LUSID has a built-in quote store that can be used to record market data for valuing holdings and running other analyses. It can be used to store market prices, rates and FX quotes.
You can call the LUSID UpsertQuotes API to load up to 2000 quotes at a time, specifying for each:
- A scope, or namespace, into which to load the data.
- A provider representing a financial data vendor. Currently, valid providers are
Bloomberg
,DataScope
(Refinitiv),SIX
,FactSet
,TraderMade
,Edi
,Lusid
andClient
; if your data vendor isn't listed, you can represent it usingLusid
orClient
. - Optionally, a priceSource further indicating a sub-supplier to the financial data vendor (above), for example Tradeweb or RRPS for Refinitiv DataScope.
- An instrumentIdType and instrumentId together constituting an instrument identifier linking the quote to an instrument mastered in LUSID. For an instrument such as an equity or bond, the type can currently be either
LusidInstrumentId
,Figi
,RIC
,QuotePermId
,Isin
orClientInternal
. For FX rates, the type should beCurrencyPair
and the value consist of the buy and sell currencies separated by a forward slash, for exampleUSD/GBP
. - A quoteType, for example
Price
orRate
. - A field specific to the provider:
Provider Available fields Lusid
bid
,mid
,ask
Bloomberg
bid
,mid
,ask
,open
,close
,last
SIX
bid
,mid
,ask
,open
,close
,last
DataScope
bid
,mid
,ask
Client
bid
,mid
,ask
Edi
bid
,mid
,ask
,open
,close
,last
TraderMade
bid
,mid
,ask
,open
,close
,high
,low
FactSet
bid
,mid
,ask
,open
,close
- An effectiveDate from which the quote is valid. This could be a full date and time (in UTC) to support live intra-day pricing, or a date and cut label (for example 7 Jan 2019, close).
- The actual price or rate amount as a metricValue.