A market data API based on a simplified data model, split by the number of axes of the market data. The API provides retrieval and interpolation service interfaces and implementations, as well as new input file formats and backwards compatibility with the current file format.
note
Several features of the current market data retrieval service are not available in this implementation:
Nominal, absolute and relative prices
Corporate action
Splits
Dividends/Coupons
Shifts and normalization
Market data API interfaces and implementations
The API 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.
The available interfaces and implementations are described in the appropriate subsection.
Market data API configuration
Configuration classes are included for:
Stores (and specific retrievers)
Sources (for backwards compatible and new data formats)
Services (collecting all retrievers and interpolators)
The available configuration files and their behavior are described in the appropriate subsection.
To enable the preview market data API configuration, import the appropriate classes set the mr.enable.preview.market-data property to true. The following conditional annotations have been added:
Annotation
Matching
@ConditionalOnPreviewMarketDataDisabled
Matches if the mr.enable.preview.market-data property is set to true.
@ConditionalOnPreviewMarketDataEnabled
Matches if the mr.enable.preview.market-data property isn’t set or is set to false.
All configuration classes included in the preview market data API are annotated with @ConditionalOnPreviewMarketDataEnabled.