API documentation

Configuration

Packages

The following code snippets contain the required packages to call Systemathics API and and the optional packages depending on the queryind sample such as csv extraction, graphs plotting, etc.
The are two types of packages:

Systemathics packages: to call Systemathics API services and types.
Open-source packages: to call google types, grpc features and other capabilities such as graph plotting and data extraction.

                  
# open source commonly used modules
import os
import grpc
import pandas as pd
from datetime import datetime
from datetime import timedelta
import google.type.date_pb2 as date
import google.type.timeofday_pb2 as timeofday
import google.type.dayofweek_pb2 as dayofweek
import google.protobuf.duration_pb2 as duration

# systemathics required modules to call API services 
# ex of api_service: tick_trades, tick_bars, daily_bars, dividends, splits, static_data, components...
# ex of api_service_group: tick, tick_analytics, daily, daily_analytics, corporate_actions, static_data, indices...
import systemathics.apis.services.api_service_group.v1.api_service_pb2 as api_service
import systemathics.apis.services.api_service_group.v1.api_service_pb2_grpc as api_service_grpc

# systemathics required modules to call API types 
# ex of my_type: identifier, level, date_interval, time_interval, constraints...
import systemathics.apis.type.shared.v1.api_type as api_type

# open source packages for graph plotting
import mplfinance as mpf
import plotly.graph_objects as go

                  
// Systemathics packages required to call API types
using Systemathics.Apis.Type.Shared.V1;

// Systemathics packages required to call API services
// ex of ApiServiceGroup: Tick, Daily, TickAnalytics, DailyAnalytics, StaticData, CorporateActions, Indices...
using Systemathics.Apis.Services.ApiServiceGroup.V1;

// Open source packages required for google types
using Google.Protobuf.WellKnownTypes;
using Google.Type;

// Open source packages required for grpc
using Grpc.Net.Client;
using Grpc.Core;

// Open source packages required for graph plotting
using XPlot.Plotly;
using XPlot.Plotly.Interactive;

// Open source packages required for csv handling
using CsvHelper;
using System.IO;
using System.Globalization;

Channel

The following code snippets describe how to open an API channel:

                  
# open a gRPC channel
credentials = grpc.ssl_channel_credentials()
with grpc.secure_channel("apis.ganymede.cloud", credentials) as channel:
  # instantiate the service and specify API entry
  # ex: TickTradesServiceStub as per ApiServiceStub and tick_trades_grpc as per api_service_grpc to retrieve trades tick data
  my_service = api_service_grpc.ApiServiceStub(channel)
  # process the request
  # ..

                  
// Define API entry
var channel = GrpcChannel.ForAddress("https://apis.ganymede.cloud");

// Instantiate the service and specify API entry
// ex: TickTradesServiceClient as per ApiServiceClient and TickTradesService as per ApiService to retrieve trades tick data
var myService = new ApiService.ApiServiceClient(channel);

Authentication

Systemathics authenticates your API requests using your account’s API tokens.

If you are using Ganymede, API tokens are directly added to your environement. Check out our GitHub samples.

If you are are working locally, you need to retrieve your api token first. See Working locally.

To call the API, you must pass an API token with each request. If you do not include your API token when making an API request, or use one that is incorrect or disabled, an error is returned.

Protecting API tokens:

Do not store API tokens in source control applications.

If you store API tokens in files, keep the files outside your source control applications. This is particularly important if you use a public source code management application such as GitHub.

API tokens configuration:

                    
# retrieve authentication token
token = f"Bearer {os.environ['AUTH0_TOKEN']}"

# store token to be added for future API requests
my_metadata = [('authorization', token)]

# process the request (ex: daily bars service)
my_reply = my_service.DailyBars(request = my_request, metadata = my_metadata)

                    
// Retrieve authentication token
var token = System.Environment.GetEnvironmentVariable("AUTH0_TOKEN");

// Store token to be added for future API requests
var headers = new Metadata();
headers.Add("Authorization", $"Bearer {token}");

// ...

// Process request
var myReply = myService.DailyBars(myRequest, headers);

API Authentication

Using API Authentification provides lots of flexibility:

You are using your own hardware.

If you want to try some machine learning model and want to use you own GPU.

You are using your own tools.

If you want to use a private package of your company not available publicly or store your code in a private source code repository.

Do not embed client id and client secret directly in code.

Use environment variables or include files to store API client id and client secret separately from the bulk of your code. Then, if you share your code, the API keys will not be included in the shared files.

Get your token :

Create a new token or retreive an existing one from your Dashboard

You need to store securely your client id and client secret. ⚠️ Client secret will be displayed only once.

You will also need :

Tenant information. This provides the endpoint you will be using.
Audience information. This provides correct rights for you token to query apis

Get API tokens locally:

                    
# Import libraries
import os
import http.client
import json

# Set variables (client_id, client_secret, audience, tenant) locally
client_id = os.environ.get("YOUR ENV VAR FOR CLIENT ID")
client_secret = os.environ.get("YOUR ENV VAR FOR CLIENT SECRET")
audience = "https://-----"
tenant = "---.auth0.com"

# Setup connection and payload
conn = http.client.HTTPSConnection(tenant)
headers = { 'content-type': "application/json" }
params = {"client_id": client_id, "client_secret": client_secret, "grant_type" : "client_credentials", "audience": audience }
payload = json.dumps(params)

# Send Request
conn.request("POST", "/oauth/token", payload, headers)
res = conn.getresponse()
data = res.read()
json_data =  json.loads(data.decode("utf-8"))
                      
# Get access token to be used to authenticate against API
token = f"{json_data['token_type']} {json_data['access_token']}"
print(token)

                    
// Open namespaces
using System;
using System.Net.Http;
using System.Net.Http.Json;
using System.Text.Json;

// Set variables (clientId, clientSecret, audience, tenant) locally
var clientId = Environment.GetEnvironmentVariable("YOUR ENV VAR FOR CLIENT ID");
var clientSecret = Environment.GetEnvironmentVariable("YOUR ENV VAR FOR CLIENT SECRET");
var audience = "https://-----";
var tenant = "---.auth0.com";

// Setup HttpClient and Payload
var client = new HttpClient { BaseAddress = new Uri($"https://{tenant}") };
var payload = new { client_id = clientId, client_secret = clientSecret, grant_type = "client_credentials", audience = audience };

// Send Request
var response  = await client.PostAsJsonAsync("/oauth/token", payload);
var jsonData = await JsonSerializer.DeserializeAsync(await response.Content.ReadAsStreamAsync());

// Get access token to be used to authenticate against API
var token = $"{jsonData.token_type} {jsonData.access_token}";
Console.WriteLine(token);

// Helper class to deserialize Json
public class TokenResponse
{
    public string access_token { get; set; }
    public string scope { get; set; }
    public int expires_in { get; set; }
    public string token_type { get; set; }
}

Request parameters

Depending on the service called, a set of input parameters is required. Most commonly used parameters are as follows:

Instrument identifier

Used to define the watchlist.

                  
# import required module to handle identifier
import systemathics.apis.type.shared.v1.identifier_pb2 as identifier

# option1: generate a single-instrument data request (ex: daily bars service)
identifier = identifier.Identifier( exchange = 'XNGS', ticker = 'AAPL' )
request = daily_bars.DailyBarsRequest( identifier = identifier )

# option2: generate a multi-instruments data request (ex: tick trades service)
identifier1 = identifier.Identifier( exchange = 'XNGS', ticker = 'GME' )
identifier2 = identifier.Identifier( exchange = 'XNGS', ticker = 'TSLA' )
request = tick_trades.TickTradesRequest( identifiers = [identifier1, identifier2] )

                  
// Import required package to handle identifier
using Systemathics.Apis.Type.Shared.V1;

// Option1: Generate a single-instrument data request (ex: daily bars service)
var identifier = new Identifier { Exchange = "XNGS", Ticker = "AAPL"};
var request = new DailyBarsRequest { Identifier = identifier };

// Option2: Generate a multi-instruments data request (ex: tick trades service)
var identifier1 = new Identifier { Exchange = "XNGS", Ticker = "GME"};
var identifier2 = new Identifier { Exchange = "XNGS", Ticker = "TSLA"};
var request = new TickTradesRequest { };
request.Identifiers.Add(new [] {identifier1, identifier2});

Constraints

Used to delimit the look back period.

                  
# set the request date interval (using Google type)
today = datetime.today()
date_interval = dateinterval.DateInterval(
  start_date = date.Date(year = 2021, month = 1, day = 1), 
  end_date= date.Date(year = today.year, month = today.month, day = today.day)
)

# set days to exclude (ex: week-end)
excluded_days = [ dayofweek.SATURDAY, dayofweek.SUNDAY ]

# set the request UTC time interval (using Google type)
time_interval = timeinterval.TimeInterval(
  start_time = timeofday.TimeOfDay(hours = 14, minutes = 0, seconds = 0), 
  end_time = timeofday.TimeOfDay(hours = 20, minutes = 0, seconds = 0)
)

# generate constraints based on previous time selection
my_constraints = constraints.Constraints(
  date_intervals = [date_interval],
  time_intervals = [time_interval],
  excluded_days = excluded_days,
  excluded_dates = []
)

                  
// Create time intervals (ex: 50 days until yesterday)
var yesterday = DateTime.Today.AddDays(-1);
var start = yesterday.AddDays(-50);

// Set the request date interval (using Google type)
var dateIntervals = new DateInterval()
{
  StartDate = new Date { Year = start.Year, Month = start.Month, Day = start.Day },
  EndDate = new Date { Year = yesterday.Year, Month = yesterday.Month, Day = yesterday.Day }
};

// Set days to exclude (ex: week-end)
var excludedDays = new[] { DayOfWeek.Saturday, DayOfWeek.Sunday };

// Set the request UTC time interval (using Google type)
var timeInterval = new TimeInterval()
{
  StartTime = new TimeOfDay { Hours = 12, Minutes = 00, Seconds = 00 },
  EndTime = new TimeOfDay { Hours = 20, Minutes = 30, Seconds = 00 } 
};

// Generate constraints based on previous time selection
var constraints = new Constraints(); 
constraints.DateIntervals.Add(dateIntervals);
constraints.ExcludedDays.Add(excludedDays);
constraints.TimeIntervals.Add(timeInterval);

Level

Used to specify whether the request scope includes only trades or trades and book limits.

                  
# option1:  set Trades and Book limits as per level value
level = level.LEVEL_TRADES_AND_BOOK

# option2: set only Trades as per level value
level = level.LEVEL_TRADES

# generate the data request (ex: topology service)
request = topologies.TopologiesRequest( level = level )

                  
// Option1:  set Trades and Book limits as per level value
var level = Level.TradesAndBook;

// Option2: set only Trades as per level value
var level = Level.Trades;

// generate the data request (ex: topology service)
var request = new TopologiesRequest { Level = level };

Response formats

Depending on the service called, response can be retrieved in two different ways as follows:

A non-streamed response: the client sends an API request and waits for a response to come back, just like a normal function call.
A streamed response: the client sends an API request and gets a stream to read a sequence of messages back. The client reads from the returned stream until there are no more messages.

                  
# non-streamed reply: get directly the reply (ex: static data service)          
my_reply = my_service.StaticData(request = my_request, metadata = my_metadata)


# streamed reply: iterate the response to get the whole reply (ex: tick trades service)            
for current in my_service.TickTrades(request = my_request, metadata = my_metadata):

  # process the current message
  # ...

                  
// Non-streamed response: get directly the reply (ex: static data service) 
var reply = myService.StaticData(referenceDataRequest, headers);
var equities = reply.Equities;


// Streamed reply: iterate the response to get the whole reply (ex: tick trades service)
var call = myService.TickTrades(marketDataRequest, headers);
while (await call.ResponseStream.MoveNext())
{
    // Process the current message
    var currentMessage = call.ResponseStream.Current;

    // ...
}

Request creation

Request creation follows three main steps:

Instantiate the service
Generate the request
Process the response

                  
# generate the chosen API request (ex: daily bars service)   
my_request = daily_bars.DailyBarsRequest(
  # set request parameters
  # ..
)

# instantiate the chosen API service (ex: daily bars service) 
my_service = daily_bars_grpc.DailyBarsServiceStub(channel)

# get the reply by processing the returned object (ex: daily bars service)
my_reply = my_service.DailyBars( request = my_request, metadata = my_metadata)

                  
// Generate the chosen API request (ex: daily bars service) 
var myRequest = new DailyBarsRequest() {
   // Request parameters
   // ..
};

// Instantiate the chosen API service (ex: daily bars service) 
var myService = new DailyBarsService.DailyBarsServiceClient(channel);

// Get the reply by processing the returned object (ex: daily bars service) 
var myReply = myService.DailyBars(myRequest, headers);

Updates

Equities sectors classification
December 12, 2021
Enables to retrieve sector classification information for a given watchlist in addition to reference data. Check out StaticSectorService.
Tick trade conditions
November 8, 2021
This update allows to retrieve trades conditions for a given exchange. Enables trade conditions filtering in Tick APIs: data and analytics
Vwaps streamed in tick bars
October 7, 2021
Tick bars endpoint now streams vwap in addition to others bars data. Go through TickBarsService
Indices' components and weights
May 11, 2021
New endpoint added to retrieve indices' components and weights. See ComponentsService.
Static data update: indices
June 25, 2021
Added main indices to available reference data : Use StaticDataService to retrieve index data.
Level selection: trades and book
May 3, 2021
Stream renamed into Level: to select only Trades or Trades and Book limits for a given data request.

Services

date

Represents a whole or partial calendar date, e.g. a birthday. The time of day and time zone are either specified elsewhere or are not significant.
The date is relative to the Proleptic Gregorian Calendar. This can represent:
- A full date, with non-zero year, month and day values
- A month and day value, with a zero year, e.g. an anniversary
- A year on its own, with zero month and day values
- A year and month value, with a zero day, e.g. a credit card expiration date
Related types are google.type.TimeOfDay and google.type.DayOfWeek.

Date Message

Contains the date.

Field Name: year
Field Description: Year of date. Must be from 1 to 9999, or 0 if specifying a date without a year
Field Type: int32
Field is Repeated ?: No

Field Name: month
Field Description: Month of year. Must be from 1 to 12, or 0 if specifying a year without a month and day
Field Type: int32
Field is Repeated ?: No

Field Name: day
Field Description: Day of month. Must be from 1 to 31 and valid for the year and month, or 0 if specifying a year by itself or a year and month where the day is not significant.
Field Type: int32
Field is Repeated ?: No

dayofweek

Represents a day of week.

DayOfWeek Enum

Contains the day of week values.

Number	Name	Description
0	DAY_OF_WEEK_UNSPECIFIED	The unspecified day-of-week
1	MONDAY	The day-of-week of Monday
2	TUESDAY	The day-of-week of Tuesday
3	WEDNESDAY	The day-of-week of Wednesday
4	THURSDAY	The day-of-week of Thursday
5	FRIDAY	The day-of-week of Friday
6	SATURDAY	The day-of-week of Saturday
7	SUNDAY	The day-of-week of Sunday

timeofday

Represents a time of day. The date and time zone are either not significant or are specified elsewhere. An API may choose to allow leap seconds.
Related types are google.type.Date and google.type.DayOfWeek.

TimeOfDay Message

Field Name: hours
Field Description: Hours of day in 24 hour format. Should be from 0 to 23. An API may choose to allow the value “24:00:00” for scenarios like business closing time.
Field Type: int32
Field is Repeated ?: No

Field Name: minutes
Field Description: Minutes of hour of day. Must be from 0 to 59.
Field Type: int32
Field is Repeated ?: No

Field Name: seconds
Field Description: Seconds of minutes of the time. Must normally be from 0 to 59. An API may allow the value 60 if it allows leap-seconds.
Field Type: int32
Field is Repeated ?: No

Field Name: nanos
Field Description: Fractions of seconds in nanoseconds. Must be from 0 to 999,999,999.
Field Type: int32
Field is Repeated ?: No

changes

Up-to-date symbol changes annoucements including effective date, old and new symbols.

ChangesService Service

Called to request symbol changes data.

Name: Changes
Description: Gets symbol changes historical data
Packages: systemathics.apis.services.corporate_actions.v1; systemathics.apis.type.shared.v1
Input: ChangesRequest
Output: ChangesResponse
Output Streaming: No

Change Message

Contains the symbol changes data: date, old and new symbols.

Field Name: date
Field Description: Effective date
Field Type: Date
Field is Repeated ?: No

Field Name: new_symbol
Field Description: New symbol
Field Type: string
Field is Repeated ?: No

Field Name: old_symbol
Field Description: Old symbol
Field Type: string
Field is Repeated ?: No

Field Name: score
Field Description: The data quality scoring : from 0 (bad) to 100 (good)
Field Type: double
Field is Repeated ?: No

ChangesRequest Message

The required input to request the ChangesService

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

ChangesResponse Message

Represents a change response.

Field Name: data
Field Description: The changes: an array of symbol change objects
Field Type: Change
Field is Repeated ?: Yes

dividends

Up-to-date dividend annoucements including effective date, dividend type and amount.

DividendsService Service

Called to request dividends data.

Name: Dividends
Description: Gets dividends historical data
Packages: systemathics.apis.services.corporate_actions.v1; systemathics.apis.type.shared.v1
Input: DividendsRequest
Output: DividendsResponse
Output Streaming: No

Dividend Message

Contains the dividends data: date, type and amount.

Field Name: date
Field Description: Effective payment date
Field Type: Date
Field is Repeated ?: No

Field Name: type
Field Description: Dividend type
Field Type: DividendType
Field is Repeated ?: No

Field Name: amount
Field Description: Dividend amount
Field Type: double
Field is Repeated ?: No

Field Name: score
Field Description: The data quality scoring : from 0 (bad) to 100 (good)
Field Type: double
Field is Repeated ?: No

DividendsRequest Message

The required input to request the DividendsService

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

DividendsResponse Message

Represents a dividend response.

Field Name: data
Field Description: The dividends: an array of Dividend objects
Field Type: Dividend
Field is Repeated ?: Yes

DividendType Enum

Contains the dividend types.

Number	Name	Description
0	UNSPECIFIED	Unspecified
1	CASH	Cash dividend
2	STOCK	Stock dividend

splits

Up-to-date split annoucements including effective date, old and new shares.

SplitsService Service

Called to request splits data.

Name: Splits
Description: Gets splits historical data
Packages: systemathics.apis.services.corporate_actions.v1; systemathics.apis.type.shared.v1
Input: SplitsRequest
Output: SplitsResponse
Output Streaming: No

Split Message

Contains the splits data: date, old and new shares.

Field Name: date
Field Description: Effective date
Field Type: Date
Field is Repeated ?: No

Field Name: new_shares
Field Description: New shares
Field Type: double
Field is Repeated ?: No

Field Name: old_shares
Field Description: Old shares
Field Type: double
Field is Repeated ?: No

Field Name: score
Field Description: The data quality scoring : from 0 (bad) to 100 (good)
Field Type: double
Field is Repeated ?: No

SplitsRequest Message

The required input to request the SplitsService

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

SplitsResponse Message

Represents a split response.

Field Name: data
Field Description: The splits: an array of Split objects
Field Type: Split
Field is Repeated ?: Yes

daily bars

Daily bars are widely used to illustrate price movements for an instrument over a look back period. Commonly used in financial analysis and trading strategies as a technical indicator.

DailyBarsService Service

Called to request daily bars data.

Name: DailyBars
Description: Gets daily historical data: date, open, high, low, close and volume
Packages: systemathics.apis.services.daily.v1; systemathics.apis.type.shared.v1
Input: DailyBarsRequest
Output: DailyBarsResponse
Output Streaming: No

DailyBar Message

Contains the daily bar's data: date, open, high, low, close and volume.

Field Name: date
Field Description: Date of the bar
Field Type: Date
Field is Repeated ?: No

Field Name: open
Field Description: Open price of the day
Field Type: double
Field is Repeated ?: No

Field Name: high
Field Description: Highest price of the day
Field Type: double
Field is Repeated ?: No

Field Name: low
Field Description: Lowest price of the day
Field Type: double
Field is Repeated ?: No

Field Name: close
Field Description: Close price of the day
Field Type: double
Field is Repeated ?: No

Field Name: volume
Field Description: Total traded volume of the day
Field Type: int64
Field is Repeated ?: No

Field Name: score
Field Description: The data quality scoring : from 0 (bad) to 100 (good)
Field Type: double
Field is Repeated ?: No

DailyBarsRequest Message

The required input to request the DailyBarsService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends). By default the value is set to false : the split is applied in all cases
Field Type: bool
Field is Repeated ?: No

DailyBarsResponse Message

The daily bars response contains an array of daily bars.

Field Name: data
Field Description: The daily bars: an array of DailyBar objects
Field Type: DailyBar
Field is Repeated ?: Yes

daily prices

Daily prices illustrates daily price movements for an instrument over a look back period.

DailyPricesService Service

Called to request daily prices data.

Name: DailyPrices
Description: Gets daily historical prices
Packages: systemathics.apis.services.daily.v1; systemathics.apis.type.shared.v1
Input: DailyPricesRequest
Output: DailyPricesResponse
Output Streaming: No

DailyPrice Message

Contains the daily prices data: date, price and volume.

Field Name: date
Field Description: Date of the price
Field Type: Date
Field is Repeated ?: No

Field Name: price
Field Description: Last price of the day
Field Type: double
Field is Repeated ?: No

Field Name: volume
Field Description: Total traded volume of the day
Field Type: int64
Field is Repeated ?: No

Field Name: score
Field Description: The data quality scoring : from 0 (bad) to 100 (good)
Field Type: double
Field is Repeated ?: No

DailyPricesRequest Message

The required input to request the DailyPricesService

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends). By default the value is set to false : the split is applied in all cases
Field Type: bool
Field is Repeated ?: No

DailyPricesResponse Message

Represents a daily prices response.

Field Name: data
Field Description: The daily prices: an array of DailyPrice objects
Field Type: DailyPrice
Field is Repeated ?: Yes

daily vwap

The Volume Weighted Average Price is similar to a moving average, except volume is included to weight the average price over a one trading day period.
It serves as a reference point for one trading day prices. Comparing current prices with the VWAP values enables to:
- mesure trading efficiency by comparing individual trades to VWAP
- highlight liquidity points as vwap reflects prices levels weighted by volume
- determine the market trend, etc.

DailyVwapsService Service

Called to request daily VWAP data.

Name: DailyVwaps
Description: Gets daily historical VWAPs
Packages: systemathics.apis.services.daily.v1; systemathics.apis.type.shared.v1
Input: DailyVwapsRequest
Output: DailyVwapsResponse
Output Streaming: No

DailyVwap Message

Contains the daily vwaps data: date, vwap and volume.

Field Name: date
Field Description: Date of the vwap
Field Type: Date
Field is Repeated ?: No

Field Name: price
Field Description: Vwap of the day
Field Type: double
Field is Repeated ?: No

Field Name: volume
Field Description: Total traded volume of the day
Field Type: int64
Field is Repeated ?: No

Field Name: score
Field Description: The data quality scoring : from 0 (bad) to 100 (good)
Field Type: double
Field is Repeated ?: No

DailyVwapsRequest Message

The required input to request the DailyVwapsService

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends). By default the value is set to false : the split is applied in all cases
Field Type: bool
Field is Repeated ?: No

DailyVwapsResponse Message

Represents a daily VWAPs response.

Field Name: data
Field Description: The daily vwaps: an array of DailyVwap objects
Field Type: DailyVwap
Field is Repeated ?: Yes

daily bollinger

Bollinger bands were created by John Bollinger, they are envelopes and plotted around the moving average.
The width of the bands is based on the standard deviaton of the closing prices from a moving average as follows:
- Middle band = n-period moving average
- Upper band = Middle band + (k * n-period standard deviation)
- Lower band = Middle band - (k * n-period standard deviation)
Where n is the number of periods and k is factor to apply to the standard deviation value, k=2 as default value.

DailyBollingerService Service

Called to request daily Bollinger bands data.

Name: DailyBollinger
Description: Gets daily Bollinger bands data
Packages: systemathics.apis.services.daily_analytics.v1; systemathics.apis.type.shared.v1
Input: DailyBollingerRequest
Output: DailyBollingerResponse
Output Streaming: No

DailyBollingerData Message

Contains the daily Bollinger bands data: date, lower, middle and upper.

Field Name: date
Field Description: Date of Bollinger bands
Field Type: Date
Field is Repeated ?: No

Field Name: value
Field Description: The data used to calculate the Bollinger bands of the day
Field Type: double
Field is Repeated ?: No

Field Name: lower
Field Description: Bollinger lower band value of the day
Lower band = Middle band - (k * n-period standard deviation)
Field Type: DoubleValue
Field is Repeated ?: No

Field Name: upper
Field Description: Bollinger upper band value of the day
Upper band = Middle band + (k * n-period standard deviation)
Field Type: DoubleValue
Field is Repeated ?: No

Field Name: middle
Field Description: Bollinger middle band value of the day
Middle band = n-period moving average
Field Type: DoubleValue
Field is Repeated ?: No

DailyBollingerRequest Message

The required input to request the DailyBollingerService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: length
Field Description: [Mandatory] The simple moving average window length (period: data points number)
Field Type: int32
Field is Repeated ?: No

Field Name: deviation
Field Description: [Mandatory] The standard deviation window length
Field Type: double
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends). By default the value is set to false : the split is applied in all cases
Field Type: bool
Field is Repeated ?: No

DailyBollingerResponse Message

The daily bars response contains an array of Bollinger bands.

Field Name: data
Field Description: The daily Bollinger bands: an array of DailyBollingerData objects
Field Type: DailyBollingerData
Field is Repeated ?: Yes

daily cma

Moving averages smooth the price movements by filtering out the “noise” caused by short-term price fluctuations.
They also form the building blocks for a wide range of technical indicators. Computing moving averages over a defined number of time periods is useful to:
- identify the trend direction
- determine support and resistance levels
CMA is the average of all the data points.

DailyCmaService Service

Called to request daily cumulative moving average data.

Name: DailyCma
Description: Gets daily cumulative moving average data
Packages: systemathics.apis.services.daily_analytics.v1; systemathics.apis.type.shared.v1
Input: DailyCmaRequest
Output: DailyCmaResponse
Output Streaming: No

DailyCmaData Message

Contains the daily cumulative moving average data: date and value.

Field Name: date
Field Description: Date of the cumulative moving average
Field Type: Date
Field is Repeated ?: No

Field Name: value
Field Description: The data used to calculate the average of the day
Field Type: double
Field is Repeated ?: No

Field Name: average
Field Description: The cumulative moving average value of the day for all the data points
Field Type: double
Field is Repeated ?: No

DailyCmaRequest Message

The required input to request the DailyCmaService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends). By default the value is set to false : the split is applied in all cases
Field Type: bool
Field is Repeated ?: No

DailyCmaResponse Message

Represents a daily cumulative moving average response.

Field Name: data
Field Description: The daily cumulative moving averages: an array of DailyCmaData objects
Field Type: DailyCmaData
Field is Repeated ?: Yes

daily ema

EMA reduces the lag by applying greater weight to recent data points.
The weighting applied to the most recent price depends on the number of points in the moving average; The smaller the point count is, the more weight is applied to the most recent price.
N-points EMA data point is computed using the previous’ EMA value and the weighting multiplier as follows: \(EMA = (Close-EMAp)*k+EMAp\) Where:
- Close is the close price
- EMAp is the previous point’ EMA value; SMA is used as the EMAp in the first calculation
- N is the count of points
- k = 2 / N+1 is the Weighting Multiplier

DailyEmaService Service

Called to request daily exponential moving average data.

Name: DailyEma
Description: Gets daily exponential moving average data
Packages: systemathics.apis.services.daily_analytics.v1; systemathics.apis.type.shared.v1
Input: DailyEmaRequest
Output: DailyEmaResponse
Output Streaming: No

DailyEmaData Message

Contains the daily exponential moving average data: date and value.

Field Name: date
Field Description: Date of the exponential moving average
Field Type: Date
Field is Repeated ?: No

Field Name: value
Field Description: The data used to calculate the average of the day
Field Type: double
Field is Repeated ?: No

Field Name: average
Field Description: The exponential moving average value of the day
Field Type: double
Field is Repeated ?: No

DailyEmaRequest Message

The required input to request the DailyEmaService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: length
Field Description: [Mandatory] The exponential moving average window length (period : points number)
Field Type: int32
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends). By default the value is set to false : the split is applied in all cases
Field Type: bool
Field is Repeated ?: No

DailyEmaResponse Message

Represents a daily exponential moving average response.

Field Name: data
Field Description: The daily exponential moving averages: an array of DailyEmaData objects
Field Type: DailyEmaData
Field is Repeated ?: Yes

daily macd

Moving Average Convergence/Divergence Oscillator was developed by Gerald Appel and represents the difference between two moving averages of different lengths.
As its name implies, MACD is all about convergence and divergence of the two moving averages. MACD oscilaltes around the zero line as follows:
- positive values increase as the shorter moving average diverges further from the longer one
- negative values indicate that the shorter moving average is below the longer one

MACD is computed as follows: \(MACD = short EMA - long EMA\)

DailyMacdService Service

Called to request daily moving average convergence divergence data.

Name: DailyMacd
Description: Gets daily moving average convergence divergence data
Packages: systemathics.apis.services.daily_analytics.v1; systemathics.apis.type.shared.v1
Input: DailyMacdRequest
Output: DailyMacdResponse
Output Streaming: No

DailyMacdData Message

Contains the daily moving average convergence/divergence data: date and value.

Field Name: date
Field Description: Date of the moving average convergence/divergence
Field Type: Date
Field is Repeated ?: No

Field Name: value
Field Description: The data used to calculate the average convergence/divergence of the day
Field Type: double
Field is Repeated ?: No

Field Name: macd
Field Description: The moving average convergence/divergence value of the day
Field Type: double
Field is Repeated ?: No

Field Name: short
Field Description: The short exponential moving average value of the day
Field Type: double
Field is Repeated ?: No

Field Name: long
Field Description: The long exponential moving average value of the day
Field Type: double
Field is Repeated ?: No

DailyMacdRequest Message

The required input to request the DailyMacdService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: long
Field Description: [Mandatory] The long EMA window length (period : points number)
Field Type: int32
Field is Repeated ?: No

Field Name: short
Field Description: [Mandatory] The short EMA window length (period : points number)
Field Type: int32
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends). By default the value is set to false : the split is applied in all cases
Field Type: bool
Field is Repeated ?: No

DailyMacdResponse Message

Represents a daily moving average convergence divergence response.

Field Name: data
Field Description: The daily moving average convergence/divergence: an array of DailyMacdData objects
Field Type: DailyMacdData
Field is Repeated ?: Yes

daily rsi

The Relative Strength Index, developed by J. Welles Wilder measures the speed and change of price movements.
RSI oscillates between zero and 100. Traditionally the RSI is considered overbought when above 70 and oversold when below 30.

RSI is computed as follows: \(RSI = 100 - \frac{100}{1 + RS}\) Where:
- RS = AvgU/AvgD is the relative strength
- AvgU average of last N close prices up moves
- AvgD average of last N close prices down moves
- N is the period of the RSI

DailyRsiService Service

Called to request daily relative strength index data.

Name: DailyRsi
Description: Gets daily relative strength index data
Packages: systemathics.apis.services.daily_analytics.v1; systemathics.apis.type.shared.v1
Input: DailyRsiRequest
Output: DailyRsiResponse
Output Streaming: No

DailyRsiData Message

Contains the daily relative strength index data: date and value.

Field Name: date
Field Description: Date of the relative strength index
Field Type: Date
Field is Repeated ?: No

Field Name: value
Field Description: The data used to calculate the relative strength index of the day
Field Type: double
Field is Repeated ?: No

Field Name: rsi
Field Description: Relative strength index value of the day
Field Type: double
Field is Repeated ?: No

DailyRsiRequest Message

The required input to request the DailyRsiService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: length
Field Description: [Mandatory] The relative strength index window length (period: points number)
Field Type: int32
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends). By default the value is set to false : the split is applied in all cases
Field Type: bool
Field is Repeated ?: No

DailyRsiResponse Message

Represents a daily relative strength index response.

Field Name: data
Field Description: The daily relative strength index: an array of DailyRsiData objects
Field Type: DailyRsiData
Field is Repeated ?: Yes

daily sma

SMA is formed by computing the average price of a security over a specific number of points.
As its name implies, simple moving average is an average that moves. Old data is dropped and new data becomes available, causing the average to move along the time.
N-points SMA data point is computed by adding up the last N period’s trade prices and then dividing by N as follows: \(SMA = \frac{\Sigma Close_n}{N}\)
Where:
- Close n is the close price of the period n
- N is the count of time periods

DailySmaService Service

Called to request daily simple moving average data.

Name: DailySma
Description: Gets daily simple moving average data
Packages: systemathics.apis.services.daily_analytics.v1; systemathics.apis.type.shared.v1
Input: DailySmaRequest
Output: DailySmaResponse
Output Streaming: No

DailySmaData Message

Contains the daily simple moving average data: date and value.

Field Name: date
Field Description: Date of the simple moving average
Field Type: Date
Field is Repeated ?: No

Field Name: value
Field Description: The data used to calculate the average of the day
Field Type: double
Field is Repeated ?: No

Field Name: average
Field Description: The simple moving average value of the day for the last n data points (length)
Field Type: DoubleValue
Field is Repeated ?: No

DailySmaRequest Message

The required input to request the DailySmaService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: length
Field Description: [Mandatory] The simple moving average window length (period : points number)
Field Type: int32
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends). By default the value is set to false : the split is applied in all cases
Field Type: bool
Field is Repeated ?: No

DailySmaResponse Message

Represents a daily simple moving average response.

Field Name: data
Field Description: The daily simple moving averages: an array of DailySmaData objects
Field Type: DailySmaData
Field is Repeated ?: Yes

daily volatility

N-points volatility is computed as follows: \(Volatility_N = \sqrt \frac{\sum_{i=1}^N(P_a - P_i)^2}{N}\)
Where:
- \(P_a\) is the average price of the N prices
- \(P_i\) is price i

DailyVolatilityService Service

Called to request daily volatility data.

Name: DailyVolatility
Description: Gets daily historical volatility
Packages: systemathics.apis.services.daily_analytics.v1; systemathics.apis.type.shared.v1
Input: DailyVolatilityRequest
Output: DailyVolatilityResponse
Output Streaming: No

DailyVolatilityRequest Message

The required input to request the DailyVolatilityService

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends). By default the value is set to false : the split is applied in all cases
Field Type: bool
Field is Repeated ?: No

DailyVolatilityResponse Message

Represents a daily volatility response.

Field Name: value
Field Description: Volatility value
Field Type: double
Field is Repeated ?: No

components

Up-to-date index components weights

ComponentsService Service

Called to request index weights data.

Name: Components
Description: Gets index components data
Packages: systemathics.apis.services.indices.v1; systemathics.apis.type.shared.v1
Input: ComponentsRequest
Output: ComponentsResponse
Output Streaming: No

Component Message

Contains the weight data for one component: identifier and weight value.

Field Name: identifier
Field Description: The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: weight
Field Description: The weight value
Field Type: double
Field is Repeated ?: No

ComponentsRequest Message

The required input to request the ComponentsService

Field Name: identifier
Field Description: [Mandatory] The index name
Field Type: string
Field is Repeated ?: No

ComponentsResponse Message

Represents a components response.

Field Name: components
Field Description: The index components: an array of component objects
Field Type: Component
Field is Repeated ?: Yes

intraday bars

Intraday bars are widely used to illustrate price movements for an instrument over a look back period. Commonly used in financial analysis and trading strategies as a technical indicator.

IntradayBarsService Service

Called to request intraday bars data.

Name: IntradayBars
Description: Gets intraday historical data: date, open, high, low, close and volume
Packages: systemathics.apis.services.intraday.v1; systemathics.apis.type.shared.v1
Input: IntradayBarsRequest
Output: IntradayBarsResponse
Output Streaming: No

IntradayBar Message

Contains the intraday bar's data: date, open, high, low, close, volume, count, vwap and score.

Field Name: time_stamp
Field Description: Time stamp of the intraday bar : open time of the sampling interval
Field Type: Timestamp
Field is Repeated ?: No

Field Name: open
Field Description: Open price of the sampling period
Field Type: double
Field is Repeated ?: No

Field Name: high
Field Description: Highest price of the sampling period
Field Type: double
Field is Repeated ?: No

Field Name: low
Field Description: Lowest price of the sampling period
Field Type: double
Field is Repeated ?: No

Field Name: close
Field Description: Close price of the sampling period
Field Type: double
Field is Repeated ?: No

Field Name: volume
Field Description: Total traded volume of the sampling period
Field Type: int64
Field is Repeated ?: No

Field Name: count
Field Description: Tick count of the sampling period
Field Type: int32
Field is Repeated ?: No

Field Name: vwap
Field Description: Volume weighted average price of the sampling period
Field Type: double
Field is Repeated ?: No

Field Name: score
Field Description: The data quality scoring : from 0 (bad) to 100 (good)
Field Type: double
Field is Repeated ?: No

IntradayBarsRequest Message

The required input to request the IntradayBarsService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: sampling
Field Description: [Mandatory] The sampling interval
Field Type: Sampling
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends and splits). By default the value is set to false
Field Type: bool
Field is Repeated ?: No

IntradayBarsResponse Message

The intraday bars response contains an array of intraday bars.

Field Name: data
Field Description: The intraday bars: an array of IntradayBar objects
Field Type: IntradayBar
Field is Repeated ?: Yes

intraday prices

Intraday prices illustrates intraday price movements for an instrument over a look back period.

IntradayPricesService Service

Called to request intraday prices data.

Name: IntradayPrices
Description: Gets intraday historical prices
Packages: systemathics.apis.services.intraday.v1; systemathics.apis.type.shared.v1
Input: IntradayPricesRequest
Output: IntradayPricesResponse
Output Streaming: No

IntradayPrice Message

Contains the intraday prices data: date, price, volume and score.

Field Name: time_stamp
Field Description: Time stamp of the intraday price : open time of the sampling interval
Field Type: Timestamp
Field is Repeated ?: No

Field Name: price
Field Description: Last price of the sampling period
Field Type: double
Field is Repeated ?: No

Field Name: volume
Field Description: Total traded volume of the sampling period
Field Type: int64
Field is Repeated ?: No

Field Name: score
Field Description: The data quality scoring : from 0 (bad) to 100 (good)
Field Type: double
Field is Repeated ?: No

IntradayPricesRequest Message

The required input to request the IntradayPricesService

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: sampling
Field Description: [Mandatory] The sampling interval
Field Type: Sampling
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends and splits). By default the value is set to false
Field Type: bool
Field is Repeated ?: No

IntradayPricesResponse Message

Represents a intraday prices response.

Field Name: data
Field Description: The intraday prices: an array of IntradayPrice objects
Field Type: IntradayPrice
Field is Repeated ?: Yes

intraday vwap

IntradayVwapsService Service

Called to request intraday VWAP data.

Name: IntradayVwaps
Description: Gets intraday historical VWAPs
Packages: systemathics.apis.services.intraday.v1; systemathics.apis.type.shared.v1
Input: IntradayVwapsRequest
Output: IntradayVwapsResponse
Output Streaming: No

IntradayVwap Message

Contains the intraday vwaps data: date, vwap and volume.

Field Name: time_stamp
Field Description: Time stamp of the intraday vwap : open time of the sampling interval
Field Type: Timestamp
Field is Repeated ?: No

Field Name: price
Field Description: Vwap of the sampling period
Field Type: double
Field is Repeated ?: No

Field Name: volume
Field Description: Total traded volume of the sampling period
Field Type: int64
Field is Repeated ?: No

Field Name: score
Field Description: The data quality scoring : from 0 (bad) to 100 (good)
Field Type: double
Field is Repeated ?: No

IntradayVwapsRequest Message

The required input to request the IntradayVwapsService

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: sampling
Field Description: [Mandatory] The sampling interval
Field Type: Sampling
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends and splits). By default the value is set to false
Field Type: bool
Field is Repeated ?: No

IntradayVwapsResponse Message

Represents a intraday VWAPs response.

Field Name: data
Field Description: The intraday vwaps: an array of IntradayVwap objects
Field Type: IntradayVwap
Field is Repeated ?: Yes

intraday bollinger

IntradayBollingerService Service

Called to request intraday Bollinger bands data.

Name: IntradayBollinger
Description: Gets intraday Bollinger bands data
Packages: systemathics.apis.services.intraday_analytics.v1; systemathics.apis.type.shared.v1
Input: IntradayBollingerRequest
Output: IntradayBollingerResponse
Output Streaming: No

IntradayBollingerData Message

Contains the intraday Bollinger bands data: date, lower, middle and upper.

Field Name: time_stamp
Field Description: Time stamp of Bollinger bands : open time of the sampling interval
Field Type: Timestamp
Field is Repeated ?: No

Field Name: value
Field Description: The data used to calculate the Bollinger bands of the day
Field Type: double
Field is Repeated ?: No

Field Name: lower
Field Description: Bollinger lower band value of the day
Lower band = Middle band - (k * n-period standard deviation)
Field Type: DoubleValue
Field is Repeated ?: No

Field Name: upper
Field Description: Bollinger upper band value of the day
Upper band = Middle band + (k * n-period standard deviation)
Field Type: DoubleValue
Field is Repeated ?: No

Field Name: middle
Field Description: Bollinger middle band value of the day
Middle band = n-period moving average
Field Type: DoubleValue
Field is Repeated ?: No

IntradayBollingerRequest Message

The required input to request the IntradayBollingerService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: sampling
Field Description: [Mandatory] The sampling interval
Field Type: Sampling
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: length
Field Description: [Mandatory] The simple moving average window length (period: data points number)
Field Type: int32
Field is Repeated ?: No

Field Name: deviation
Field Description: [Mandatory] The standard deviation window length
Field Type: double
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends and splits). By default the value is set to false
Field Type: bool
Field is Repeated ?: No

IntradayBollingerResponse Message

The intraday bars response contains an array of Bollinger bands.

Field Name: data
Field Description: The intraday Bollinger bands: an array of IntradayBollingerData objects
Field Type: IntradayBollingerData
Field is Repeated ?: Yes

intraday cma

IntradayCmaService Service

Called to request intraday cumulative moving average data.

Name: IntradayCma
Description: Gets intraday cumulative moving average data
Packages: systemathics.apis.services.intraday_analytics.v1; systemathics.apis.type.shared.v1
Input: IntradayCmaRequest
Output: IntradayCmaResponse
Output Streaming: No

IntradayCmaData Message

Contains the intraday cumulative moving average data: date and value.

Field Name: time_stamp
Field Description: Time stamp of the cumulative moving average : open time of the sampling interval
Field Type: Timestamp
Field is Repeated ?: No

Field Name: value
Field Description: The data used to calculate the average of the day
Field Type: double
Field is Repeated ?: No

Field Name: average
Field Description: The cumulative moving average value of the day for all the data points
Field Type: double
Field is Repeated ?: No

IntradayCmaRequest Message

The required input to request the IntradayCmaService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: sampling
Field Description: [Mandatory] The sampling interval
Field Type: Sampling
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends and splits). By default the value is set to false
Field Type: bool
Field is Repeated ?: No

IntradayCmaResponse Message

Represents a intraday cumulative moving average response.

Field Name: data
Field Description: The intraday cumulative moving averages: an array of IntradayCmaData objects
Field Type: IntradayCmaData
Field is Repeated ?: Yes

intraday ema

IntradayEmaService Service

Called to request intraday exponential moving average data.

Name: IntradayEma
Description: Gets intraday exponential moving average data
Packages: systemathics.apis.services.intraday_analytics.v1; systemathics.apis.type.shared.v1
Input: IntradayEmaRequest
Output: IntradayEmaResponse
Output Streaming: No

IntradayEmaData Message

Contains the intraday exponential moving average data: date and value.

Field Name: time_stamp
Field Description: Time stamp of the exponential moving average : open time of the sampling interval
Field Type: Timestamp
Field is Repeated ?: No

Field Name: value
Field Description: The data used to calculate the average of the day
Field Type: double
Field is Repeated ?: No

Field Name: average
Field Description: The exponential moving average value of the day
Field Type: double
Field is Repeated ?: No

IntradayEmaRequest Message

The required input to request the IntradayEmaService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: sampling
Field Description: [Mandatory] The sampling interval
Field Type: Sampling
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: length
Field Description: [Mandatory] The exponential moving average window length (period : points number)
Field Type: int32
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends and splits). By default the value is set to false
Field Type: bool
Field is Repeated ?: No

IntradayEmaResponse Message

Represents a intraday exponential moving average response.

Field Name: data
Field Description: The intraday exponential moving averages: an array of IntradayEmaData objects
Field Type: IntradayEmaData
Field is Repeated ?: Yes

intraday macd

IntradayMacdService Service

Called to request intraday moving average convergence divergence data.

Name: IntradayMacd
Description: Gets intraday moving average convergence divergence data
Packages: systemathics.apis.services.intraday_analytics.v1; systemathics.apis.type.shared.v1
Input: IntradayMacdRequest
Output: IntradayMacdResponse
Output Streaming: No

IntradayMacdData Message

Contains the intraday moving average convergence/divergence data: date and value.

Field Name: time_stamp
Field Description: Time stamp of the moving average convergence/divergence : open time of the sampling interval
Field Type: Timestamp
Field is Repeated ?: No

Field Name: value
Field Description: The data used to calculate the average convergence/divergence of the day
Field Type: double
Field is Repeated ?: No

Field Name: macd
Field Description: The moving average convergence/divergence value of the day
Field Type: double
Field is Repeated ?: No

Field Name: short
Field Description: The short exponential moving average value of the day
Field Type: double
Field is Repeated ?: No

Field Name: long
Field Description: The long exponential moving average value of the day
Field Type: double
Field is Repeated ?: No

IntradayMacdRequest Message

The required input to request the IntradayMacdService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: sampling
Field Description: [Mandatory] The sampling interval
Field Type: Sampling
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: long
Field Description: [Mandatory] The long EMA window length (period : points number)
Field Type: int32
Field is Repeated ?: No

Field Name: short
Field Description: [Mandatory] The short EMA window length (period : points number)
Field Type: int32
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends and splits). By default the value is set to false
Field Type: bool
Field is Repeated ?: No

IntradayMacdResponse Message

Represents a intraday moving average convergence divergence response.

Field Name: data
Field Description: The intraday moving average convergence/divergence: an array of IntradayMacdData objects
Field Type: IntradayMacdData
Field is Repeated ?: Yes

intraday rsi

IntradayRsiService Service

Called to request intraday relative strength index data.

Name: IntradayRsi
Description: Gets intraday relative strength index data
Packages: systemathics.apis.services.intraday_analytics.v1; systemathics.apis.type.shared.v1
Input: IntradayRsiRequest
Output: IntradayRsiResponse
Output Streaming: No

IntradayRsiData Message

Contains the intraday relative strength index data: date and value.

Field Name: time_stamp
Field Description: Time stamp of the relative strength index : open time of the sampling interval
Field Type: Timestamp
Field is Repeated ?: No

Field Name: value
Field Description: The data used to calculate the relative strength index of the day
Field Type: double
Field is Repeated ?: No

Field Name: rsi
Field Description: Relative strength index value of the day
Field Type: double
Field is Repeated ?: No

IntradayRsiRequest Message

The required input to request the IntradayRsiService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: sampling
Field Description: [Mandatory] The sampling interval
Field Type: Sampling
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: length
Field Description: [Mandatory] The relative strength index window length (period: points number)
Field Type: int32
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends and splits). By default the value is set to false
Field Type: bool
Field is Repeated ?: No

IntradayRsiResponse Message

Represents a intraday relative strength index response.

Field Name: data
Field Description: The intraday relative strength index: an array of IntradayRsiData objects
Field Type: IntradayRsiData
Field is Repeated ?: Yes

intraday sma

IntradaySmaService Service

Called to request intraday simple moving average data.

Name: IntradaySma
Description: Gets intraday simple moving average data
Packages: systemathics.apis.services.intraday_analytics.v1; systemathics.apis.type.shared.v1
Input: IntradaySmaRequest
Output: IntradaySmaResponse
Output Streaming: No

IntradaySmaData Message

Contains the intraday simple moving average data: date and value.

Field Name: time_stamp
Field Description: Time stamp of the simple moving average : open time of the sampling interval
Field Type: Timestamp
Field is Repeated ?: No

Field Name: value
Field Description: The data used to calculate the average of the day
Field Type: double
Field is Repeated ?: No

Field Name: average
Field Description: The simple moving average value of the day for the last n data points (length)
Field Type: DoubleValue
Field is Repeated ?: No

IntradaySmaRequest Message

The required input to request the IntradaySmaService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: sampling
Field Description: [Mandatory] The sampling interval
Field Type: Sampling
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: length
Field Description: [Mandatory] The simple moving average window length (period : points number)
Field Type: int32
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends and splits). By default the value is set to false
Field Type: bool
Field is Repeated ?: No

IntradaySmaResponse Message

Represents a intraday simple moving average response.

Field Name: data
Field Description: The intraday simple moving averages: an array of IntradaySmaData objects
Field Type: IntradaySmaData
Field is Repeated ?: Yes

intraday volatility

N-points volatility is computed as follows: \(Volatility_N = \sqrt \frac{\sum_{i=1}^N(P_a - P_i)^2}{N}\)
Where:
- \(P_a\) is the average price of the N prices
- \(P_i\) is price i

IntradayVolatilityService Service

Called to request intraday volatility data.

Name: IntradayVolatility
Description: Gets intraday historical volatility
Packages: systemathics.apis.services.intraday_analytics.v1; systemathics.apis.type.shared.v1
Input: IntradayVolatilityRequest
Output: IntradayVolatilityResponse
Output Streaming: No

IntradayVolatilityRequest Message

The required input to request the IntradayVolatilityService

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: sampling
Field Description: [Mandatory] The sampling interval
Field Type: Sampling
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment (dividends and splits). By default the value is set to false
Field Type: bool
Field is Repeated ?: No

IntradayVolatilityResponse Message

Represents a intraday volatility response.

Field Name: value
Field Description: Volatility value
Field Type: double
Field is Repeated ?: No

static data

Reference data encompasses a wide range of specification data about:
- financial instrument such as asset class, symbol, maturity, etc.
- counterparties such as issuer information.
- pricing such as open, high low and close prices.
- The challenge with reference data is that it tends to be sourced from multiple sources: internal, counterparties and providers.
- Reference data dedicated service is a result of various data sources and fields sourcing, validation, cross-checking and normalization.

StaticDataService Service

Called to request reference data.

Name: StaticData
Description: Gets reference data
Packages: systemathics.apis.services.static_data.v1; systemathics.apis.type.shared.v1
Input: StaticDataRequest
Output: StaticDataResponse
Output Streaming: No

EquityEntry Message

Contains the reference data for equities.

Field Name: identifier
Field Description: Identifiers: asset identifier
Field Type: Identifier
Field is Repeated ?: No

Field Name: type
Field Description: General information: asset class
Field Type: string
Field is Repeated ?: No

Field Name: country
Field Description: General information: asset country code (ISO 3166)
Field Type: string
Field is Repeated ?: No

Field Name: name
Field Description: General information: asset full name
Field Type: string
Field is Repeated ?: No

Field Name: currency
Field Description: General information: asset currency code (ISO 4217)
Field Type: string
Field is Repeated ?: No

Field Name: primary
Field Description: General information: asset primary exchange code (mic)
Field Type: string
Field is Repeated ?: No

Field Name: tick_size_rule
Field Description: General information: asset tick size rule table
Field Type: string
Field is Repeated ?: No

Field Name: mapping
Field Description: General information: asset mapping codes
Field Type: MappingEntry
Field is Repeated ?: Yes

Field Name: index
Field Description: General information: asset index if it belongs to an index
Field Type: string
Field is Repeated ?: No

Field Name: open
Field Description: Trading hours: open time (continuous trading)
Field Type: string
Field is Repeated ?: No

Field Name: close
Field Description: Trading hours: close time (continuous trading)
Field Type: string
Field is Repeated ?: No

Field Name: time_zone
Field Description: Trading hours: time zone
Field Type: string
Field is Repeated ?: No

Field Name: lot_size
Field Description: Specifications: lot size (minimum quantity to trade)
Field Type: int64
Field is Repeated ?: No

Field Name: point_value
Field Description: Specifications: point value
Field Type: double
Field is Repeated ?: No

Field Name: isin
Field Description: Specific values for the equity: isin code (International Securities Identifying Number)
Field Type: string
Field is Repeated ?: No

Field Name: cusip
Field Description: Specific values for the equity: cusip code : Committee on Uniform Security Identification Procedures
Field Type: string
Field is Repeated ?: No

Field Name: sedol
Field Description: Specific values for the equity: sedol code : Stock Exchange Daily Official List
Field Type: string
Field is Repeated ?: No

Field Name: sectors
Field Description: Specific values for the equity: sectors definitions
Field Type: SectorsEntry
Field is Repeated ?: Yes

Field Name: capitalization
Field Description: Specific values for the equity: market capitalization
Field Type: DoubleValue
Field is Repeated ?: No

MappingEntry Message

Field Name: key
Field Description
Field Type: string
Field is Repeated ?: No

Field Name: value
Field Description
Field Type: string
Field is Repeated ?: No

SectorsEntry Message

Field Name: key
Field Description
Field Type: string
Field is Repeated ?: No

Field Name: value
Field Description
Field Type: string
Field is Repeated ?: No

EtfEntry Message

Contains the reference data for exchange traded fund (ETF).

Field Name: identifier
Field Description: Identifiers: asset identifier
Field Type: Identifier
Field is Repeated ?: No

Field Name: type
Field Description: General information: asset class
Field Type: string
Field is Repeated ?: No

Field Name: country
Field Description: General information: asset country code (ISO 3166)
Field Type: string
Field is Repeated ?: No

Field Name: name
Field Description: General information: asset full name
Field Type: string
Field is Repeated ?: No

Field Name: currency
Field Description: General information: asset currency code (ISO 4217)
Field Type: string
Field is Repeated ?: No

Field Name: primary
Field Description: General information: asset primary exchange code (mic)
Field Type: string
Field is Repeated ?: No

Field Name: tick_size_rule
Field Description: General information: asset tick size rule table
Field Type: string
Field is Repeated ?: No

Field Name: mapping
Field Description: General information: asset mapping codes
Field Type: MappingEntry
Field is Repeated ?: Yes

Field Name: index
Field Description: General information: asset index if it belongs to an index
Field Type: string
Field is Repeated ?: No

Field Name: open
Field Description: Trading hours: open time (continuous trading)
Field Type: string
Field is Repeated ?: No

Field Name: close
Field Description: Trading hours: close time (continuous trading)
Field Type: string
Field is Repeated ?: No

Field Name: time_zone
Field Description: Trading hours: time zone
Field Type: string
Field is Repeated ?: No

Field Name: lot_size
Field Description: Specifications: lot size (minimum quantity to trade)
Field Type: int64
Field is Repeated ?: No

Field Name: point_value
Field Description: Specifications: point value
Field Type: double
Field is Repeated ?: No

Field Name: isin
Field Description: Specific values for the equity: isin code (International Securities Identifying Number)
Field Type: string
Field is Repeated ?: No

Field Name: cusip
Field Description: Specific values for the equity: cusip code : Committee on Uniform Security Identification Procedures
Field Type: string
Field is Repeated ?: No

Field Name: sedol
Field Description: Specific values for the equity: sedol code : Stock Exchange Daily Official List
Field Type: string
Field is Repeated ?: No

Field Name: sectors
Field Description: Specific values for the equity: sectors definitions
Field Type: SectorsEntry
Field is Repeated ?: Yes

Field Name: capitalization
Field Description: Specific values for the equity: market capitalization
Field Type: DoubleValue
Field is Repeated ?: No

MappingEntry Message

Field Name: key
Field Description
Field Type: string
Field is Repeated ?: No

Field Name: value
Field Description
Field Type: string
Field is Repeated ?: No

SectorsEntry Message

Field Name: key
Field Description
Field Type: string
Field is Repeated ?: No

Field Name: value
Field Description
Field Type: string
Field is Repeated ?: No

FutureEntry Message

Contains the reference data for futures.

Field Name: identifier
Field Description: Identifiers: asset identifier
Field Type: Identifier
Field is Repeated ?: No

Field Name: type
Field Description: General information: asset class
Field Type: string
Field is Repeated ?: No

Field Name: country
Field Description: General information: asset country code (ISO 3166)
Field Type: string
Field is Repeated ?: No

Field Name: name
Field Description: General information: asset full name
Field Type: string
Field is Repeated ?: No

Field Name: currency
Field Description: General information: asset currency code (ISO 4217)
Field Type: string
Field is Repeated ?: No

Field Name: primary
Field Description: General information: asset primary exchange code (mic)
Field Type: string
Field is Repeated ?: No

Field Name: tick_size_rule
Field Description: General information: asset tick size rule table
Field Type: string
Field is Repeated ?: No

Field Name: mapping
Field Description: General information: asset mapping codes
Field Type: MappingEntry
Field is Repeated ?: Yes

Field Name: index
Field Description: General information: asset index if it belongs to an index
Field Type: string
Field is Repeated ?: No

Field Name: open
Field Description: Trading hours: open time (continuous trading)
Field Type: string
Field is Repeated ?: No

Field Name: close
Field Description: Trading hours: close time (continuous trading)
Field Type: string
Field is Repeated ?: No

Field Name: time_zone
Field Description: Trading hours: time zone
Field Type: string
Field is Repeated ?: No

Field Name: lot_size
Field Description: Specifications: lot size (minimum quantity to trade)
Field Type: int64
Field is Repeated ?: No

Field Name: point_value
Field Description: Specifications: point value
Field Type: double
Field is Repeated ?: No

Field Name: underlying
Field Description: Specific values for the future: underlying asset code
Field Type: string
Field is Repeated ?: No

Field Name: contract
Field Description: Specific values for the future: contract code
Field Type: string
Field is Repeated ?: No

Field Name: category
Field Description: Specific values for the future: category
Field Type: CategoryEntry
Field is Repeated ?: Yes

Field Name: chain
Field Description: Specific values for the future: chain
Field Type: string
Field is Repeated ?: No

Field Name: maturity
Field Description: Specific values for the future: maturity date
Field Type: Date
Field is Repeated ?: No

Field Name: month
Field Description: Specific values for the future: month code
Field Type: string
Field is Repeated ?: No

Field Name: year
Field Description: Specific values for the future: year
Field Type: int32
Field is Repeated ?: No

CategoryEntry Message

Field Name: key
Field Description
Field Type: string
Field is Repeated ?: No

Field Name: value
Field Description
Field Type: string
Field is Repeated ?: No

MappingEntry Message

Field Name: key
Field Description
Field Type: string
Field is Repeated ?: No

Field Name: value
Field Description
Field Type: string
Field is Repeated ?: No

IndexEntry Message

Contains the reference data for indices.

Field Name: identifier
Field Description: Identifiers: asset identifier
Field Type: Identifier
Field is Repeated ?: No

Field Name: type
Field Description: General information: asset class
Field Type: string
Field is Repeated ?: No

Field Name: country
Field Description: General information: asset country code (ISO 3166)
Field Type: string
Field is Repeated ?: No

Field Name: name
Field Description: General information: asset full name
Field Type: string
Field is Repeated ?: No

Field Name: currency
Field Description: General information: asset currency code (ISO 4217)
Field Type: string
Field is Repeated ?: No

Field Name: primary
Field Description: General information: asset primary exchange code (mic)
Field Type: string
Field is Repeated ?: No

Field Name: tick_size_rule
Field Description: General information: asset tick size rule table
Field Type: string
Field is Repeated ?: No

Field Name: mapping
Field Description: General information: asset mapping codes
Field Type: MappingEntry
Field is Repeated ?: Yes

Field Name: index
Field Description: General information: asset index if it belongs to an index
Field Type: string
Field is Repeated ?: No

Field Name: open
Field Description: Trading hours: open time (continuous trading)
Field Type: string
Field is Repeated ?: No

Field Name: close
Field Description: Trading hours: close time (continuous trading)
Field Type: string
Field is Repeated ?: No

Field Name: time_zone
Field Description: Trading hours: time zone
Field Type: string
Field is Repeated ?: No

Field Name: lot_size
Field Description: Specifications: lot size (minimum quantity to trade)
Field Type: int64
Field is Repeated ?: No

Field Name: point_value
Field Description: Specifications: point value
Field Type: double
Field is Repeated ?: No

Field Name: description
Field Description: Specific values for the index: the description of the index
Field Type: string
Field is Repeated ?: No

MappingEntry Message

Field Name: key
Field Description
Field Type: string
Field is Repeated ?: No

Field Name: value
Field Description
Field Type: string
Field is Repeated ?: No

StaticDataRequest Message

The required input to request the StaticDataService.

Field Name: asset_type
Field Description: [Optional] Asset type
Field Type: AssetType
Field is Repeated ?: No

Field Name: name
Field Description: [Optional] Asset name
Field Type: StringValue
Field is Repeated ?: No

Field Name: exchange
Field Description: [Optional] Asset exchange (mic code)
Field Type: StringValue
Field is Repeated ?: No

Field Name: ticker
Field Description: [Optional] Asset ticker (code as provided by the exchange)
Field Type: StringValue
Field is Repeated ?: No

Field Name: future_contract
Field Description: [Optional] Future contract code
Field Type: StringValue
Field is Repeated ?: No

Field Name: future_category
Field Description: [Optional] Future category
Field Type: StringValue
Field is Repeated ?: No

Field Name: equity_sector
Field Description: [Optional] Equity sector
Field Type: StringValue
Field is Repeated ?: No

Field Name: index
Field Description: [Optional] Index if the asset belongs to an index components
Field Type: StringValue
Field is Repeated ?: No

Field Name: code
Field Description: [Optional] Mapping codes: isin, cusip, sedol, ric, figi, etc.
Field Type: StringValue
Field is Repeated ?: No

Field Name: start
Field Description: [Optional] Define the first element index to be retrieved
Field Type: Int32Value
Field is Repeated ?: No

Field Name: count
Field Description: [Optional] Select the first elements retrieved, by default count is set to 100
Field Type: Int32Value
Field is Repeated ?: No

StaticDataResponse Message

Represents a reference data response grouped by asset type.

Field Name: futures
Field Description: The reference data for futures: an array of FutureEntry objects
Field Type: FutureEntry
Field is Repeated ?: Yes

Field Name: equities
Field Description: The reference data for equities: an array of EquityEntry objects
Field Type: EquityEntry
Field is Repeated ?: Yes

Field Name: etfs
Field Description: The reference data for etfs: an array of EtfEntry objects
Field Type: EtfEntry
Field is Repeated ?: Yes

Field Name: indices
Field Description: The reference data for indices: an array of IndexEntry objects
Field Type: IndexEntry
Field is Repeated ?: Yes

AssetType Enum

Contains the asset type for the reference data request.

Number	Name	Description
0	ASSET_TYPE_UNSPECIFIED	Not specified ?
1	ASSET_TYPE_ALL	Search on all asset types
2	ASSET_TYPE_EQUITY	Search only on equities
3	ASSET_TYPE_FUTURE	Search only on futures
4	ASSET_TYPE_ETF	Search only on Exchange Traded Fund
5	ASSET_TYPE_INDEX	Search only on Index

static sector

The sector and industry classification decoder.
Available classifications :
- ICB : Industry Classification Benchmark is a comprehensive and rules based, transparent classification methodology based on research and market trends designed to support investment solutions. It was launched in 2005 and enhanced in 2019 with the integration of the Russell Global Sectors (RGS) classification scheme and additional structural enhancements.
- SIC : The Standard Industrial Classification is a system for classifying industries by a four-digit code. Established in the United States in 1937, it is used by government agencies to classify industry areas. The SIC system is also used by agencies in other countries, e.g., by the United Kingdom’s Companies House.
- TRBC : The Refinitiv Business Classification is an industry classification of global companies. It was developed by the Reuters Group under the name Reuters Business Sector Scheme (RBSS), was rebranded to Thomson Reuters Business Classification (TRBC) when the Thomson Corporation acquired the Reuters Group in 2008, forming Thomson Reuters, and was rebranded again, to The Refinitiv Business Classification (TRBC), in 2020. Since the creation of Refinitiv in October 2018, TRBC has been owned and operated by Refinitiv and is the basis for Refinitiv Indices.
- GICS : In 1999, MSCI and S&P Dow Jones Indices developed the Global Industry Classification Standard, seeking to offer an efficient investment tool to capture the breadth, depth and evolution of industry sectors.GICS is a four-tiered, hierarchical industry classification system. Companies are classified quantitatively and qualitatively.Each company is assigned a single GICS classification at the Sub-Industry level according to its principal business activity. MSCI and S&P Dow Jones Indices use revenues as a key factor in determining a firm�s principal business activity. Earnings and market perception, however, are also recognized as important and relevant information for classification purposes, and are taken into account during the annual review process.

StaticSectorService Service

Called to request static sector and industry classification data.

Name: StaticSector
Description: Gets static sector and industry data
Packages: systemathics.apis.services.static_data.v1; systemathics.apis.type.shared.v1
Input: StaticSectorRequest
Output: StaticSectorResponse
Output Streaming: No

Level Message

Contains the sector classification structure at a specified level.

Field Name: Name
Field Description: The sector classification level’s name
Field Type: string
Field is Repeated ?: No

Field Name: Index
Field Description: The sector classification level’s index (order of the strcture)
Field Type: int32
Field is Repeated ?: No

Field Name: Code
Field Description: The sector classification level’s code
Field Type: string
Field is Repeated ?: No

Field Name: definition
Field Description: The sector classification level’s definition
Field Type: string
Field is Repeated ?: No

Field Name: label
Field Description: The sector classification level’s label
Field Type: string
Field is Repeated ?: No

StaticSectorRequest Message

The required inputs to request the StaticSectorService.

Field Name: provider
Field Description: [Mandatory] The classification provider or taxonomy
Available classifications : ICB, SIC, TRBC and GICS
Field Type: string
Field is Repeated ?: No

Field Name: code
Field Description: [Mandatory] The classification code
Field Type: string
Field is Repeated ?: No

Field Name: level
Field Description: [Mandatory] The classification level (strating from 0 : the top structure or group)
Field Type: int32
Field is Repeated ?: No

StaticSectorResponse Message

Represents a sector classifcation response.

Field Name: data
Field Description: The sector classification levels: an array of Level objects
Field Type: Level
Field is Repeated ?: Yes

Field Name: description
Field Description: The classification description
Field Type: string
Field is Repeated ?: No

Field Name: count
Field Description: The classification levels count
Field Type: int32
Field is Repeated ?: No

sustainability

The sustainability provides Environmental, Social, and Corporate Governance data.

SustainabilityService Service

Called to request sustainability data.

Name: Sustainability
Description: Gets sustainability data
Packages: systemathics.apis.services.sustainability.v1; systemathics.apis.type.shared.v1
Input: SustainabilityRequest
Output: SustainabilityResponse
Output Streaming: No

Sustainability Message

Contains the sustainabilitys's data.

Field Name: provider
Field Description: The sustainability provider
Field Type: string
Field is Repeated ?: No

Field Name: name
Field Description: The sustainability name or label
Field Type: string
Field is Repeated ?: No

Field Name: id
Field Description: The sustainability identifier
Field Type: string
Field is Repeated ?: No

Field Name: parent
Field Description: The sustainability parent identifier
Field Type: string
Field is Repeated ?: No

Field Name: value
Field Description: The sustainability value
Field Type: double
Field is Repeated ?: No

Field Name: min
Field Description: The sustainability minimum value
Field Type: double
Field is Repeated ?: No

Field Name: max
Field Description: The sustainability maximum value
Field Type: double
Field is Repeated ?: No

Field Name: description
Field Description: The sustainability description
Field Type: string
Field is Repeated ?: No

SustainabilityRequest Message

The required inputs to request the SustainabilityService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

SustainabilityResponse Message

Represents a sustainability response.

Field Name: data
Field Description: The sustainabilities: an array of sustainability objects
Field Type: Sustainability
Field is Repeated ?: Yes

tick book

Normalized tick by tick data extraction for a given watchlist and a specific look-back period. This can be useful to:
- Get specific historical dataset such as trades, top of book data…
- Compute analytics on the top of preselected tick by tick data dataset
- Feed best execution reports for a given watchlist over the time

TickBookService Service

Called to request tick by tick normalized trades historical data.

Name: TickBook
Description: Get tick by tick normalized trades historical Book
Packages: systemathics.apis.services.tick.v1; systemathics.apis.type.shared.v1
Input: TickBookRequest
Output: TickBookResponse
Output Streaming: Yes

TickBookRequest Message

The required inputs to request the TickBookService.

Field Name: identifiers
Field Description: [Mandatory] The instrument identifiers: a list of tickers and exchanges
Field Type: Identifier
Field is Repeated ?: Yes

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

TickBookResponse Message

Contains the tick by tick normalized trades data: key, time stamp, price, size, condition.

Field Name: limit
Field Description: The limit data
Field Type: BookLimit
Field is Repeated ?: No

Field Name: mapping
Field Description: The mapping data
Field Type: Keys
Field is Repeated ?: No

tick raw

Raw tick by tick data extraction in provider format for a given watchlist and a specific look-back period. This can be useful to:
- Audit provider raw data reception and completion
- Compare provider data formats
- Compare raw provider format data to normalized data

TickRawService Service

Called to request tick by tick raw data.

Name: TickRaw
Description: Gets tick by tick historical data
Packages: systemathics.apis.services.tick.v1; systemathics.apis.type.shared.v1
Input: TickRawRequest
Output: TickRawResponse
Output Streaming: Yes

TickRawItem Message

Contains the ticks in raw provider format.

Field Name: time_stamp
Field Description: The timestamp
Field Type: Timestamp
Field is Repeated ?: No

Field Name: type
Field Description: The frame type
Field Type: uint32
Field is Repeated ?: No

Field Name: source
Field Description: The event source
Field Type: uint32
Field is Repeated ?: No

Field Name: payload
Field Description: Payload
Field Type: bytes
Field is Repeated ?: No

TickRawRequest Message

The required inputs to request the TickRawService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: level
Field Description: [Mandatory] The stream level (Level 1 or Level 1 and 2)
Field Type: Level
Field is Repeated ?: No

TickRawResponse Message

Represents a raw data response: several at once.

Field Name: raw_items
Field Description: The raw data: an array of TickRawItem objects
Field Type: TickRawItem
Field is Repeated ?: Yes

TickRawResponse2 Message

Represents the RAW response: one by one, this is not performant due to Microsoft gRPC API handling of this use case.

Field Name: time_stamp
Field Description: The timestamp
Field Type: Timestamp
Field is Repeated ?: No

Field Name: type
Field Description: The frame type
Field Type: uint32
Field is Repeated ?: No

Field Name: source
Field Description: The event source
Field Type: uint32
Field is Repeated ?: No

Field Name: payload
Field Description: Payload
Field Type: bytes
Field is Repeated ?: No

tick trades and book

TickTradesAndBookService Service

Called to request tick by tick normalized trades and book historical data.

Name: TickTradesAndBook
Description: Get tick by tick normalized trades and book historical
Packages: systemathics.apis.services.tick.v1; systemathics.apis.type.shared.v1
Input: TickTradesAndBookRequest
Output: TickTradesAndBookResponse
Output Streaming: Yes

TickTradesAndBookRequest Message

The required inputs to request the TickTradesAndBookService.

Field Name: identifiers
Field Description: [Mandatory] The instrument identifiers: a list of tickers and exchanges
Field Type: Identifier
Field is Repeated ?: Yes

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

TickTradesAndBookResponse Message

Contains the tick by tick normalized trades data: key, time stamp, price, size, condition.

Field Name: data
Field Description: The trade and book data
Field Type: TradeAndBook
Field is Repeated ?: No

Field Name: mapping
Field Description: The mapping data
Field Type: Keys
Field is Repeated ?: No

tick trades

TickTradesService Service

Called to request tick by tick normalized trades historical data.

Name: TickTrades
Description: Get tick by tick normalized trades historical Trades
Packages: systemathics.apis.services.tick.v1; systemathics.apis.type.shared.v1
Input: TickTradesRequest
Output: TickTradesResponse
Output Streaming: Yes

TickTradesRequest Message

The required inputs to request the TickTradesService.

Field Name: identifiers
Field Description: [Mandatory] The instrument identifiers: a list of tickers and exchanges
Field Type: Identifier
Field is Repeated ?: Yes

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

TickTradesResponse Message

Contains the tick by tick normalized trades data: key, time stamp, price, size, condition.

Field Name: trade
Field Description: The trade data
Field Type: Trade
Field is Repeated ?: No

Field Name: mapping
Field Description: The mapping data
Field Type: Keys
Field is Repeated ?: No

tick updates

TickUpdatesService Service

Called to request tick by tick normalized historical data.

Name: TickUpdates
Description: Get tick by tick normalized historical Updates
Packages: systemathics.apis.services.tick.v1; systemathics.apis.type.shared.v1
Input: TickUpdatesRequest
Output: TickUpdatesResponse
Output Streaming: Yes

TickUpdatesRequest Message

The required inputs to request the TickUpdatesService.

Field Name: identifiers
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: Yes

Field Name: level
Field Description: [Mandatory] Level representing either Trades only(Level 1) or Trades + Book (Level 1 and Level 2)
Field Type: Level
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

TickUpdatesResponse Message

Contains the tick by tick normalized historical data: event source, timestamp and payload.

Field Name: event_source
Field Description: Event source: short code for instrument identifier
Field Type: uint32
Field is Repeated ?: No

Field Name: time_stamp
Field Description: Timestamp from the market
Field Type: Timestamp
Field is Repeated ?: No

Field Name: fields_updates
Field Description: Some fields update
Field Type: MarketFieldsUpdates
Field is Repeated ?: No

Field Name: book_updates
Field Description: Some books update
Field Type: MarketBookUpdates
Field is Repeated ?: No

Field Name: mappings
Field Description: Event source and instrument identifier mapping. It’s sent once when streaming begins.
Field Type: Mappings
Field is Repeated ?: No

tick bars

Tick bars are widely used to illustrate price movements for an instrument over a look back period. Commonly used in financial analysis and trading strategies as a technical indicator.

TickBarsService Service

Called to request tick by tick bars data.

Name: TickBars
Description: Gets tick by tick bars data
Packages: systemathics.apis.services.tick_analytics.v1; systemathics.apis.type.shared.v1
Input: TickBarsRequest
Output: TickBarsResponse
Output Streaming: Yes

TickBarsRequest Message

The required inputs to request the TickBarService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: field
Field Description: [Optional] The price used to calculate the bar
Field Type: BarPrice
Field is Repeated ?: No

Field Name: sampling
Field Description: [Mandatory] The duration of the bar
Field Type: Duration
Field is Repeated ?: No

Field Name: period
Field Description: [Optional] The period of the bars, by default the period is set to one day
Field Type: Duration
Field is Repeated ?: No

Field Name: offset
Field Description: [Optional] The offset time when the bars is reset, by default the offset is set to 00:00:00
Field Type: Duration
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment, by default the value is set to false
Field Type: bool
Field is Repeated ?: No

Field Name: accept
Field Description: [Optional] Accept trading / quote conditions, by default the accept is set to null : accept all
Field Type: string
Field is Repeated ?: Yes

Field Name: reject
Field Description: [Optional] Rejected trading / quote conditions, by default the reject is set to null : do not reject
Field Type: string
Field is Repeated ?: Yes

TickBarsResponse Message

Contains the tick bar's data: time, open, high, low, close, volume, count and vwap.

Field Name: time_stamp
Field Description: The time stamp
Field Type: Timestamp
Field is Repeated ?: No

Field Name: open
Field Description: Open price of the current bar
Field Type: double
Field is Repeated ?: No

Field Name: high
Field Description: Highest price of the current bar
Field Type: double
Field is Repeated ?: No

Field Name: low
Field Description: Lowest price of the current bar
Field Type: double
Field is Repeated ?: No

Field Name: close
Field Description: Close price of the current bar
Field Type: double
Field is Repeated ?: No

Field Name: volume
Field Description: Total traded volume of the current bar
Field Type: int64
Field is Repeated ?: No

Field Name: count
Field Description: Tick count of the current bar
Field Type: int32
Field is Repeated ?: No

Field Name: vwap
Field Description: Volume weighted average price of the current bar
Field Type: double
Field is Repeated ?: No

BarPrice Enum

The price types used to compute the bars

Number	Name	Description
0	BAR_PRICE_UNSPECIFIED	The unspecfied field
1	BAR_PRICE_TRADE	The last trade price
2	BAR_PRICE_BID	The best bid price
3	BAR_PRICE_ASK	The best ask price

tick bollinger

TickBollingerService Service

Called to request tick by tick Bollinger bands data.

Name: TickBollinger
Description: Gets tick by tick Bollinger bands data
Packages: systemathics.apis.services.tick_analytics.v1; systemathics.apis.type.shared.v1
Input: TickBollingerRequest
Output: TickBollingerResponse
Output Streaming: Yes

TickBollingerRequest Message

The required inputs to request the TickBollingerService.

Field Name: identifier
Field Description: [Mandatory] The instrument identifier: a ticker and exchange
Field Type: Identifier
Field is Repeated ?: No

Field Name: constraints
Field Description: [Optional] The time constraints used to define the look-back period. If empty, then all the available data is retrieved.
Field Type: Constraints
Field is Repeated ?: No

Field Name: field
Field Description: [Mandatory] The field used to build the Bollinger bands
Field Type: BollingerPrice
Field is Repeated ?: No

Field Name: length
Field Description: [Mandatory] The simple moving average window length (period: data points number)
Field Type: int32
Field is Repeated ?: No

Field Name: deviation
Field Description: [Mandatory] The standard deviation window length
Field Type: double
Field is Repeated ?: No

Field Name: period
Field Description: [Optional] The period of the Bollinger bands, by default the period is set to one day
Field Type: Duration
Field is Repeated ?: No

Field Name: offset
Field Description: [Optional] The offset time when the Bollinger bands is reset, by default the offset is set to 00:00:00
Field Type: Duration
Field is Repeated ?: No

Field Name: sampling
Field Description: [Optional] The sampling of the tick data. If not set then the tick by tick data is used. If set, then the sma is built using sampled data.
Field Type: Duration
Field is Repeated ?: No

Field Name: adjustment
Field Description: [Optional] The corporate action adjustment, by default the value is set to false
Field Type: bool
Field is Repeated ?: No

Field Name: accept
Field Description: [Optional] Accept trading / quote conditions, by default the accept is set to null : accept all
Field Type: string
Field is Repeated ?: Yes

Field Name: reject
Field Description: [Optional] Rejected trading / quote conditions, by default the reject is set to null : do not reject
Field Type: string
Field is Repeated ?: Yes

TickBollingerResponse Message

Contains the tick Bollinger bands data: date, lower, middle and upper.

Configuration

Packages

Channel

Authentication

Protecting API tokens:

API tokens configuration:

API Authentication

Using API Authentification provides lots of flexibility:

Get your token :

Get API tokens locally:

Request parameters

Instrument identifier

Constraints

Level

Response formats

Request creation

Updates

Equities sectors classification

Tick trade conditions

Vwaps streamed in tick bars

Indices' components and weights

Static data update: indices

Level selection: trades and book

Services

Date Message

DayOfWeek Enum

TimeOfDay Message

ChangesService Service

Change Message

ChangesRequest Message

ChangesResponse Message

DividendsService Service

Dividend Message

DividendsRequest Message

DividendsResponse Message

DividendType Enum

SplitsService Service

Split Message

SplitsRequest Message

SplitsResponse Message

DailyBarsService Service

DailyBar Message

DailyBarsRequest Message

DailyBarsResponse Message

DailyPricesService Service

DailyPrice Message

DailyPricesRequest Message

DailyPricesResponse Message

DailyVwapsService Service

DailyVwap Message

DailyVwapsRequest Message

DailyVwapsResponse Message

DailyBollingerService Service

DailyBollingerData Message

DailyBollingerRequest Message

DailyBollingerResponse Message

DailyCmaService Service

DailyCmaData Message

DailyCmaRequest Message

DailyCmaResponse Message

DailyEmaService Service

DailyEmaData Message

DailyEmaRequest Message

DailyEmaResponse Message

DailyMacdService Service

DailyMacdData Message

DailyMacdRequest Message

DailyMacdResponse Message

DailyRsiService Service

DailyRsiData Message

DailyRsiRequest Message

DailyRsiResponse Message

DailySmaService Service

DailySmaData Message

DailySmaRequest Message

DailySmaResponse Message

DailyVolatilityService Service

DailyVolatilityRequest Message

DailyVolatilityResponse Message

ComponentsService Service