Index Rebalance

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 Forecasts – Provides forecasts for Reviews and Corporate Actions.

ORTEX Index Rebalance forecasts are exclusively for institutional clients.
Data delivery is provided via API and CSV/email. The ORTEX platform allows access only to index Review Announcements after trade date.

The API allows access to ORTEX Review Forecasts and ORTEX Corporate Action Forecasts.

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 Reviews

Description: Systematic daily and weekly index rebalance forecasts for the upcoming review of major US and EU indices.

Forecast Types: Additions / Deletions
Forecast Horizon: One review ahead (3 – 12 months)
Delivery: Daily before market-open
Format: JSON (API), CSV (email)
Data History: 5 years

ORTEX Corporate Actions

Description: Ad-hoc daily and weekly index rebalance forecasts covering corporate actions of major US, EU and Global Indices.

Corporate Action Coverage:

Mergers & Acquisitions (Stock & Cash Deals, Tender Offers)
IPOs
Spinoffs
Other: Equity Offerings, Delistings, FOL changes, etc.
Forecast Types: Additions / Deletions / Float Share Changes
Forecast Horizon: Up to deal completion
Delivery:
- Daily: Finalized deals close to completion. Before market-open.
- Weekly: New deals and updates on ongoing deals not yet finalized. Mondays before market-open.
Format: JSON (API), CSV (email)
Data History: N/A

For more information on latest index coverage, trials and subscription packages please reach out to [email protected].

Forecast API

Common fields (also corrected 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 are 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. Not the Bloomberg ticker – contains the listing part of the security. For example, Apple is `AAPL` (not `AAPL UW`).	string
	isin	ISIN Security Identifier	string
	action	Values: Addition, Deletion, Index Share Increase, Index Share Decrease. Addition/Deletion: A migration (e.g., FTSE 250 → FTSE 100) will have two rows: Addition in FTSE 100 and Deletion in FTSE 250. Index Share Increase/Decrease: Represents forecasted float/share changes.	string
	convictionLevel	Values: High, Medium, Low, Confirmed. General conviction based on convictionProbability range: - High: 0.60 – 0.99 - Medium: 0.40 – 0.59 - Low: 0 – 0.39 For Announced/verified changes: Confirmed = 1.0	string
	convictionProbability	Probability (0 – 0.99 for forecasts, 1.0 for announced changes). 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