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MantaRisk REST API (0.1)

Download OpenAPI specification:

E-mail: support@mantarisk.com
https://docs.mantarisk.com/

User Management

Obtain user status

View user information

Returns status information about the user currently logged in (token).

Authorizations:
ApiKeyAuth

Responses

Response samples

Content type
application/json
{
  • "name": "Account Name",
  • "userid": 91,
  • "email": "account.name@test.com",
  • "organisation": "MyOrg",
  • "credits_consumed": 50000,
  • "subscriptions": [
    ],
  • "credits_remaining": 50000,
  • "credits_total": 100000
}

Update user information

Allow the user's name to be modified.

Authorizations:
ApiKeyAuth
query Parameters
username
required
string

the display name for the user

Responses

Delete user and all associated data

USE WITH CAUTION! Delete this user and all its associated data.

Authorizations:
ApiKeyAuth
query Parameters
userid
required
integer

the display name for the user

Responses

Price History Management

  • Load price history for proprietary instruments
  • Load price / performance history for portfolios
  • Obtain a status of the data loaded into the platform
  • Delete data
  • Search for instruments
  • Obtain the list of data providers available on this account

Delete historical data

Delete all data associated with this (user created) instrument.

Authorizations:
ApiKeyAuth
query Parameters
instrument_code
string
all_data
boolean

if true, delete all historical data associated with this account. Use with care

Responses

View status or historical data

Obtains the cache status for this instrument. If a timeframe is specified, returns the historical data associated with this instrument and timeframe

Note that this endpoint will not return anything other than user inputted data. MantaRisk does not provide an endpoint to obtain historical prices for its own pricing data.

The history endpoint allows a user of the API to inject and control its own data into the MantaRisk platform in case 1) the instrument coverage of the platform is not sufficient (e.g. missing instruments) or 2) to input a portfolio's historical performance for further analysis through the platform's analytics.

Authorizations:
ApiKeyAuth
query Parameters
instrument_code
required
string
timeframeid
integer

0 (week), 1 (day), 2 (2 hours), 3 (1 hour), 4 (15 minutes)

start_date
string <date-time>

start of the period in RFC 3339 section 5.6 format e.g. 2019-10-12T07:20:50Z

currency
string <string>
Example: currency=CHF

if not specified, the historical data is returned in its local currency. If specified, it is converted to the given currency.

Responses

Response samples

Content type
application/json
{
  • "instrument": {
    },
  • "historyStatus": [
    ]
}

Add historical data

Update the historical cache for this instrument / timeframe. Open, high, low, close and volume are all assumed to be adjusted for dividends and splits where relevant. For fixed income instruments the historical data is assumed to be the "clean" data i.e. without interest payments, these are specified in the instrument object.

This endpoint is for inputting user data in cases where MantaRisk does not cover a specific instrument or if the pricing data is controlled by the user (e.g. portfolio's performance). The pricing data must be adjusted for both dividends and splits.

The history endpoint allows a user of the API to inject and control its own data into the MantaRisk platform in case 1) the instrument coverage of the platform is not sufficient (e.g. missing instruments) or 2) to input a portfolio's historical performance for further analysis through the platform's analytics.

Authorizations:
ApiKeyAuth
Request Body schema: application/json
required

Historical data

instrument_equity (object) or instrument_fixed_income (object) or instrument_derivative (object) or instrument_generic (object) (instrument)
timeframe_id
integer
Enum: 0 1 2 3 4

0 (week), 1 (day), 2 (2 hours), 3 (1 hour), 4 (15 minutes) - denotes the granularity of the time series (usually daily candles i.e. 1)

Array of objects (ohlc)

Responses

Request samples

Content type
application/json
{
  • "instrument": {
    },
  • "timeframe_id": 1,
  • "history": [
    ]
}

List of pricing data providers available on this account

Returns the list of the pricing data providers currently available on this account.

The "User Feed" API denotes the API id which must be used to retrieve user inputted pricing data.

Authorizations:
ApiKeyAuth

Responses

Response samples

Content type
application/json
[
  • {
    },
  • {
    }
]

Search for an instrument

Allows a user to search the instruments available within the platform. This includes user fed instruments as well as the instrument coverage provided directly by MantaRisk. The results are ordered from the most likely primary exchange to the least.

Authorizations:
ApiKeyAuth
query Parameters
searchstring
string

Name or symbol of the instrument

symbol
string
Example: symbol=AAPL

Symbol ticker of the instrument e.g. AAPL, EUR/USD, ...

mic_code
string
Example: mic_code=XNGS

Market Identifier Code (MIC) under ISO 10383 standard

isin
string
Example: isin=US0378331005

International Securities Identification Number (ISIN) - 12-digit alphanumeric code that uniquely identifies a specific security

currency
string
Example: currency=USD

Currency of the instrument - helps filtering if there are multiple results

Responses

Response samples

Content type
application/json
[
  • {
    }
]

Confirm data coverage, find best matching instrument

Allows a user to confirm coverage for isin / currency pairs. This endpoint returns the best matching instrument, looking at exchange priority and also data quality. The results should be stored by the user and re-used with the rest of the API.

Authorizations:
ApiKeyAuth
query Parameters
method
required
string
Value: "ISIN_CURRENCY"

ISIN_CURRENCY, as an input, the JSON is an array of {isin, currency} objects and the CSV has isin and currency columns.

  • International Securities Identification Number (ISIN): 12-digit alphanumeric code that uniquely identifies a specific security.
  • Currency is the 3 alpha code following the ISO 4217 standard.
format_input
string
Enum: "JSON" "CSV"

Format of the data passed in the body of this call. Default is JSON

format_output
string
Enum: "JSON" "CSV"

Format of the response from this endpoint. Default is JSON

Request Body schema: application/json
required

Dependent on chosen method

Schema not provided

Responses

Request samples

Content type
application/json
[
  • {
    },
  • {
    }
]

Response samples

Content type
application/json
[
  • {
    }
]

Portfolio Data Management

  • Load portfolio composition data into the platform
  • Delete portfolio data
  • Obtain a status of the portfolio data i.e. whether it has been loaded or not

Delete portfolio(s)

  • Delete the specified portfolio when a clientReference has been provided and allData is false
  • Delete all portfolios when no clientReference has been specified and allData is true
Authorizations:
ApiKeyAuth
query Parameters
client_reference
string

client side unique identifier for the portfolio

all_data
boolean

if true, delete all portfolios associated with this account. Use with caution

Responses

Add or modify a portfolio

This endpoint is used to notifies MantaRisk of a new portfolio or a change in an existing portfolio. This allows MantaRisk to cache historical data and perform costly computations ahead of time. This endpoint should be called before any analysis is run when:

  1. The portfolio composition has changed. For instance when a stock picker is adding stocks to its portfolio.
  2. The positions held for a given portfolio have changed. For instance a stock has been bought or sold. This enables the /portfolio/analysis endpoint to perform order management using the selected portfolio strategy.

Please ensure the wishlist is populated. The wishlist is the instrument universe you would like MantaRisk to consider when looking at your portfolio. An empty wishlist means you desire an empty portfolio. A wishlist with more instruments than currently open positions indicates you are looking at investing in other assets. A wishlist smaller than currently open positions means you are looking at divesting etc.

Note: this endpoint may time out here in swagger. The portfolio is however still being loaded in the background. There is no need to call this endpoint again. Please use GET /portfolio to confirm the loading status.

Authorizations:
ApiKeyAuth
query Parameters
client_reference
required
string

client side unique identifier for the portfolio

Request Body schema: application/json
required

Composition of the portfolio

required
object (capital)
required
Array of objects (wish)
Array of objects (position)

Responses

Request samples

Content type
application/json
{
  • "capital": {
    },
  • "wishlist": [
    ],
  • "positions": [
    ]
}

View portfolio(s)

This method provides the status of one or more portfolios, showing their capital, composition and, importantly, their data load status. Attempting to analyse a portfolio whose data has not yet been fully loaded may lead to a timeout. It is best practice to check the data load state of a portfolio before triggering an analysis. Returns:

  • A status of all portfolios stored in MantaRisk if no reference is provided
  • A status of the portfolio whose reference has been specified
Authorizations:
ApiKeyAuth
query Parameters
client_reference
string

client side unique identifier for the portfolio

Responses

Response samples

Content type
application/json
[
  • {
    }
]

Strategy

  • Add / delete portfolio management strategies to the platform
  • Obtain analytics pertaining to strategies
  • Obtain inventories of constraint and rule types available

List of constrainable geographies

List of geographies which can be used as strategy constraints. Use the id as parameter in the constraint_generic schema

Authorizations:
ApiKeyAuth

Responses

Response samples

Content type
application/json
[
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    },
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    },
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    },
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    },
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    },
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    },
  • {
    },
  • {
    },
  • {
    }
]

List of constrainable sectors

List of sectors which can be used as strategy constraints. Use the id as parameter in the constraint_generic schema

Authorizations:
ApiKeyAuth

Responses

Response samples

Content type
application/json
[
  • {
    },
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    },
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    },
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    },
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    },
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    },
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    },
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    },
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    },
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    },
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    }
]

List of constrainable currencies

List of currencies which can be used as strategy constraints. Use the id as parameter in the constraint_generic schema

Authorizations:
ApiKeyAuth

Responses

Response samples

Content type
application/json
[
  • {
    },
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    },
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    },
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    },
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    },
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    },
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    }
]

List of constrainable asset classes

List of asset classes which can be used as strategy constraints. Use the id as parameter in the constraint_generic schema

Authorizations:
ApiKeyAuth

Responses

Response samples

Content type
application/json
[
  • {
    },
  • {
    },
  • {
    },
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    },
  • {
    },
  • {
    },
  • {
    },
  • {
    }
]

List of risk management / portfolio optimisation rules

List of risk management / portfolio optimisation rules can be used to build a risk management strategy. Use the rule_id within the strategy schema

Authorizations:
ApiKeyAuth

Responses

Response samples

Content type
application/json
[
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    },
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    },
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    },
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    },
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    },
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    },
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    },
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    },
  • {
    }
]

View strategy(s)

This method provides the detail of one or more strategies. Strategies are created using MantaRisk's UI.

If a strategyid is provided, the query will return the detail of the specified strategy alongside any analysis that was carried on it.

If a strategyid is not provided, the query will return the detail of all strategies but will not provide their associated analysis even if these are presetn in the system.

Authorizations:
ApiKeyAuth
query Parameters
strategy_id
integer

optional - the strategyid can be found on the MantaRisk UI or by using this method without specifying a strategyid

Responses

Response samples

Content type
application/json
[
  • {
    }
]

Delete a strategy

Delete a strategy

Authorizations:
ApiKeyAuth
query Parameters
strategy_id
required
integer

unique identifier for the strategy

Responses

Add a new portfolio optimisation strategy to this account

Authorizations:
ApiKeyAuth
Request Body schema: application/json
required

Optimisation strategy

name
required
string

User assigned name of the strategy

strategy_id
integer

MantaRisk's internal id for the strategy. This is used to uniquely identify the risk management strategy in other calls and is populated by MantaRisk only. Not needed to save a Strategy object.

required
Array of objects

Responses

Request samples

Content type
application/json
{
  • "name": "Example Strategy",
  • "rules": [
    ]
}

Response samples

Content type
application/json
{
  • "strategy_id": 243
}

Analytics

  • Price curve analytics
  • Portfolio rebalancing
  • Backtesting of portfolio / strategy
  • Instrument / portfolio benchmarking
  • Exposure calculations

Compute the risk analytics associated with an instrument

Returns the following analytics for the given price curve:

  • Correlation based exposure to the following factor types: crypto, geographic, currency, commodity, fixed income (fixed_income) and sector. Only the most relevant factors are provided in any given analysis.
  • Idiosyncratic risk: the residual (error term) in the regression; random fluctuations not explained by factors.
  • Alpha: The intercept of the regression; the expected return not explained by factor exposures.
  • CVAR over daily, weekly and monthly periods for the 2.5%, 5% and 10% quantiles
  • VAR over daily, weekly and monthly periods for the 2.5%, 5% and 10% quantiles
  • Volatility over daily, weekly and monthly periods
  • Average returns: defined as the average return over 5 years on daily and monthly timeframes. Will be deprecated in the next release. Replaced by sample based equally weighted returns (see below)
  • Sample based expected returns: defined as the average return over 5 years. Provided either equally or exponentially weighted and over daily, weekly and monthly timeframes.
  • Factor based expected returns: model that calculates an asset's anticipated performance based on its exposure to MantaRisk's risk factors that are believed to drive investment returns. Provided either equally or exponentially weighted and over daily, weekly and monthly timeframes.

This endpoint can be used with any instruments including price curves you have entered through the PUT /history endpoint.

This endpoint can be used to caculate analytics for a portfolio whose performance history has been entered through the PUT /history endpoint. A /portfolio/analytics endpoint is also offered to analyse a portfolio composition has opposed to the portfolio performance history.

A time serie can be loaded in the platform using the PUT /history endpoint. Its instrument_code (provided by you in the previous endpoint) and your user apiid (see GET /api) can then be used here.

Authorizations:
ApiKeyAuth
query Parameters
instrument_code
required
string
Example: instrument_code=AAPL_XNGS

Can be found using the GET /history or GET/history/instrument endpoints

apiid
required
integer
Example: apiid=8

Can be found using the GET /history or GET/history/instrument endpoints

Responses

Response samples

Content type
application/json
{
  • "risk": {
    },
  • "exposure": [
    ],
  • "expected_returns": {
    },
  • "average_returns": {
    },
  • "regression": {
    }
}

Benchmark an instrument / price curve against another instrument / price curve

Benchmark a specific instrument (or price curve e.g. portolfio returns) against another instrument / price curve e.g. the S&P 500.

To compare a price curve (e.g. portfolio performance), it must be first entered into MantaRisk using the PUT /history endpoint.

The following analytics are provided:

  • Alpha measures the amount that the investment has returned in comparison to the benchmark that it is compared against. Alpha is expressed in terms of daily log returns e.g. a alpha of 0.01 means the instrument outperforms the benchmark by 1% on average daily.
  • Beta is an indication of the volatility of the instrument in comparison with the benchmark. The benchmark commonly is the S&P 500 as a proxy measurement for the market. The baseline number for beta is one, which indicates that the instrument's price moves exactly as the market moves. A beta of less than 1 means that the instrument is less volatile than the market, while a beta greater than 1 indicates that its price is more volatile than the market e.g. a beta of 1.5 is considered to be 50% more volatile than the overall market.
  • Idiosyncratic risk is the portion of the instrument which is uncorrelated to the benchmark e.g. sectorial trends, geopolitics etc. The term “risk” here is misleading. A high idiosyncratic risk just means the investment is not correlated with the benchmark. This is expressed as a return percentage over one month.
  • CVAR (95% percentile over one month): expected worst case scenario loss over a one period month.

A time serie can be loaded in the platform using the PUT /history endpoint. Its instrument_code (provided by you in the previous endpoint) and your user apiid (see GET /api) can then be used here.

Authorizations:
ApiKeyAuth
query Parameters
instrument_code
required
string
Example: instrument_code=AAPL_XNGS

Can be found using the GET /history or GET/history/instrument endpoints

apiid
required
integer
Example: apiid=8

Can be found using the GET /history or GET/history/instrument endpoints

benchmark_instrument_code
required
string
Example: benchmark_instrument_code=SPY_ARCX

Can be found using the GET /history or GET/history/instrument endpoints

benchmark_apiid
required
integer
Example: benchmark_apiid=8

Can be found using the GET /history or GET/history/instrument endpoints

Responses

Response samples

Content type
application/json
{
  • "alpha": 0.04264219015288773,
  • "beta": 1.191280546269532,
  • "cvar": -0.15796703596908965,
  • "idiosyncratic_risk": 0.06367893229116413
}

Run a portfolio rebalancing (optimisation) and compute associated risk analytics

Portfolio optimisation / rebalancing. Given a specific optimisation algorithm, returns the corresponding portfolio composition, tactical analysis and orders to be executed.

Please make sure the portfolio data has been loaded before calling this method by using the GET /portfolio endpoint. An analysis that is started before the portfolio data has been fully loaded will take longer.

Authorizations:
ApiKeyAuth
query Parameters
client_reference
required
string

Unique identifier for the portfolio

strategy_id
required
integer

Unique identifier for the risk management strategy

benchmark_client_reference
string

For tracking error minimization only, portfolio to track

Responses

Response samples

Content type
application/json
{
  • "orders": [
    ],
  • "capital": {
    },
  • "tactical_analysis": [
    ],
  • "portfolio_rebalance": {
    },
  • "client_reference": "test"
}

Run a portfolio backtest

Starts a portfolio backtest, use the get method endpoint to poll for the response.

Authorizations:
ApiKeyAuth
query Parameters
client_reference
required
string

unique identifier for the portfolio

strategy_id
required
integer

unique identifier for the risk management strategy

start_date
required
string <date>
Example: start_date=2020-01-01

date from which the backtest is run (inclusive) in RFC3339 format

end_date
required
string <date>
Example: end_date=2023-12-30

date until which the backtest is run (inclusive) in RFC3339 format

Responses

Obtain the results of a portfolio backtest

Returns the results of a portfolio backtest. Check the status field of the response first. If the status is Complete then the response contains the results. If the status is Started then computations are underway and this call must be made again at a later stage to get the results. If the status is Not Queued then either the Put method has not been called or something went wrong.

Authorizations:
ApiKeyAuth
query Parameters
client_reference
required
string

unique identifier for the portfolio

strategy_id
required
integer

unique identifier for the risk management strategy

Responses

Response samples

Content type
application/json
{
  • "positions": [
    ],
  • "yearlyReturn": "29.43%",
  • "costs": 0,
  • "lowestPnL": -22583.912000000004,
  • "portfolioId": 3,
  • "strategyId": 88,
  • "status": "Completed",
  • "pnLSerie": [
    ],
  • "nprofitToTotalRatio": "60.26%",
  • "avgProfitLossRatio": "184.04%",
  • "averageTradeDuration": "243d 22h 58m",
  • "pnL": 117986.74799999999
}

Compute the risk analytics associated with a portfolio

"Returns the following analytics for the given portfolio as defined by its open positions. If the portfolio passed to this method does not have at least a single open position, this method will not return anything.

Per portfolio component:

  • Correlation based exposure to sectors, countries and currencies
  • CVAR over daily, weekly and monthly periods for the 2.5%, 5% and 10% quantiles
  • VAR over daily, weekly and monthly periods for the 2.5%, 5% and 10% quantiles
  • Volatility over daily, weekly and monthly periods
  • Marginal contribution to risk, allowing to understand the individual contribution of an instrument to the overall risk of the portfolio
  • Average returns: defined as the average return over 5 years on a daily, weekly or monthly timeframe

At portfolio level:

  • Correlation based exposure to sectors, countries and currencies
  • CVAR over daily, weekly and monthly periods for the 2.5%, 5% and 10% quantiles
  • VAR over daily, weekly and monthly periods for the 2.5%, 5% and 10% quantiles
  • Volatility over daily, weekly and monthly periods
  • Diversification ratio: metric used to quantify the level of diversification within a portfolio. MantaRisk uses the definition according to Choueifaty and Coignard (2008) where this ratio considers both the number of assets in the portfolio and the correlations between them. A higher diversification ratio indicates a more diversified portfolio, meaning the assets are less likely to move in the same direction, reducing overall portfolio risk.
  • Average returns: defined as the average return over 5 years on daily and monthly timeframes. Will be deprecated in the next release. Replaced by sample based equally weighted returns (see below)
  • Sample based expected returns: defined as the average return over 5 years. Provided either equally or exponentially weighted and over daily, weekly and monthly timeframes.
  • Factor based expected returns: model that calculates an asset's anticipated performance based on its exposure to MantaRisk's risk factors that are believed to drive investment returns. Provided either equally or exponentially weighted and over daily, weekly and monthly timeframes.
  • R Squared: proportion of the variance explained by the risk factors. 1 - R^2 is therefore equivalent to the idiosyncratic risk i.e. the portion of the portfolio which cannot be explained by the risk factors.

Portfolios can be entered into MantaRisk using the PUT /portfolio endpoint.

Authorizations:
ApiKeyAuth
query Parameters
client_reference
required
string

unique identifier for the portfolio

Responses

Response samples

Content type
application/json
{
  • "risk": {
    },
  • "exposure": [
    ],
  • "components": [
    ],
  • "expected_returns": {
    },
  • "factor_summary": [
    ],
  • "diversification_ratio": {
    },
  • "r_squared": {
    }
}

View strategy(s)

This method provides the detail of one or more strategies. Strategies are created using MantaRisk's UI.

If a strategyid is provided, the query will return the detail of the specified strategy alongside any analysis that was carried on it.

If a strategyid is not provided, the query will return the detail of all strategies but will not provide their associated analysis even if these are presetn in the system.

Authorizations:
ApiKeyAuth
query Parameters
strategy_id
integer

optional - the strategyid can be found on the MantaRisk UI or by using this method without specifying a strategyid

Responses

Response samples

Content type
application/json
[
  • {
    }
]

Analyse a strategy

Trigger the analysis of the given strategy against all portfolios held within this account. The analysis is run asynchronously. The % completion of the analysis can be obtained through the /strategy GET method.

Authorizations:
ApiKeyAuth
query Parameters
strategy_id
required
string

the strategy_id can be found on the MantaRisk UI or by using the /strategy GET method without specifying a strategyid

Responses

Performance Attribution

Perform performance attribution analysis

Get index list

Returns the list of available indexes to perform portfolio attribution analysis against.

Authorizations:
ApiKeyAuth

Responses

Response samples

Content type
application/json
[
  • {
    },
  • {
    },
  • {
    }
]

Returns the performance attribution analysis for the given portfolio / index combination

Our risk and portfolio attribution methodology employs an enhanced Brinson model to decompose risk and performance across the following dimensions: sectors, asset classes, and domiciles. This detailed analysis provides insights into the following key components:

  • Allocation Effect: Measures the performance impact resulting from overweighting or underweighting specific sectors, asset classes, or domiciles relative to the benchmark.
  • Selection Effect: Quantifies the value added or subtracted by selecting specific securities within each sector, asset class, or domicile compared to the benchmark.
  • Interaction Effect: Captures the combined, and often non-additive, performance impact of allocation and selection decisions.
  • Marginal Contribution to Risk (Volatility): Determines the individual marginal contribution of each sector, asset class, or domicile to the overall portfolio volatility and compares it the marginal contribution to risk to the overall benchmark volatility"
Authorizations:
ApiKeyAuth
query Parameters
client_reference
required
string

unique identifier for the portfolio

index_symbol
required
string

symbol of the index / ETF / Fund to benchmark against. Please refer to the GET /index endpoint for a list of viable symbols

horizon
required
string
Enum: "day" "month"

horizon of the performance attribution analysis.

model
string
Enum: "BrinsonFachlerEquityAttribution" "HierarchicalMultiAssetClassAttribution"

performance attribution model.

Responses

Response samples

Content type
application/json
{
  • "components": [
    ],
  • "performance_attribution": {
    }
}

Returns the performance attribution analysis for the given portfolio / benchmark portfolio combination

Our risk and portfolio attribution methodology employs an enhanced Brinson model to decompose risk and performance across the following dimensions: sectors, asset classes, and domiciles. This detailed analysis provides insights into the following key components:

  • Allocation Effect: Measures the performance impact resulting from overweighting or underweighting specific sectors, asset classes, or domiciles relative to the benchmark.
  • Selection Effect: Quantifies the value added or subtracted by selecting specific securities within each sector, asset class, or domicile compared to the benchmark.
  • Interaction Effect: Captures the combined, and often non-additive, performance impact of allocation and selection decisions.
  • Marginal Contribution to Risk (Volatility): Determines the individual marginal contribution of each sector, asset class, or domicile to the overall portfolio volatility and compares it the marginal contribution to risk to the overall benchmark volatility"
Authorizations:
ApiKeyAuth
query Parameters
client_reference
required
string

unique identifier for the portfolio

benchmark_client_reference
required
string

client reference of the portfolio to benchmark against

horizon
required
string
Enum: "day" "month"

horizon of the performance attribution analysis.

model
string
Enum: "BrinsonFachlerEquityAttribution" "HierarchicalMultiAssetClassAttribution"

performance attribution model.

Responses

Response samples

Content type
application/json
{
  • "components": [
    ],
  • "performance_attribution": {
    }
}