Index Metadata¶

Overview¶

The description about index, captured from Investopedia ¹

An index is a method to track the performance of a group of assets in a standardized way. Indexes typically measure the performance of a basket of securities intended to replicate a certain area of the market.

Based on research, we designed this ERD concept related to index. Each of index has been create, manage, authorize by the exchange by issue the ground rules then make the index.

---
title: ERD of Index
---
erDiagram
  EXCHANGE ||--|| GROUND-RULES : issue
  GROUND-RULES ||--|{ INDEX : create
  INDEX ||--|{ CONSTITUENT : has
  CONSTITUENT ||--}| TICKER : has
  INDEX ||--|{ PROFILE : has
  PROFILE ||--o{ GROUND-RULES : related
  TICKER }|..|{ METADATA : contain

Implement¶

Index Profile¶

Each index has a profile that described the attributes of index like name, methodology of tracking, calculate method,... This required to authorized by exchange and has the ground rules related to that index.

At this point, currently we focus on Vietnam market, which has 2 stock exchange:

1. Ho Chi Minh Stock Exchange [Code: HOSE, shortcut: HSX]. Website: Official HSX website

2. Hanoi Stock Exchange [Code: HANO, shortcut: HNX]. Website: Official HNX website

Let take an example frrom the introduction of Hanoi Stock Exchange:

HNX Indices are built based on the methodology in the Ground Rules of HNX Indices. Constituent stocks are selected from all the Hanoi Stock Exchange (HNX) stocks on the listed stock market or UPCoM and classified according to Hanoi Standard Industry Classification (HaSIC). A copy of the Ground Rules of HNX Indices is available on the website hsx.vn

Indices are calculated in Vietnamese Dong in real time and publicly disseminated by HNX on HNX Website, HNX Online trading board, Infoshow and directly distributed to data vendors and to securities companies… Based on the demand of each vendor, information on HNX indices can be subject to different delays. The delay of HNX indices’ information on HNX Website, Online trading board of HNX and Infoshow is by default 15 minutes. The Base date and base Index value of each index is specified in the Appendices.

Unless specifically detailed in this document, the methodology for the index maintenance in the Ground Rules is applied to all other HNX Indices.

The Hanoi Stock Exchange owns the copyrights for HNX indices including their names, constituents, industry classification and index calculation methodology Any copies or reprints of this document or any part of this document, for commercial purposes or any other purposes without the prior approval of the HNX are considered copyright violations and are prohibited.

The official opening and closing hours of HNX Indices are established to be same as the opening and closing hours of HNX stock market.

Ground Rules:

For HNX: Follow Index Methodology Disclosed

For HNX: Follow Introduction of Index

Table: Oversee Index [Updated at Feb, 24, 2023]

Endpoint at Pluto Production: https://prod-inno-pluto-2yrayayjeq-as.a.run.app

To fetching all index codes profiles.

curl -X 'GET' \
  'https://prod-inno-pluto-2yrayayjeq-as.a.run.app/index/profile/?offset=0&limit=10' \
  -H 'accept: application/json'

To search available index. E.g: Search VN30

curl -X 'GET' \
  'https://prod-inno-pluto-2yrayayjeq-as.a.run.app/index/profile/?code=VN30&offset=0&limit=10' \
  -H 'accept: application/json'

Index Consituent¶

Description:

The constituent is a baskets of tickers for index in a specific period. Dimensions for this dataset is index code, period and ticker.

The basket updated by the investment council and public published by Exchange.

Let take an example for HOSE, they published the init basket for period 2023-01 by following document

Source:

Came from Exchange (HNX, HSX). Published frequency described by the ground-rules for each index.

Schema:

Endpoint at Pluto Production: https://prod-inno-pluto-2yrayayjeq-as.a.run.app

Market Capitalization¶

Description:

The methodology to calculate the market capitalization for index:

with:

• i = 1,2,3,n ...

• n: number of tickers in index basket

• \(p_i\): Price of ticker i in basket at the point of calculation.

• \(s_i\): Number of outstanding share of ticker i in basket at the point of calculation.

• \(f_i\): Free-float (rounded) of ticker i in basket at the point of calculation.

• \(c_i\): the capping limit ratio of ticker i in basket at the point of calculation.

Required dataset:

Based on the methodology, the list below is required dataset to calculate this data.

• The Capture the constituents of each index

• Latest Trading OHLCV for tickers in constituents

• Get weight of each ticker in the baskets

• Captuterd Capture the outstanding share for each ticker

The errors, come up with our methodology is go align with the CMV of reported figure.

The reported figured is published at official Exchange website

• HSX at: https://www.hsx.vn/Modules/Listed/Web/HoseIndexView/?fid=726e15cba4b04cb09ae4aa0b04bffee0

• HNX at: https://hnx.vn/co-phieu-etfs/chi-so-tong-hop-thong-tin-co-ban.html > Choose index [HNX Index]

or at: https://hnx.vn/co-phieu-etfs/danh-muc-chi-so.html

Index OHLCV¶

Latest¶

[Wait] This feature waiting for testing.

Historical [Experiment]¶

[Wait] This feature waiting for testing.

Operation¶

Operation for this feature related to 3 underlying datasets:

Table: Operation Channel Datasets

The Operation URL currently are: Operation Channel

This route will be changes when we matching to the data.innotech.vn domain. We will notice you this.

Troubleshooting¶

[1] Missing the underlying index¶

Go to Operation, add new record.

[2] Wrong underlying index code¶

The Index code is not unique, because this is not authorzied. This is different between provides

At Innotech, we created the parsors for alias to handling this.

For this, updated the parsors by add/delete related to the new index.

[3] The underlying basket not updated¶

Go to Operation, add new record or upload by file

Source Reference¶