Securitized Derivatives API for Digital Portals client library for Python

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  • License: Apache License, Version 2.0
  • Author: FactSet Research Systems
  • Tags FactSet , API , SDK
  • Requires: Python >=3.10
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Project description

FactSet

Securitized Derivatives API for Digital Portals client library for Python

API Version PyPi Apache-2 license

Search for securitized derivative instruments, using a criteria-based screener. The API provides also fundamental data, notation-based key figures, list of barrier types, and details regarding the underlyings, their respective barriers and related cash flows, coupon lists and derived basic interest rate information.

The screener is based on securitized derivatives-specific parameters. The result is limited to the notations that satisfy all the selected filters. If more than one notation of an instrument matches the parameters, and no market priority has been specified, only the notation with the highest trading volume, averaged over one month, is considered. All identifier types used as parameters must be valid and application must have permissions for them.

Available search criteria include:

  • validation: filter for only active listings, by price quality and latest/previous available price dates
  • traded markets: filter and indicate a market priority for the validation
  • life cycle: important dates in and features of the life cycle of the securitized derivatives instruments
  • filter by issuer, country of registration of the securitized derivatives
  • underlying and related barriers, including level and distance, and resulting cash flows
  • coupon data: where applicable, occurrence and frequency of coupon payments, current interest rate range
  • performance and volatility
  • product-specific ask-based key figures (not all key figures are available for all product types):
    • bonus yield, sideways yield, maximum yield based on the ask price
    • agio, discount
    • spread
    • break even, outperformance point, parity
    • delta, weekly theta, vega, implied volatility
    • leverage, omega
    • intrinsic value, time value

Since some underlyings, e.g. an index or a performance difference of a stock and an index (alpha structure), do not represent a directly tradable asset, they do not have a price in the classical sense. Therefore, the term level is used instead of price, e.g. underlying level instead of underlying price. The endpoint does not support the search for securitized derivatives with multiple underlyings, thus only securitized derivatives with a single underlying are returned in the result.

The search can be restricted to a specific set of products by using customer-specific instrument or notation lists. Such restriction lists are set up by FactSet upon request.

This API is fully integrated with the corresponding Quotes API, allowing access to detailed price and performance information of instruments, as well as basic security identifier cross-reference. For direct access to price histories, please refer to the Time Series API for Digital Portals.

Similar criteria based screener APIs exist for equity and fixed income instruments: See the Stocks API and the Bonds API for details.

This Python package is automatically generated by the OpenAPI Generator project:

  • API version: 4.0.0
  • SDK version: 0.41.0
  • Build package: org.openapitools.codegen.languages.PythonClientCodegen

For more information, please visit https://developer.factset.com/contact

Requirements

  • Python >= 3.7

Installation

Poetry

poetry add fds.sdk.utils fds.sdk.SecuritizedDerivativesAPIforDigitalPortals==0.41.0

pip

pip install fds.sdk.utils fds.sdk.SecuritizedDerivativesAPIforDigitalPortals==0.41.0

Usage

  1. Generate authentication credentials.
  2. Setup Python environment.

    1. Install and activate python 3.10+. If you're using pyenv:

      pyenv install 3.10.0
pyenv shell 3.10.0

    2. (optional) Install poetry.

  3. Install dependencies.
  4. Run the following:

[!IMPORTANT] The parameter variables defined below are just examples and may potentially contain non valid values. Please replace them with valid values.

Example Code

from fds.sdk.utils.authentication import ConfidentialClient

import fds.sdk.SecuritizedDerivativesAPIforDigitalPortals
from fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.api import securitized_derivative_api
from fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.models import *
from dateutil.parser import parse as dateutil_parser
from pprint import pprint

# See configuration.py for a list of all supported configuration parameters.

# Examples for each supported authentication method are below,
# choose one that satisfies your use case.

# (Preferred) OAuth 2.0: FactSetOAuth2
# See https://github.com/FactSet/enterprise-sdk#oauth-20
# for information on how to create the app-config.json file
#
# The confidential client instance should be reused in production environments.
# See https://github.com/FactSet/enterprise-sdk-utils-python#authentication
# for more information on using the ConfidentialClient class
configuration = fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.Configuration(
    fds_oauth_client=ConfidentialClient('/path/to/app-config.json')
)

# Basic authentication: FactSetApiKey
# See https://github.com/FactSet/enterprise-sdk#api-key
# for information how to create an API key
# configuration = fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.Configuration(
#     username='USERNAME-SERIAL',
#     password='API-KEY'
# )

# Enter a context with an instance of the API client
with fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.ApiClient(configuration) as api_client:
    # Create an instance of the API class
    api_instance = securitized_derivative_api.SecuritizedDerivativeApi(api_client)
    attributes = [
        "_attributes_example",
    ] # [str] | Limit the attributes returned in the response to the specified set. (optional)

    try:
        # List of barrier types.
        # example passing only required values which don't have defaults set
        # and optional values
        api_response = api_instance.get_securitized_derivative_barrier_type_list(attributes=attributes)

        pprint(api_response)
    except fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.ApiException as e:
        print("Exception when calling SecuritizedDerivativeApi->get_securitized_derivative_barrier_type_list: %s\n" % e)

    # # Get response, http status code and response headers
    # try:
    #     # List of barrier types.
    #     api_response, http_status_code, response_headers = api_instance.get_securitized_derivative_barrier_type_list_with_http_info(attributes=attributes)


    #     pprint(api_response)
    #     pprint(http_status_code)
    #     pprint(response_headers)
    # except fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.ApiException as e:
    #     print("Exception when calling SecuritizedDerivativeApi->get_securitized_derivative_barrier_type_list: %s\n" % e)

    # # Get response asynchronous
    # try:
    #     # List of barrier types.
    #     async_result = api_instance.get_securitized_derivative_barrier_type_list_async(attributes=attributes)
    #     api_response = async_result.get()


    #     pprint(api_response)
    # except fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.ApiException as e:
    #     print("Exception when calling SecuritizedDerivativeApi->get_securitized_derivative_barrier_type_list: %s\n" % e)

    # # Get response, http status code and response headers asynchronous
    # try:
    #     # List of barrier types.
    #     async_result = api_instance.get_securitized_derivative_barrier_type_list_with_http_info_async(attributes=attributes)
    #     api_response, http_status_code, response_headers = async_result.get()


    #     pprint(api_response)
    #     pprint(http_status_code)
    #     pprint(response_headers)
    # except fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.ApiException as e:
    #     print("Exception when calling SecuritizedDerivativeApi->get_securitized_derivative_barrier_type_list: %s\n" % e)

Using Pandas

To convert an API response to a Pandas DataFrame, it is necessary to transform it first to a dictionary.

import pandas as pd

response_dict = api_response.to_dict()['data']

simple_json_response = pd.DataFrame(response_dict)
nested_json_response = pd.json_normalize(response_dict)

Debugging

The SDK uses the standard library logging module.

Setting debug to True on an instance of the Configuration class sets the log-level of related packages to DEBUG and enables additional logging in Pythons HTTP Client.

Note: This prints out sensitive information (e.g. the full request and response). Use with care.

import logging
import fds.sdk.SecuritizedDerivativesAPIforDigitalPortals

logging.basicConfig(level=logging.DEBUG)

configuration = fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.Configuration(...)
configuration.debug = True

Configure a Proxy

You can pass proxy settings to the Configuration class:

  • proxy: The URL of the proxy to use.
  • proxy_headers: a dictionary to pass additional headers to the proxy (e.g. Proxy-Authorization).
import fds.sdk.SecuritizedDerivativesAPIforDigitalPortals

configuration = fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.Configuration(
    # ...
    proxy="http://secret:password@localhost:5050",
    proxy_headers={
        "Custom-Proxy-Header": "Custom-Proxy-Header-Value"
    }
)

Custom SSL Certificate

TLS/SSL certificate verification can be configured with the following Configuration parameters:

  • ssl_ca_cert: a path to the certificate to use for verification in PEM format.
  • verify_ssl: setting this to False disables the verification of certificates. Disabling the verification is not recommended, but it might be useful during local development or testing.
import fds.sdk.SecuritizedDerivativesAPIforDigitalPortals

configuration = fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.Configuration(
    # ...
    ssl_ca_cert='/path/to/ca.pem'
)

Request Retries

In case the request retry behaviour should be customized, it is possible to pass a urllib3.Retry object to the retry property of the Configuration.

from urllib3 import Retry
import fds.sdk.SecuritizedDerivativesAPIforDigitalPortals

configuration = fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.Configuration(
    # ...
)

configuration.retries = Retry(total=3, status_forcelist=[500, 502, 503, 504])

Documentation for API Endpoints

All URIs are relative to https://api.factset.com/wealth/v4

Class Method HTTP request Description
SecuritizedDerivativeApi get_securitized_derivative_barrier_type_list GET /securitized-derivative/barrier/type/list List of barrier types.
SecuritizedDerivativeApi get_securitized_derivative_get GET /securitized-derivative/get Fundamental data for a single securitized derivative.
SecuritizedDerivativeApi get_securitized_derivative_key_figures_notation_get GET /securitized-derivative/key-figures/notation/get Notation-based key figures of a securitized derivative.
SecuritizedDerivativeApi get_securitized_derivative_underlying_list GET /securitized-derivative/underlying/list List of underlyings with barrier and cash flow information.
SecuritizedDerivativeApi post_securitized_derivative_issuer_search POST /securitized-derivative/issuer/search Search for issuers of securitized derivatives.
SecuritizedDerivativeApi post_securitized_derivative_notation_ranking_intraday_list POST /securitized-derivative/notation/ranking/intraday/list Ranking of securitized derivatives' notations using intraday figures.
SecuritizedDerivativeApi post_securitized_derivative_notation_screener_search POST /securitized-derivative/notation/screener/search Screener for securitized derivatives's notations based on securitized derivatives-specific parameters.
SecuritizedDerivativeApi post_securitized_derivative_notation_screener_value_ranges_get POST /securitized-derivative/notation/screener/value-ranges/get Possible values and value ranges for the parameters used in the endpoint `/securitized-derivative/notation/screener/search`.

Documentation For Models

Documentation For Authorization

FactSetApiKey

  • Type: HTTP basic authentication

FactSetOAuth2

  • Type: OAuth
  • Flow: application
  • Authorization URL:
  • Scopes: N/A

Notes for Large OpenAPI documents

If the OpenAPI document is large, imports in fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.apis and fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.models may fail with a RecursionError indicating the maximum recursion limit has been exceeded. In that case, there are a couple of solutions:

Solution 1: Use specific imports for apis and models like:

  • from fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.api.default_api import DefaultApi
  • from fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.model.pet import Pet

Solution 2: Before importing the package, adjust the maximum recursion limit as shown below:

import sys
sys.setrecursionlimit(1500)
import fds.sdk.SecuritizedDerivativesAPIforDigitalPortals
from fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.apis import *
from fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.models import *

Contributing

Please refer to the contributing guide.

Copyright

Copyright 2026 FactSet Research Systems Inc

Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at

http://www.apache.org/licenses/LICENSE-2.0

Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.

Project details

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  • License: Apache License, Version 2.0
  • Author: FactSet Research Systems
  • Tags FactSet , API , SDK
  • Requires: Python >=3.10

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