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Data sourced from multiple vendors

  1. Calendar data
    1. Provided by Swaps monitor
  2. Common Reference Data
    1. NAICS Code / GICS
      1. Industries - US Census Bureau
      2. Industry Classification Hierarchy
    2. Countries - ISO
    3. Calendar - SWAPS Monitor
    4. Currencies - ISO
    5. Exchanges
    6. Clearing Agent - SWIFT
    7. IBAN structure

Instrument Reference Data Definition

  1. Conditions, Legal-Terms
  2. Rights and Obligations
  3. Base financial instrument
  4. Famous vendors
    1. DTCC
    2. OCC
    3. Reuters
    4. Bloomberg
    5. Swaps Monitor
    6. All the exchanges
    7. Moody's & Fitch & S&Ps
    8. CME

Instrument Types

  1. Equity/Rights and Warrants
  2. Mortgages
  3. Fixed Income
    1. Bloomber - vendor
  4. Municpals
    1. (S&P) - vendor
  5. Money Markets
    1. DTCC/EuroClear - vendor
  6. Options
    1. OCC - vendor
  7. Futures
  8. Ratings
  9. Index/ETF-Compositions (vendor - Markit/DeltaOne)

Unique Identifier for instruments

  1. SEDOL
  2. CUSIP
  3. ISIN
  4. CINS

Where do we get prices from?

  1. Exchanges and Vendors
  2. Bloomberg
  3. IHS Markit
  4. SIX Financial (VALOREN - swizz security number)
  5. Morning Star
  6. Pricing Direct
  7. Retuers (RIC)

Old data

Reference

  1. The Options Clearing Corporation (OCC)