Calculate volatility metrics

API Catalog//

Calculate volatility metrics

Request

Calculate volatility metrics for an aggregate (Testing).

Security

HTTPBearer

Bodyapplication/jsonrequired

aggregate_idinteger, > 0(Aggregate Id)required

Aggregate ID

intervalstring(IntervalEnum)

Time interval

Default:"1d"

Enum:"10min""30min""1h""1d""1w""1m""1y"

start_datestring, (date-time)(Start Date)required

Start date

end_datestring, (date-time)(End Date)required

End date

metricstring(Metric)

Metric to analyse

Default:"retail_net_turnover"

asset_classstring(AssetClassEnum)

Asset class

Default:"cash"

Enum:"all""cash""options"

curl -i -X POST \
  https://docs.vanda-analytics.com/_mock/apis/aggregates/vanda-msvc-aggregates/aggregates/analytics/volatility \
  -H 'Authorization: Bearer <YOUR_TOKEN_HERE>' \
  -H 'Content-Type: application/json' \
  -d '{
    "aggregate_id": 1,
    "interval": "10min",
    "start_date": "2019-08-24T14:15:22Z",
    "end_date": "2019-08-24T14:15:22Z",
    "metric": "retail_net_turnover",
    "asset_class": "all"
  }'

Responses

Successful Response

Bodyapplication/json

aggregate_idinteger(Aggregate Id)required

Aggregate ID

vanda_idstring(Vanda Id)required

Vanda identifier

metricstring(Metric)required

Metric analysed

meannumber(Mean)required

Mean value

std_devnumber, >= 0(Std Dev)required

Standard deviation

coefficient_of_variationnumber or null(Coefficient Of Variation)

Any of:

Coefficient of variation (percentage)

>= 0

number

minnumber(Min)required

Minimum value

maxnumber(Max)required

Maximum value

data_pointsinteger, >= 0(Data Points)required

Number of data points

intervalstring(Interval)required

Time interval

Response

{
  "aggregate_id": 0,
  "vanda_id": "string",
  "metric": "string",
  "mean": 0,
  "std_dev": 0,
  "coefficient_of_variation": 0,
  "min": 0,
  "max": 0,
  "data_points": 0,
  "interval": "string"
}