Intraday Index-Level Calculation

Install and import#

npm install fintech-algorithms

import { calculate } from "fintech-algorithms/index-and-benchmark-engineering/index-initialization-and-continuity/intraday-index-level-calculation";

Signature#

calculate(data)

Recomputes the level from a live price snapshot using fixed index shares and float factors. Shares and float are held constant through the session — only prices move — which is why an intraday level is cheap to compute.

Parameters#

Returns#

{ levels, divisor }

A level per snapshot, and the divisor used.

Errors#

• When a snapshot references a constituent with no index shares — throws

Complexity: time O(snapshots × constituents), space O(snapshots).

Worked example#

verified This is the worked example published in the article, replayed by the test suite on every run. The output cannot drift.

Input#

{
  "indexShares": [800, 450, 1080],
  "floatFactors": [1, 1, 1],
  "divisor": 120,
  "snapshots": [
    {
      "timestamp": "09:30",
      "prices": [50, 80, 40],
      "fxRates": [1, 1, 1]
    },
    {
      "timestamp": "10:00",
      "prices": [50.5, 79, 40.2],
      "fxRates": [1, 1, 1]
    },
    {
      "timestamp": "10:30",
      "prices": [51, 79.5, 40.6],
      "fxRates": [1, 1, 1]
    }
  ]
}

Call#

calculate(data)

Returns#

object with 2 fields: levels, divisor

{
  "levels": [
    {
      "timestamp": "09:30",
      "numerator": 119200,
      "level": 993.333333
    },
    {
      "timestamp": "10:00",
      "numerator": 119366,
      "level": 994.716667
    },
    {
      "timestamp": "10:30",
      "numerator": 120423,
      "level": 1003.525
    }
  ],
  "divisor": 120
}

Diagrams#

Calculation flow#

flowchart LR
    A["Point-in-time inputs"] --> B["Validate units and timing"]
    B --> C{"Contract feasible?"}
    C -->|No| D["Reject with reason"]
    C -->|Yes| E["Calculate Intraday Index-Level Calculation"]
    E --> F["Recompute invariants"]
    F --> G{"Checks pass?"}
    G -->|No| D
    G -->|Yes| H["Publish audited output"]

stateDiagram-v2
    [*] --> FrozenInputs
    FrozenInputs --> Validated: contract passes
    FrozenInputs --> Rejected: missing or infeasible
    Validated --> Calculated: apply named rule
    Calculated --> Audited: invariants pass
    Calculated --> Rejected: invariant fails
    Audited --> Published: version and timestamp recorded
    Published --> Revised: approved correction
    Revised --> FrozenInputs: rebuild from retained source state

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

• S&P Dow Jones Indices Index Mathematics Methodology — S&P Dow Jones Indices
• S&P DJI Equity Indices Policies & Practices — S&P Dow Jones Indices
• FTSE Russell Capping Methodology — FTSE Russell, LSEG
• FTSE Russell Index Policy and Methodology Library — FTSE Russell, LSEG
• MSCI Global Investable Market Indexes Methodology Library — MSCI
• MSCI Minimum Volatility Indexes Methodology — MSCI
• S&P Risk Control 2.0 Indices Methodology — S&P Dow Jones Indices
• Principles for Financial Benchmarks — International Organization of Securities Commissions
• Regulation (EU) 2016/1011 — European Union
• Portfolio Selection — Harry Markowitz
• On the Properties of Equally-Weighted Risk Contributions Portfolios — Sébastien Maillard, Thierry Roncalli, and Jérôme Teïletche
• Fundamental Indexation — Robert Arnott, Jason Hsu, and Philip Moore
• FTSE Currency Hedging Methodology Overview — FTSE Russell, LSEG

The rest of the Index Initialization and Continuity family#

• Base-Date/Base-Value InitializationSets an index running: pick a base date and a base level, and the divisor follows from the market value on that date.
• Index Divisor InitializationThe divisor itself: market value divided by the target level.
• Divisor Continuity AdjustmentRescales the divisor when market value changes for a non-market reason — a share issue, a member swap — so the level does not j…
• Corporate-Action Divisor BridgeApplies a corporate action to an index by routing its non-market value change through the divisor.