Get index correlation matrix (snapshot)

/api/v1/public/indices/{id}/correlationGET

Pearson correlation matrix of daily returns across a composite index's sub-indices.

Response

200 · Correlation matrix

labels?string[]

Tickers of the sub-indices, in the same order as the rows and columns of matrix. Empty for an index that has no sub-indices.

matrix?number,null[][]

Row-major NxN matrix; diagonal is 1.0, cells with insufficient overlap are null.

days?integer

Number of dates on which every sub-index has a daily return, which is the sample the correlations are computed over. Below 5 no correlations are produced and matrix comes back empty.

404 · Index not found

error?string

Stable, machine-readable code identifying the failure; branch on this rather than on message. One of bad_request, unauthorized, forbidden, not_found, conflict, service_unavailable, upstream_error, service_error, or internal_error.

message?string

Human-readable explanation, safe to show to a user. For client errors it names the specific problem; for server-side failures it is a generic notice and the underlying detail is deliberately withheld.

Request example

curl -X GET "https://api.dev.adjacent.markets/api/v1/public/indices/<id>/correlation"

Response example

{
  "labels": [
    "PRESR",
    "SENR",
    "HOUSER"
  ],
  "matrix": [
    [
      1,
      0.14106277110820079,
      0.011328065794435568
    ],
    [
      0.14106277110820079,
      1,
      0.2001014424010028
    ],
    [
      0.011328065794435568,
      0.2001014424010028,
      1
    ]
  ]
}