Open API

The aggregated amounts endpoint contains most numbers needed to do high level reporting on Client accounts.

The dataset can be queried for Client, Accountgroup and Account level and includes a range of different amounts per day per instrument per account.

The individual amount types are specified by AmountTypeName(name of the type) and AmountTypeID(internal Saxo ID for the type)


Amount Types

Each data point includes the amount in instrument Currency, Account currency, Client currency converted using end of day exchange rates.

Amounts can be split into two sub segments:


Booked amounts, signified by a positive ID.

These values include anything booked in the period split out into amount type. Bookings where the field "AffectsBalance" is true are bookings which affected the clients cash balance.


Constructed Amounts, signified by a negative ID

These amounts are constructed values constructed as part of our daily processing. These amounts are typically constructed based on a range of other amounts or values.

for example PnL is constructed using the following equation:

PnL(t)  = Value of position(t) + Sum(Amounts Booked (t)) - Value of position(t-1) - Security transfers(t)


Amount Classifications

In order to do cost reporting and to cater for summation across amount types two levels of amount classifications have been done.

Using the two classifications in combination allows for granular breakdowns of amounts between amount types.

AmountClass

The amountclass signifies whether the amount is a payment or a cost

NameDescription
NotAssigned Amount Type is not assigned. Trade PL for example is neither a cost or a payment.
OngoingChargesCosts not associated  with a trade such as financing charges or interest paid.
OngoingPaymentOngoing payments from securities such as dividends and bond coupons
TransactionCostsCosts associated  with a specific transactions such as commission, spread and currency conversion.

AmountSubClass

The AmountSubClass signified how the amounts was booked


ExternalCosts Costs not booked within Saxo Bank such as costs within mutual funds
InstrumentRelated Amounts relating to a security
ManagementFee Amounts booked as part of a managed account service fee
NonBookedCosts

 Amounts that are deduced rather than booked. this includes spread, markup and currency conversions costs.

Please note that nonbookedcosts are not fully available for historically.

NonInstrumentRelated Amounts that are booked without any relationship to a specific security.
NotAssignedAmount Sub class not assigned.


Use Cases

The invidual amount types can be used for various purposes including PL attribution, Asset Allocation over time, Account value reconstruction.

By aggregating amounts over various horizons such as instrument, AssetType, Date etc it is possible to create different views showing clients different aspects of the portfolio.

Most of the Account section in SaxoTraderGO is built on top of the aggreated amounts dataset. This includes the performance overview, the cash movements tool and the P/L tool which are be mostly constructed using this.

Please note that AmountTypeNames are subject to change which means Filtering should be done based on AmountTypeId


Examples of usage:

PnL Chart:

  1. filter data to only return AmountTypeId = -5 (PnL)
  2. Remove data where assetType = 'CM' and where Assettype = '' and where AssetType = 'IC'
  3. Group and sum values by date in either Account or Client currency

This returns a list of the Pnl per date and can also be done per assettype, Instrument, Month etc.

Calculate historic Account Values

  1. filter data to only return AmountTypeId = in (-3,-4) ( cash balances and Positions values)
  2. Group and sum values by date in either Account or Client currency

This will return the historic account value per day.


Returned data

The data returned by the endpoint can be found in our reference documentation.

List of Aggregated Amounts

Below each Constructed AmountType is described in detail. Booked amounts and descriptions can be found here: End-of-Day File Specification


Constructed Amounts
AmountTypeIDAmountTypeNameAffectsBalanceDescription
-1Security Transfers0The Total value of securities transferred in for a given instrument on a given date
-2Corrections0The total net value of corrections that happened on a given day
-3Cash Balances0The total cash balance as of the end of the day per account
-4Position Values0

The marketvalue of each Net position as of the end of the day. includes accrued interest for bonds. Equal to open Profit/loss for margin instruments

-5PnL0

The proft/loss per instrument per account per day. the PnL includes both realized and unrealized gains and be calculated as:

PositionValue +Sum(All bookings) -PositionValuePreviousBusinessDay - SecurityTransfers.

Cash transfers are currently included as Pnl, which means Pnl values where assettype = 'CM' should be excluded for most use cases.

-6Exposure0

The net exposure per instrument on a given day. for

Cash instruments(Stocks, Bonds,Funds,bond) this is equal to the marketvalue of the security.

For margin instruments(CFDs,Futures,FxSpot,FxForward etc) it is equal to the underlying exposure for the instrument.

-7Spread0Spread incurred whilst trading a given instrument on a given day calculated as (Price-Midprice)*amount ( relevant for Fx)
-8Markup0markup incurred whilst trading a given instrument on a given day (Calculated as (price-Underlying Market price) (relevant for Cfds)
-9CurrencyConversion0The total currency-conversion cost incurred on a given day
-10Fx-RollOver0The total amount incurred in non realized rollovers on a given day in a given instrument.
-11Partner Commissions0Amount paid to partner as part of revenue sharing model

-12

Saxo Group revenue sharing0Amounts shared between entities within Saxo Group
-13ETF and Mutual Funds External costs0Internal costs inside mutual funds and ETFs, calculated based on ongoing cost percentage and client holding per day.
-14Fund Inducement0Inducements received from fundhouse on by Saxo. for Mutual funds.