When financial data is supplied by a vendor it tends to be keyed on that vendor’s own identifier e.g. Bloomberg unique identifer, Moodys issue id, etc. Market identifiers such as SEDOL, CUSIP and ISIN are sometimes but not always supplied.
As part of the research and investment processes we want to be to identify an instrument uniquely whatever identifiers are supplied in the source. For this reason we need a Cross Reference System that associates all vendor, market, country and internal identifiers with the instrument.
At the moment I am building such a system and, at the outset it looked a relatively straightforward task. However, there a few real world issues that complicate the issue:
- identifiers are not static: they can be modified when corporate actions cause changes in ownership of the issuer of the instrument. Also identifiers get reused after the original issued instrument has matured or expired.
- identifiers are not always unique: the same identifier can be used for subsequent block issues of the same instrument
- it is unclear when to expire identifiers: it is when the instrument matures?
- where data is received from multiple sources and the instrument identifiers conflict, how do you choose which vendor is correct?
On Friday I demonstrated our solution to the problem which went down well with our internal Business and IT customers. The main question was when are we going live? When will we add more asset types to the system?
As I learnt in my time in the Telecoms/Cable world, “content is king”, not the delivery mechanism or the infrastructure. The key to the success of the system will be how fast we can introduce new content. Our next release aims to address this through the use of ILOG’s JRules Business Rules Management System which will allow new data sources to be configured and added rapidly without software development. More on this on a later blog entry.
