3
                  exclusiveMinimum: false
                  maxLength: 100
                  exclusiveMaximum: false
                  description: Text string to be searched for.
            category:
              type: object
              x-property-sort:
              - ids
              description: List of categories of securitized derivatives. Only issuers that have issued securitized derivatives belonging to at least one category in the provided list are returned.
              properties:
                ids:
                  type: array
                  nullable: false
                  items:
                    type: number
                    format: id32
                    x-positive: true
                  maxItems: 20
                  uniqueItems: true
                  description: List of category identifiers. See endpoint `/category/listBySystem` for category systems 18 and 23 for valid values.
            underlying:
              type: object
              x-property-sort:
              - instrument
              description: List of underlyings of securitized derivatives. Only issuers that have issued at least one securitized derivative on an underlying in the provided list are returned.
              properties:
                instrument:
                  type: object
                  x-property-sort:
                  - ids
                  description: Underlying instrument.
                  properties:
                    ids:
                      type: array
                      nullable: false
                      items:
                        type: string
                        format: id64
                        x-positive: true
                      maxItems: 100
                      uniqueItems: true
                      description: List of instrument identifiers.
            factorCertificates:
              type: object
              x-property-sort:
              - effectiveUnderlying
              description: Parameters for factor certificates.
              properties:
                effectiveUnderlying:
                  type: object
                  x-property-sort:
                  - instrument
                  description: Selection of the effective underlying. The underlying of a factor certificate is usually a factor index which is an artificial index used to calculate the leveraged daily performance of another financial instrument called its effective underlying. Only issuers that have issued at least one factor certificate on an effective underlying in the provided list are returned.
                  properties:
                    instrument:
                      type: object
                      x-property-sort:
                      - ids
                      description: Selection of the effective underlying using instrument identifiers.
                      properties:
                        ids:
                          type: array
                          nullable: false
                          items:
                            type: string
                            format: id64
                            x-positive: true
                          maxItems: 100
                          uniqueItems: true
                          description: List of instrument identifiers.
            registrationCountry:
              type: object
              x-property-sort:
              - ids
              description: List of countries of registration for trading of securitized derivatives. Only issuers that have registered at least one securitized derivative in a country in the provided list are returned.
              properties:
                ids:
                  type: array
                  nullable: false
                  items:
                    type: number
                    format: id32
                    x-positive: true
                  maxItems: 20
                  uniqueItems: true
                  description: List of country identifiers. See endpoint `/basic/region/country/list` for valid values.
            market:
              type: object
              x-property-sort:
              - ids
              description: List of markets where securitized derivatives are traded. Only issuers that have issued at least one securitized derivative traded on a market in the provided list are returned.
              properties:
                ids:
                  type: array
                  nullable: false
                  items:
                    type: number
                    format: id32
                    x-positive: true
                  maxItems: 20
                  uniqueItems: true
                  description: List of market identifiers. See endpoint `/basic/market/list` for valid values.
          example: example_value
        meta:
          type: object
          description: The meta member contains the meta information of the request.
          properties:
            attributes:
              $ref: '#/components/schemas/AttributesMember'
          x-property-sort:
          - attributes
          example: example_value
    LanguageMember:
      type: string
      format: isoLanguage
      description: ISO 639-1 code of the language.
      maxLength: 2
      minLength: 2
      exclusiveMinimum: false
      exclusiveMaximum: false
    PostSecuritizedDerivativeNotationScreenerSearchRequest:
      type: object
      properties:
        data:
          type: object
          x-property-sort:
          - validation
          - category
          - registrationCountry
          - lifeCycle
          - issuer
          - exercise
          - settlement
          - collateralized
          - quanto
          - capitalProtection
          - underlying
          - cashFlowCurrency
          - singleBarriers
          - rangeBarriers
          - factorCertificates
          - nominalCurrency
          - currentInterestRate
          - keyFigures
          - performance
          - volatility
          description: The data member contains the request's primary data.
          properties:
            validation:
              description: Validation parameters.
              type: object
              x-property-sort:
              - onlyActive
              - prices
              - valueUnit
              - market
              - instrumentRestrictionList
              - notationRestrictionList
              properties:
                onlyActive:
                  description: If `true`, only active notations will be returned. The term "active" reflects the fact that notations and related data is not being deleted immediately after becoming irrelevant (e.g. because the source does not provide a price anymore), but remains in general retrievable for up to 6 months.
                  type: boolean
                  default: true
                prices:
                  description: Price-related parameters.
                  type: object
                  x-property-sort:
                  - quality
                  - latest
                  - previous
                  properties:
                    quality:
                      type: string
                      description: Quality of the price.
                      default: DLY
                      x-enum-description:
                      - 'Delayed: intraday prices with an exchange-imposed delay of usually 15 to 30 minutes.'
                      - 'End-of-day: prices updated once per day after the close of trading, possibly with an exchange-imposed delay of several hours or days.'
                      enum:
                      - DLY
                      - EOD
                    latest:
                      description: Parameters related to the presence and age of the most recent trade price.
                      type: object
                      x-property-sort:
                      - availableOnly
                      - minimumDate
                      properties:
                        availableOnly:
                          description: If `true`, only notations for which a trade price (even an outdated one) is available will be returned.
                          type: boolean
                        minimumDate:
                          description: Earliest admissible date of the most recent trade price.
                          type: string
                          format: date
                    previous:
                      description: Parameters related to the presence and age of a trade price from a preceding trading day.
                      type: object
                      x-property-sort:
                      - availableOnly
                      - minimumDate
                      properties:
                        availableOnly:
                          description: If `true`, only notations for which a trade price from a preceding trading day is available will be returned.
                          type: boolean
                        minimumDate:
                          description: Earliest admissible date of the trade price from a preceding trading day.
                          type: string
                          format: date
                valueUnit:
                  description: Value unit-related parameters. See endpoint `/basic/valueUnit/list` for valid values.
                  type: object
                  x-property-sort:
                  - selection
                  properties:
                    selection:
                      description: Value unit selection.
                      type: object
                      x-property-sort:
                      - restrict
                      - exclude
                      x-atMostOne: true
                      properties:
                        restrict:
                          description: Specifies the value units a notation may have.
                          type: object
                          x-property-sort:
                          - ids
                          properties:
                            ids:
                              description: Set of value unit identifiers.
                              type: array
                              nullable: false
                              items:
                                type: number
                                format: id32
                                x-positive: true
                              uniqueItems: true
                              maxItems: 100
                        exclude:
                          description: Specifies the value units a notation may not have.
                          type: object
                          x-property-sort:
                          - ids
                          properties:
                            ids:
                              description: Set of value unit identifiers.
                              type: array
                              nullable: false
                              items:
                                type: number
                                format: id32
                                x-positive: true
                              uniqueItems: true
                              maxItems: 100
                market:
                  description: Market-related notation selection. See endpoint `/basic/market/list` for valid values.
                  type: object
                  x-property-sort:
                  - selection
                  - priority
                  properties:
                    selection:
                      description: Market selection.
                      type: object
                      x-property-sort:
                      - restrict
                      - exclude
                      x-atMostOne: true
                      properties:
                        restrict:
                          description: Specifies the markets from which a notation may originate.
                          type: object
                          x-property-sort:
                          - ids
                          properties:
                            ids:
                              description: Set of market identifiers.
                              type: array
                              nullable: false
                              items:
                                type: number
                                format: id32
                                x-positive: true
                              uniqueItems: true
                              maxItems: 100
                        exclude:
                          description: Specifies the markets from which a notation may not originate.
                          type: object
                          x-property-sort:
                          - ids
                          properties:
                            ids:
                              description: Set of market identifiers.
                              type: array
                              nullable: false
                              items:
               

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