ORTEX provides three Index Rebalance APIs:
- Index Rebalance Overview - Provides an overview list of all upcoming index rebalance dates and key metrics.
- Index Rebalance Indices - A list of all the index codes with information that can be used in the other APIs.
- Index Rebalance Detail - Provides all of the details, both predictions and actuals for index rebalance events.
The ORTEX platform allows access only to the ORTEX Announcement Coverage.
The API allows access to both ORTEX Prediction Coverage and ORTEX Announcement Coverage.
This API is a commercial product and is only available to institutional clients. To access this API, you will need an API key, which can be obtained by contacting [email protected].
To access data, you must include the API key in the header:
Example: Ortex-Api-Key: ABC12345
ORTEX Prediction Coverage
Live daily forecasts before market open for the upcoming index review.
- For S&P, only the S&P 500 is under prediction coverage. However, part of the forecasts includes S&P 500 migrations to/from S&P MidCap 400 and S&P SmallCap 600. Hence, all three indices are needed for the API.
List of indices for the API:
- STOXX: STOXX Europe 50, EURO STOXX 50, STOXX Europe 600, EURO STOXX
- S&P: S&P 500, S&P MidCap 400, S&P SmallCap 600
- Nasdaq US: NASDAQ-100
- FTSE UK: FTSE 100, FTSE 250, FTSE SmallCap, FTSE All-Share
ORTEX Announcement Coverage
Index changes announced for the upcoming review are processed and uploaded before the following day’s market open.
- For MSCI, MSCI World represents the MSCI World Standard, which is under Announcement Coverage. However, part of the announcement includes migrations to/from MSCI World Small. Hence, both are needed for the API.
List of indices for the API:
- MSCI: MSCI World, MSCI World Small
- S&P: S&P 500, S&P MidCap 400, S&P SmallCap 600
- RUSSELL US: Russell 1000, Russell 2000
- Nasdaq US: NASDAQ-100
- Nasdaq Nordic: OMX Copenhagen BMI, OMX Helsinki BMI, OMX Stockholm BMI
- FTSE UK: FTSE 100, FTSE 250, FTSE SmallCap, FTSE All-Share
- FTSE Italia: FTSE Italia Mid, FTSE Italia Small, FTSE Italia All-Share
- STOXX: STOXX Europe 50, EURO STOXX 50, STOXX Europe 600, EURO STOXX
- DAX: DAX, MDAX, SDAX, TECDAX
- Euronext Amsterdam: AEX, AMX, AScX
- Euronext Paris: CAC 40, CAC Next 20, CAC Mid 60, CAC Small
- Euronext Brussels: BEL 20, BEL MID, BEL SMALL, BEL ESG
- Euronext Dublin: ISEQ 20, ISEQ Small
- Euronext Oslo: OBX
Detail API
Common fields to be corrected also in the Overview API (announcementDate, tradeDate, effectiveDate):
| Key | Subkey | Description | Type |
|---|---|---|---|
| indexName | Name of the index | string | |
| calendar | list | ||
| announcementDate | The date on which the index changes have been announced | string | |
| tradeDate | The date at market close on which passive funds are expected to buy/sell to rebalance their portfolios in order to match the index | string | |
| effectiveDate | The date at market open on which the announced index changes become effective | string | |
| event | Review (annual, semi-annual, or quarterly) or Corporate Action (e.g., Fast Entry, Fast Exit, Acquisition, Spinoff, etc.) | string | |
| securityData | list | ||
| company | Company name | string | |
| ticker | Listing Identifier. The ticker is not the Bloomberg ticker, meaning it contains the listing part of the security. For example, for Apple, the ticker provided is AAPL and not AAPL UW. | string | |
| isin | ISIN Security Identifier | string | |
| action | Values: Addition, Deletion, Float Share Increase, Float Share Decrease. Addition/Deletion: A security migrating from FTSE 250 to FTSE 100 will have two rows: one with Addition and indexName FTSE 100 and one with Deletion and indexName FTSE 250. Float Share Increase/Decrease: Represents forecasted free float and/or share increase or decrease. | string | |
| convictionLevel | Values: High, Medium, Low, Indicative, Confirmed. General conviction based on convictionProbability range: - High: 0.8 - 0.99 - Medium: 0.5 - 0.79 - Low: 0.3 - 0.49 - Indicative: 0 - 0.29 For Announced changes: Confirmed: 1.0 | string | |
| convictionProbability | Probability with range 0 - 0.99 for forecasts and value 1.0 for announced changes. Probability is affected by distance from entry/exit threshold and rank date. | float | |
| impactShares | Passive fund share demand/supply expected on trade date. Calculation: index share change * index tracking factor | float | |
| impactUSD | Passive fund USD demand expected on trade date. Calculation: impactShares * prevailing USD price | float | |
| impactADV | Passive fund demand in terms of days of volume. Calculation: impactShares / prevailing 3-month ADTV | float |