ICE static and pricing data

FINBOURNE's ICE API integration allows you to enrich your LUSID instruments with properties sourced from ICE, and to import equity prices and FX rates into LUSID.

You can run this integration on a schedule, for example to pull month-end prices, or on a manual adhoc basis, for example to import instrument data.

Prerequisites

Before getting started, ensure you have:

• An active ICE data subscription contract with API access credentials

• Contacted your FINBOURNE representative to enable the integration in your LUSID domain

Supported data types and methods

Currently, the integration supports the following data types:

• Instrument properties

• Quotes for equities

• FX rates

Setting up the integration

Step 1: Supply ICE credentials

You must first supply your ICE API credentials to the LUSID Configuration Store.

1. Navigate to System Settings > Configuration Store.

2. Go to the Shared keys tab.

3. Click Edit on the configuration set with scope system and code LUSID-ICE.
   

4. Supply your ICE API Username and Password in the respective fields. The integration automatically populates the Access Token and Access Token Last Fetched At fields on its first run.

5. Click Save.

Step 2: Create an integration instance

An integration instance is a configuration of data points to import from ICE API.

1. Navigate to Integrations > Dashboard.

2. Select Create instance and choose ICE.
   

3. Specify the following in the Integration details tab:

   • Name: A friendly name for this integration instance

   • Description: A detailed description of the instance

   • Click Edit imported properties > Add properties and select which data fields to import.

     Note

     You can select the View imported fields button and inspect the Source Fields and Transformation Description columns to see how LUSID maps your data.

   

4. Go to the Integration settings tab and specify the following:

   • Source File Location and File Name: Optional; a folder (starting with /LUSID-Horizon/) and JSON filename in LUSID Drive to retrieve data from instead of calling the ICE API for the purpose of testing or replaying historical data

   • Archive folder for API responses: Optional; a folder path in Drive to save a copy of each ICE API request and response to

   • Settlement Date: A YYYYMMDD formatted settlement date to include in the ICE API call; for FX rates, the integration uses this date as the effectiveAt for quotes

   • Enrich Instruments: Check the box to import instrument property data from ICE

   • Load Prices: Check the box to import equity pricing data from ICE

   • Load Default FX Rates: Check the box to load a default list of commonly-used FX rates; see Appendix A for the list of FX rates

   • Currency Pair Requests: Optional; a list of currency pairs to request from ICE in addition to, or instead of, the default FX rates

     Note

     Currency pair requests override any default pair with the same base and quote currency. The pairs supplement the default list where no overlap exists.

   

5. Click Save to create the integration instance.

Step 3: Select the instruments to import data for

LUSID selects instruments to import ICE static and pricing data for from the default instrument scope using the Instrument/LUSIDConfig-ICE/EnrichInstrument property.

1. Ensure your instruments are populated with one of the following identifier types:

   • For US instruments (DomCcy set to USD): Instrument/default/Cusip

   • For all other instruments: Instrument/default/Isin

2. Follow these steps to add the following instrument properties from the Scope LUSIDConfig-ICE to one or more instruments you want to include in ICE integration runs:

   • Instrument enrichment: EnrichInstrument

   • Equity prices: LoadQuotes

   

3. Check the respective box to enable your desired data load for each instrument.
   

Running the integration

See how to run the integration.

Monitoring and troubleshooting integration runs

See how to monitor integrations and troubleshoot general issues.

LUSID imports:

• Prices as quotes under the LUSID-ICE scope

• Instrument data as properties on instruments in the LUSID-ICE property scope

Appendix A: Default list of FX rates

When you enable Load default FX rates, the integration requests the following currency pairs from ICE, identified by an ICE-specific SEDOL.

Note

You can override any of the listed pairs, or request additional pairs, using the Currency pair requests field.

USD as base currency

USD as quote currency