Data suppliers now offer data access with ease. Unfortunately, linking data to make it useful is difficult. Securities have an identity problem. Legal entities are hierarchical and taxonomies sparse at best. Data vendors supply data using different identifiers and at different levels of consolidation. Stitching information together so it adds value is time consuming, complicated and expensive.
Securities have an identity problem
As is well known, data vendors, institutions and regulatory bodies use codes (or identifiers) from different schemes to reference the same financial security.
For example, BP $0.25 common stock traded on the London Stock Exchange may be identified using any of the following:
In addition, BP PLC, the corporate entity responsible for issuing the stock, is obliged to maintain a Legal Entity Identifier (LEI): 213800LH1BZH3DI6G760.
Each identifier scheme can be mapped to a level in the corporate hierarchy tree:
A common problem is that only at the Exchange level are identifiers truly unique. For example, if you search OpenFIGI for the share class FIGI BBG001S61CN0 you currently get 144 results, each representing BP $0.25 traded on a different exchange. The share class FIGI identifier BBG001S61CN0 is therefore ambiguous; it could ultimately refer to any one of 144 different securities, each with an (actually) unique exchange-level FIGI.
The challenge you face is to decide at what level—Share class, Country, Market or Exchange—you wish to master securities. The choice you make affects how your positions are reported, the data vendors you can integrate with, the quality and quantity of data you are able to associate with your securities, and the downstream operations you can subsequently perform.
Your decision can lock you into certain ecosystems, and out of others…
| Data or operation | Legal entity | Share class | Country | Market | Exchange |
| Market data | |||||
| Reference data | |||||
| Alternative (ie. ESG) data | |||||
| Transaction and position data | |||||
| Trade idea generation | |||||
| Order execution | |||||
| Post-trade compliance | |||||
| Performance reporting | |||||
| Reconciliation | |||||
| Investor reporting |
LUSID's traversable identifier tree
Together, LUSID's Security Master and Horizon integration framework solve this problem by allowing you both to choose the level at which to master securities and to store all the other identifiers associated with a security in an intelligent traversable tree. This means you can:
- Integrate with any vendor to ingest data and associate it with the correct security.
- Navigate the tree to retrieve any data, for use in another LUSID operation or for export to an external system in a recognized form.
Note: You can choose to master all asset classes at the same level, or (for example) equities at the Exchange level and bonds at the Share class level.
For the level(s) you choose, the identifiers for that level are registered as primary identifiers. Other identifiers representing levels higher and lower in the corporate hierarchy are also registered, so information keyed by these identifiers can be ingested and retrieved:
If you master at the level of… | |||
| Share class | Country | Market | Exchange |
Let's assume we choose to master BP $0.25 at the Share class level by creating an instrument in LUSID as follows:
We can additionally model the full corporate hierarchy for BP PLC by creating legal entities and connecting them to each other and to the instrument using relationships:
Now we can ingest reference, market, ESG, transaction, position or any other type of data into LUSID from any vendor and use the identifier tree to associate it with the correct entity:
Storing reference data
LUSID can store reference data in a number of ways:
- As properties directly associated with an instrument, for example analyst's rating. This is the recommended approach if the data is atomic and relatively simple in nature:
Properties can be single or multi-value, time-variant or perpetual. Properties can derive from other properties to create a ‘golden source’, so for example you could load analyst's ratings from two different data vendors and then calculate an average, or map different rating taxonomies to a standard format.
- As standalone custom entities connected to the instrument using relationships, for example an energy sector report. This is the recommended approach if the data potentially applies to many instruments, and/or is relatively complex:
Storing market data
LUSID has dedicated stores for different kinds of market data (price quotes, rates, interest rate curves, volatility surfaces and so on).
You might load quotes for BP $0.25 from Refinitiv keyed by ISIN and from Bloomberg keyed by FIGI. You can configure LUSID's quote retrieval system to choose how much of the identifier tree you are willing to traverse to retrieve appropriate quotes, and how strict the lookup should be. For example, you might choose to ignore the Refinitiv prices, since ISIN is an ambiguous identifier and could reflect a price on a different exchange.
Storing transaction, order and position data
Transactional data loaded from different sources is very likely to reference the same security using different identifiers. It's important that LUSID can identify exactly which security a particular transaction refers to, so holdings can be built correctly.
In the same way as for market data, you can configure LUSID's instrument resolution system to decide upon which identifiers you are willing to match. In the case where a transaction identified by ISIN is ambiguous, you can assign priority to a particular security at the exchange level marked as the primary listing, or to one that has been transacted in before. Or you can mark the transaction as unresolved, and start a workflow for manual resolution.
Retrieving data from the LUSID Security Master
LUSID has a powerful search and filtering system that can traverse the identifier tree to extract data associated with any mastered instrument and its related entities.
For example, you could request a list of:
- All the exchange-level instruments with a particular ISIN
- All the instruments with an analyst's rating equal to or greater than AAB
- All the instruments included in a sector report with a positive long-term outlook
- All the instruments whose ultimate parents have an ESG rating above a particular score
…and many more.
LUSID has native REST APIs and associated SDKs in various languages with which you can retrieve data, or you can use Luminesce, our SQL-based data virtualisation tool.
True integration with data vendors and service providers
The Horizon integration framework leverages open datasets and our partnerships with industry-leading data vendors and service providers to provide a simple yet powerful security mastering service using rules dictated by you.
Horizon has a number of utilities, each of which accesses open datasets such as GLEIF, OpenFigi, PermID, ISO MIC and EDM Council to establish a set of securities you wish to master. Each utility then provides an interface to one of our partner data vendors—such as Bloomberg Data Licence, Refinitiv DataScope or SIX Group—to enrich the results with that vendor's supported identifiers and business-critical information.
The end result is:
- All the necessary instruments, legal entities and relationships automatically created in the LUSID Security Master for you.
- A traversable identifier tree constructed for each instrument that enables you to navigate and retrieve all the information associated with that instrument.
- An entire data network of security and corporate information available for you to query or enrich further.
As you can imagine, there's much more to Horizon; please do contact us for more information, or to discuss any of the topics in this article.
| Status | Type of data | Vendor | Datasets we integrate using | Major supported identifiers |
| Available now | Market data | TraderMade | ||
| Bloomberg Data License | OpenFigi, ISO MIC, EDM Council | BBG Ticker, FIGI, SEDOL, CUSIP, ISIN | ||
| EDI | OpenFigi, ISO MIC, EDM Council | EDIKEY, ISIN, FIGI | ||
| Reference data | Bloomberg Data License | OpenFigi, ISO MIC, EDM Council | BBG Ticker, FIGI, SEDOL, CUSIP, ISIN | |
| EDI | OpenFigi, ISO MIC, EDM Council | EDIKEY, ISIN, FIGI | ||
| SIX Group | OpenFigi, ISO MIC, EDM Council | Valoren, FIGI, SEDOL, CUSIP, ISIN | ||
| Coming soon | Market data | Refinitiv DataScope | PermID, ISO MIC, EDM Council | RIC, SEDOL, CUSIP, ISIN, FIGI |
| ICE | OpenFigi, ISO MIC, EDM Council | SEDOL, ISIN, CUSIP, FIGI | ||
| SIX Group | OpenFigi, ISO MIC, EDM Council | Valoren, FIGI, SEDOL, CUSIP, ISIN | ||
| Reference data | Refinitiv DataScope | PermID, ISO MIC, EDM Council | RIC, SEDOL, CUSIP, ISIN, FIGI | |
| ICE | OpenFigi, ISO MIC, EDM Council | SEDOL, ISIN, CUSIP, FIGI | ||
| SIX Group | OpenFigi, ISO MIC, EDM Council | Valoren, FIGI, SEDOL, CUSIP, ISIN | ||
| Alternative data | Denominator | GLEIF, PermID | LEI |