Atoti Market Data overview
Atoti Market Data offers an API for retrieving and processing market data across various sources. The library provides interfaces for integrating market data into applications, supporting interpolation techniques, and allowing flexible configurations.
Market data retrieval
Atoti Market Data provides retrieval methods for various types of market data:
| Type | Description |
|---|---|
| Single market data retrieval | Retrieve a single market data value based on specified coordinates, like date, market data set, or instrument. |
| Curve data retrieval | Retrieve market data organized along a single axis, such as a yield curve or interest rate curve. |
| Surface data retrieval | Retrieve market data organized along two axes, such as volatility surfaces (dependent on both tenor and moneyness). |
| Cube data retrieval | Retrieve multi-dimensional data from a cube (for example, volatility cubes or interest rate cubes), with dimensions like tenor, moneyness, and underlying maturities. |
| FX rate data retrieval | Retrieve foreign exchange rates and the list of available currencies from the FX rate market data store. |
Interpolation techniques
The library supports multiple interpolation techniques for estimating missing or intermediate data points within market data:
| Interpolation type | Description | |
|---|---|---|
| Curve | Useful for estimating unknown values between two or more known values along a curve. For example in yield, volatility, term structure, or interest rate curves. |   |
| Surface | Supports interpolation across two axes, such as tenor and moneyness, to estimate data points on a volatility surface. |  |
Configuration and customization
Atoti Market Data provides a set of Spring Boot Starter configurations for managing market data stores and retrievers. These configurations simplify integration and setup within Atoti applications.
Customizations include:
- Setting default values or market data date shifts. For example, retrieving the current/previous/next day’s data.
- Defining interpolation modes as needed.
- Overriding coordinates with the help of post-processors.
The Atoti Market Data Library interfaces and implementations
The library provides a number of interfaces and implementations for retrieval and interpolation services. These can be used as a base for custom implementations of the interfaces, or as-is.
For details on the available interfaces and implementations, see the relevant section.
The Atoti Market Data Spring Boot Starter
Configuration classes are included for:
- Stores (and specific retrievers)
- Services (retrievers and interpolators)
For details on the available configuration files and their behavior, see the relevant section.
Enabling the default configuration
To enable the Atoti Market Data default configuration, import the Atoti Market Data Spring Boot Starter in your application:
<dependency>
<groupId>com.activeviam.apps.market-data</groupId>
<artifactId>market-data-spring-boot-starter</artifactId>
<version>${atoti-market-data.version}</version>
</dependency>
This library does not provide source configuration. You can implement it as appropriate for your project.
Configuration and implementation details
For detailed information about the implementation and configuration, please refer to:
| Topic | Section |
|---|---|
| Retrieval | Data retrieval |
| Interpolation | Interpolation APIs |
| Post-processors | Post-processors |
| Configuration Properties | Configuration Properties |
| Stores | CubeMarketData |
| CurveMarketData | |
| FXRateMarketData | |
| SpotMarketData | |
| SurfaceMarketData |