Pricing

OpenAPI provides three different resources for getting prices. The resources are called Prices, InfoPrices and OptionChain. A price is a large collection of values and attributes and if possible it's recommended that only those needed are requested. Prices are provided based on instruments which are defined by a combination of a Uic and an AssetType parameter (read more about instruments here). If the purpose is just to get a price, InfoPrices offers a request/response interface for a single price as well as a list of prices for a single AssetType. The Prices are intended for trading and works through setting up a subscription and getting values back on the streaming channel.

Anatomy of a price

A price consists of data in groups according to different uses. They can be requested through the use of the FieldGroup parameter on the request for a price. Data in the price is grouped as follows:

FieldGroup	Default	Comment
Commissions		Costs associated with buy and sell. Dependent on client setup and account/amount
DisplayAndFormat		Basic reference data about how to correctly display a price. It is convenience data intended for very simple applications and it is generally recommended that an app does not use this, but instead look the full instrument up via the Reference Data
Greeks		Contains price sensitivity data relevant for option trading. Will be empty for all other asset types
HistoricalChanges		Contains percent change values for a select set of periods of longer duration like 3 months to 5 years. This is to supplement the daily percent change can be found in PriceInfo. HistoricalChanges are only supported for StockIndices
InstrumentPriceDetails		Additional values which are specific to the underlying asset type
MarketDepth		Contains the order book for the instrument and is restricted based on feed rights
PriceInfo		Basic and probably common secondary price values (high, low, netchange, percentchange)
PriceInfoDetails		Basic and probably less common secondary price values
Quote		The core data about a price: delay, bid/mid/ask & price type.

It is recommended to only ask for the field groups needed.

Price Feeds

Values returned as part of a price is controlled by your price feed rights. Price feeds control whether prices are delayed or real time and whether there is access to market depth data. Price feeds can usually be subscribed to, to get more data. In the below example for instance the price is delayed 15 minutes.

https://gateway.saxobank.com/sim/openapi/trade/v1/infoprices?Uic=812&AssetType=Stock
 
{
  "AssetType": "Stock",
  "Quote": {
    "Amount": 0,
    "Ask": 597,
    "Bid": 596.5,
    "DelayedByMinutes": 15,
    "ErrorCode": "None",
    "Mid": 596.75,
    "PriceTypeAsk": "Indicative",
    "PriceTypeBid": "Indicative"
  },
  "Uic": 812
}

Required Parameters

In order to ask for a price, some parameters must be provided in order for OpenAPI to return a price. This is an overview of what is required:

AssetType	Uic	AssetType	ForwardDate	PutCall	ExpiryDate	Strike	LowerBarrier	UpperBarrier	Comment
FxSpot
FxForwards
FxVanillaOption
FxOneTouch, FxNoTouch
CfdOnStock
CfdOnIndex
CfdOnFutures
Stock
ContractFutures
FutureStratgy
StockIndexOption									Exchange Traded Options have an explicit strike/expiry so they do not need to be provided
StockOption									Exchange Traded Options have an explicit strike/expiry so they do not need to be provided
FuturesOption									Exchange Traded Options have an explicit strike/expiry so they do not need to be provided

Other Important Parameters

On top of the required parameters there are a few parameters that requires special attention. Obvious ones are amount and accountkey. On top of that pay special attention to:

ToClosePositionId: Is not supported for InfoPrices and is only relevant for clients on End-of-Day netting mode. It is used to indicate that the intend of getting the price is to close an existing position. 

Special Rules of Convenience  

FieldGroups: If no list of field groups are provided in the price request, the following defaults are used:

AssetTypes	Commissions	DisplayAndFormat	Greeks	HistoricalChanges	InstrumentPriceDetails	MarketDepth	PriceInfo	PriceInfoDetails	Quote
FxForwards
FxVanillaOption
FxOneTouch, FxNoTouch
Every other asset type

And the Quote field group cannot be deselected by explicitly providing something else in the request.

Amount: Pricing depends on the amount and if the amount is not provided a default will be chosen and returned in the Quote field group.

AccountKey: Identifies what account the price is for. If not provided, the client default account is assumed.

ForwardDate: For an FxSpot, the value date is always today plus two bank days. A forward date is the intended value date for the resulting spot position and must be a) more than two bank days in the future (or it would just be a spot) as well as b) within the FxForwardMinForwardDate and FxForwardMaxForwardDate range as specified on the instrument data. Note that if the forward date is a bank holiday, the provided will be for the following bank day. The date of the corrected date can be found as the value date of the price response in the InstrumentPriceDetails field group.

ExpiryDate: This parameter for Fx options behaves like the ForwardDate for forwards. If an expiry date is a bank holiday, the API will use the next following bank day as expiry date and return the corrected date in the InstrumentPriceDetails field group's ExpiryDate field.

Strike: It is highly recommended to provide a strike parameter for a FxVanillaOption price-request, but if it isn't a default strike is used. The strike price chosen for pricing is returned as the StrikePrice value in the InstrumentPriceDetails field group.

LowerBarrier + UpperBarrier: For FxOneTouch and FxNoTouch option, only one of these fields can be set. If none is provided, the API automatically picks a LowerBarrier value. The chosen LowerBarrier value is returned as LowerBarrier in the InstrumentPriceDetails field group.

What is in a Quote

Most of the field groups returned on a price are supporting information. The Quote field group however, contains the core values used for placing orders an trading. The values here must be understood together:

• Bid/Mid/Ask are the core prices - self explanatory
• DelayedByMinutes indicates whether the price is real time or delayed and if so by how much. 0 indicates real time prices
• ErrorCode
• PriceTypeBid/PriceTypeAsk

ErrorCode: Is usually None, but can indicate whether an order for that amount will be to large or to small.

PriceTypeBid/PriceTypeAsk:The values are usually the same, but there are situations where this is not the case. Usually around price subscriptions to close a position. Price types can be:

• Indicative
  In most cases this price is as relevant as a Tradable price. The exception is, that it cannot be used for spot trading on Fx options
• OldIndicative
  There are currently no prices in the market, so what the price you see here is usually that last traded from when the market was open. Typically happens for exchange traded products when the market is closed or Fx over the weekend
• NoAccess
• You are not setup for a price feed or the instrument. No price will be provided. If you beleive this is an error, please contact Saxo to be set up for prices on this instrument
• NoMarket
  There are currently no prices Trying again may yield a different result
• Pending
  There is no price right now, but if asking again it will likely be there. On subscriptions an update is likely to contain a valid price soon (common for StockIndexOptions, StockOptions and FuturesOptions)
  

QuoteID: A reference to the price used for spot trading on Fx Options.

Examples and Errors

When asking for a price a response will be provided if the instrument exists and the required parameters checks out. If not the case, the endpoints for setting up subscriptions and getting single prices can be expected to return a 400 Bad Request.

{
	"Message": "One or more properties of the request are invalid!", 
	"ModelState": 
	{ 
		"Arguments.Uic": [ "Uic must be greater than 0" ]
	},
	"ErrorCode": "InvalidModelState"
}

Subscriptions

While there is a lot one can do by simply requesting an info price, a full trading application usually requires continuous access to the latest price. For that a streaming connection must be established and a subscription on a price must be set up:

https://gateway.saxobank.com/sim/openapi/trade/v1/prices/subscriptions/active
{
	"Arguments": {
		"Uic": 21,
		"AssetType": "FxSpot"
	},
	"ContextId": "678F8H4JK",
	"ReferenceId": "eurusd_subscription1"
}

InfoPrices and Lists

InfoPrices allows two things that the regular price interface does not. First of all it allows a request/response interface to getting a price which can be convenient in situations where you don't need a stream of prices, but just a single one. It also supports getting prices for a list of instruments with some limitations. Those limitations are as follows:

• It only works with a single AssetType
• It is not possible to provide individual parameters to each instrument. I.e. asking for a price for 10,000 EURUSD and at the same time ask for prices for 10 ounces of XAUUSD is not possible. For this reason is is usually recommended to leave the optional fields blank and let OpenAPI use some sensible defaults
• A uic should not be provided more than once. Only one price per instrument
• Getting commissions is not supported on infoprices
• Error handling is different for lists. Asking for prices with invalid parameters will lead to an (partially) empty list, rather than an error in the request

In the below example we show the list interface behaves when asking for prices for the three FxSpot instruments 21 (EURUSD), 42 (USDJPY) & 10000 (Does not exist):

https://gateway.saxobank.com/sim/openapi/trade/v1/infoprices/list?Uics=21,42,10000&AssetType=FxSpot
{
  "Data": [
    {
      "AssetType": "FxSpot",
      "Quote": {
        "Amount": 100000,
        "Ask": 1.06795,
        "Bid": 1.06773,
        "DelayedByMinutes": 0,
        "ErrorCode": "None",
        "Mid": 1.06784,
        "PriceTypeAsk": "Indicative",
        "PriceTypeBid": "Indicative"
      },
      "Uic": 21
    },
    {
      "AssetType": "FxSpot",
      "Quote": {
        "Amount": 100000,
        "Ask": 112.277,
        "Bid": 112.25,
        "DelayedByMinutes": 0,
        "ErrorCode": "None",
        "Mid": 112.2635,
        "PriceTypeAsk": "Indicative",
        "PriceTypeBid": "Indicative"
      },
      "Uic": 42
    }
  ]
}

As can be seen, the semantics for lists are a little unusual in that it allows for semi illegal input and reacts by only returning the data for the valid combinations.

See also the live sample on streaming price data, including the ProtoBuf protocol (with source).