Days to Unwind

---

Estimates the number of days required to fully liquidate each position in the portfolio, given its size relative to the average daily trading volume (ADTV) and a target participation rate.

HTTP Request

POST /calculations/days_to_unwind

HTTP Parameters

Parameter	Description
portfolio_id string	optional The ID of an existing portfolio. When provided, the calculation uses the portfolio's securities, date, base currency, and NLV. The securities parameter is no longer required.
securities array	REQUIRED * An array of objects describing the securities in the portfolio. Each object includes a unique id, symbol, quantity, and label. For more details click here. * Not required if portfolio_id is provided.
date string date	optional, default is null (today) Portfolio date in the format: YYYYMMDD.
base_currency string	optional, default is USD 3-letter ISO 4217 currency code.
nlv float	optional, default is null (calculated) Net liquidating value (NAV) of the portfolio.
days array	REQUIRED An array of integer day thresholds used to compute the percentage of the portfolio that can be unwound within each threshold (e.g. [1, 5, 10, 20]).
liquidity_terms object	optional An object defining ADTV and participation rate parameters per security group. Defaults to {"default": {"adtv_days": 20, "participation_rate": 0.2}}. Override by passing custom keys matching security identifiers or instrument classes.
filter string	optional, default is null Filter expression to select a subset of securities for display. See Filter Expression.

To calculate the days to unwind, run the following:

Curl

curl https://api.everysk.com/v2/calculations/days_to_unwind \
  -H "Content-Type: application/json" \
  -H "Authorization: Bearer <ACCESS_TOKEN>" \
  -d '{
        "securities": [
          {
            "id": "id1",
            "symbol": "AAPL",
            "quantity": 1000.0
          },
          {
            "id": "id2",
            "symbol": "SIE:XETR",
            "quantity": 750.0
          }
        ],
        "days": [1, 5, 10, 20],
        "date": "20210622"
      }' \
  -X POST

The above call returns the following JSON object:

{
  "days_to_unwind": {
    "unmapped_tickers": [],
    "results": {
      "id1": {
        "dtu": 3,
        "adtv": 75000000.0,
        "buckets": [
          {"days": 1, "value": 0.33},
          {"days": 5, "value": 1.0},
          {"days": 10, "value": 1.0},
          {"days": 20, "value": 1.0},
          {"days": -1, "value": 0.0}
        ]
      },
      "id2": {
        "dtu": 1,
        "adtv": 12000000.0,
        "buckets": [
          {"days": 1, "value": 1.0},
          {"days": 5, "value": 1.0},
          {"days": 10, "value": 1.0},
          {"days": 20, "value": 1.0},
          {"days": -1, "value": 0.0}
        ]
      }
    }
  }
}