Lusid.Instrument.Quote.Writer

The Lusid.Instrument.Quote.Writer provider enables you to write a Luminesce SQL query that either upserts or deletes one or more quotes to or from the LUSID Quote Store.

Note: The LUSID user running the query must have sufficient access control permissions to both use the provider and upsert or delete quote data in LUSID. This should automatically be the case if you are the domain owner.

You must construct a valid table of data to write, one quote per record. Lusid.Instrument.Quote.Writer lists the fields (columns) available to populate with values for each record, and has a set of parameters to help you construct a valid table.

Your query can use the WriteAction field to perform one of the following operations:

• Upsert a quote; that is, create a quote if it does not exist, and update it if it does. This is the default operation if you omit WriteAction.

• Delete a quote.

See also: Lusid.Instrument.Quote

Basic usage

@table_of_data = <select-statement>;
select * from Lusid.Instrument.Quote.Writer where toWrite = @table_of_data;

Query parameters

Lusid.Instrument.Quote.Writer has parameters that help you construct a valid table of data to write.

Note: The toWrite parameter is mandatory and used to actually write the table of data into LUSID.

To list available parameters, their data types, default values, and an explanation for each, run the following query using a suitable tool:

select FieldName, DataType, ParamDefaultValue, Description from Sys.Field where TableName = 'Lusid.Instrument.Quote.Writer' and FieldType = 'Parameter';

Data fields

Lusid.Instrument.Quote.Writer lists the fields you can populate in your table of data to write.

Depending on the operation you want to perform, the following fields are mandatory to include in the table of data:

Notes on providing values for mandatory fields:

• The Provider field accepts enumerated values, which include Bloomberg, DataScope, SIX, FactSet, TraderMade, Edi, Lusid and Client. If your provider isn't listed, you can represent it using Lusid or Client.

• For equity and bond prices, use the InstrumentIdType field to specify the required ID type, such as Figi, and the InstrumentId field to specify the instrument for the price quote, for example BBG000C05BD1.

• For FX rates, specify CurrencyPair for the InstrumentIdType field and <baseCurrency>/<quoteCurrency> for the InstrumentId field, for example USD/GBP.

• The QuoteType field accepts enumerated values, which include Price, Spread, Rate, LogNormalVol, NormalVol, ParSpread, IsdaSpread, Upfront, Index, Ratio and Delta.

• Field identifies the type of price provided such as bid, mid or ask.

To list all available fields, their data types, whether fields are considered 'main', and an explanation for each, run the following query using a suitable tool:

select FieldName, DataType, IsMain, IsPrimaryKey, SampleValues, Description from Sys.Field where TableName = 'Lusid.Instrument.Quote.Writer' and FieldType = 'Column';

Quote metadata fields

If your domain has quote metadata fields, such as the vendor that supplied each quote, you can add them to Lusid.Instrument.Quote.Writer as extra columns to populate in your table of data. The results return the metadata field values sent for each quote. See How do I read and write quote metadata fields using Luminesce?

Note: An upsert replaces the whole quote. Every field, including Value, Unit, ScaleFactor, Lineage and any metadata fields, comes from the record you write, and nothing is carried over from the previous version. A metadata field you leave null doesn't keep its earlier value. Earlier versions are still available by querying Lusid.Instrument.Quote with an earlier AsAt.

Write errors

We recommend examining the results of every write query using one or more of the WriteError, WriteErrorCode and WriteErrorDetail fields.

For each record in the table of data to write, Lusid.Instrument.Quote.Writer returns an error code. If the operation is successful, the error code is 0. If unsuccessful, a positive error code and explanation help you discover why LUSID considers the operation invalid.

For example, the query:

@table_of_data = select 'FinbourneMarketData' as QuoteScope, 'Lusid' as Provider, 'BBG000DMBXR2' as InstrumentId, 'Figi' as InstrumentIdType, 
'Price' as QuoteType, 'mid' as Field, 117.09 as Value, #2022-07-11# as QuoteEffectiveAt;
select WriteErrorCode, WriteError, WriteErrorDetail from Lusid.Instrument.Quote.Writer where toWrite = @table_of_data;

...fails because a Unit is not specified.

Similarly, a record with a value for a metadata field that has since been removed from your domain's quote metadata fields fails, and WriteErrorDetail names the field. Other records in the same query are still written.

Examples

Note: For more example Luminesce SQL queries, visit our Github repo.

Example 1: Upsert a USD/GBP  exchange rate quote for a particular effective date

In this example, the instrument identifier type is CurrencyPair:

@table_of_data = select 'FinbourneMarketData' as QuoteScope, 'Lusid' as Provider, 'USD/GBP' as InstrumentId, 'CurrencyPair' as InstrumentIdType, 
'Rate' as QuoteType, 'mid' as Field, 0.82 as Value, 'GBP' as Unit, #2022-07-08# as QuoteEffectiveAt;
select * from Lusid.Instrument.Quote.Writer where ToWrite = @table_of_data;

Example 2: Delete an existing USD/GBP exchange rate quote

In this example, the explicit use of 'Delete' as WriteAction performs the delete operation:

@table_of_data = select 'FinbourneMarketData' as QuoteScope, 'Lusid' as Provider, 'USD/GBP' as InstrumentId, 'CurrencyPair' as InstrumentIdType,
'mid' as Field, #2022-07-08# as QuoteEffectiveAt, 'Delete' as WriteAction;
select * from Lusid.Instrument.Quote.Writer where ToWrite = @table_of_data;

Example 3: Upsert a price quote with a quote metadata field

In this example, a vendor quote metadata field has been configured as the Vendor column:

@table_of_data = select 'my-quotes' as QuoteScope, 'Client' as Provider, 'my-instrument-1' as InstrumentId, 'ClientInternal' as InstrumentIdType,
'Price' as QuoteType, 'mid' as Field, 101.0 as Value, 'GBP' as Unit, #2024-01-01# as QuoteEffectiveAt, 'bbg' as Vendor;
select * from Lusid.Instrument.Quote.Writer where ToWrite = @table_of_data;