Mapping To FIA Tech Data
FundApps uses limit data from FIA Tech to inform the Position Limits service.
There are two important FundApps Properties that are required to evaluate your positions against the limits provided by FIA Tech:
- Market - what exchange the position is traded on; given in the form of Market Identifier Code (MIC)
- CommoditySymbol - unique identifier for a given contract; also referred to as contract code
In providing Market and CommoditySymbol in the Positions File, many clients rely on a direct mapping from Bloomberg, Reuters, or another data provider. In this way, there are two data sets that interact in order to evaluate Position Limits results that FundApps displays.
For some PL implementations, the data for a majority of contracts map seamlessly between the FIA Tech and data provider (ie Bloomberg). However, there can be edge cases in which the data do not match.
Reason for data mismatch between FIA Tech and data providers
The data sets from FIA Tech and data providers each have their advantages. The differences between these data sets can also lead to data mismatches.
FIA Tech has granular contract information, including the key limit data which positions are evaluated against. In order to contain precise limit data, FIA Tech breaks down contracts down to levels which may not be used commonly in the market. In order to accomplish this, some FIA Tech contracts are given synthetic identifiers.
One example is the FTSE 100 (Z) Futures contract on the IFEU Market. In FIA Tech, this contract is given an amended IFLL-Z-F contract code, which is a more granular synthetic code than what is given by some data providers.
Data providers have market data, which is used in day to day trading. This has the advantage of being convenient, as most mappings can be done automatically.
Mismatches can occur when FIA tech has a synthetic granular code for a contract and data providers have a general code which is commonly used in trading. In the FTSE 100 (Z) Futures contract example, some data providers have used the code Z. Evaluate this against the IFLL-Z-F code from FIA, and we have a mismatch.
Mismatches are also possible on the Market data (MICs).
What to do to remedy data mismatch:
The problem is that one contract has two different identifying contract codes - one given by FIA and one given by data providers.
Ideally some kind of automated match would resolve the issue. Given that the only property to match these contracts on is the actual contract name itself, this is usually not possible for the small number of edge cases.
The solution is a manual lookup and matching process. FundApps can provide a list of Market and contract code mappings to implementing clients. You can then identify the relevant contract code for each mismatched position based on the contract name. To complete the setup, create a data override setting CommoditySymbol equal to the relevant FIA code for that position.
Using the example above, a client position from the data provider would display the name FTSE 100 (Z) Futures, with the data provider symbol Z and Market IFEU. Looking at contracts on IFEU, you can identify the FTSE 100 (Z) Futures contract and find its relevant FIA contract code - IFLL-Z-F. This contract code can be set on this instrument using a data override.