Operational Considerations in INDEX Data Management
ULTUMUS collates all the respective Index data from the various providers, FTSE, MSCI, S&P, STOXX, Solactive, Hang Seng and Nikkei and collates it into one simple structure. This is a complicated process as index companies has processes that have been built up over a number a years, that sometimes have not adapted to reflect the range of data now available. ULTUMUS takes all this benchmark data in the multiple formats and delivery methods and consolidates it into a single and simplified REST based feed.
This becomes an even more of a consideration when you consider that an index is not merely a point in time mark but is in fact a time series range of data. For instance ULTUMUS collates all the official Index close positions, reflecting the value / market capitalisation of the index when the respective markets shut, however most providers now a days also provide an open position for the theoretical open position for the next day, encompassing all corporate actions, dividends and stock adjustment within the index, additionally on top of this you also have identifier changes to reflect the corporate actions.
Most index providers also supply look forward corporate action files for multiple days showing the impact on the index of any upcoming corporate actions, combined with this this is also the index rebalance files.
ULTUMUS takes all of these respective data files and structures them into a time series JSON based api, designed for programmatic consumption, thus making the Index Management significantly easier for clients.
Index Calculation Methodology
There are numerous index calculation methodologies, Laspeyres, Paasche, Market Cap weighted, Chained and free float, however all of these different methodologies makes comparison / performance measurement very difficult, this is why Ultumus over lays the provider information with a simplified calculation allowing for price times number of units all over divisor, this is done whilst maintaining any of the original provider factors or adjustment, such that clients have visibility down to the nth degree of any changes.
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