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Market data API

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 deprecated 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 (retrievers and interpolators)

The available configuration files and their behavior are described in the appropriate subsection.

To enable the new market data API configuration, import the Market Data API Spring Boot Starter in your application:

<dependency>
    <groupId>com.activeviam.apps</groupId>
    <artifactId>market-data-api-spring-boot-starter</artifactId>
    <version>${market-data-api.version}</version>
</dependency>