Market data API data loading
The market data API provides two options for loading data into the stores.
This section provides information about:
- data loading properties.
- selecting between the new and backwards compatible file formats.
- conditional annotations for Spring configuration.
- configuration classes that need to be imported for:
- backwards compatibility with the deprecated file format.
- new data file formats.
Properties
The following properties have been added to the application:
| Property | Default | Details |
|---|---|---|
mr.common.file-patterns.instrument-market-data |
None | An INSTRUMENT_MARKET_DATA_FILE_PATTERN constant with the value glob:**Instrument_Market_Data*.csv is available in CommonFilePatternProperties. |
mr.common.file-patterns.curve-market-data |
None | A CURVE_MARKET_DATA_FILE_PATTERN constant with the value glob:**Curve_Market_Data*.csv is available in CommonFilePatternProperties. |
mr.common.file-patterns.fx-rate-market-data |
None | An FX_RATE_MARKET_DATA_FILE_PATTERN constant with the value glob:**FX_Rate_Market_Data*.csv is available in CommonFilePatternProperties. |
mr.common.file-patterns.surface-market-data |
None | A SURFACE_MARKET_DATA_FILE_PATTERN constant with the value glob:**Surface_Market_Data*.csv is available in CommonFilePatternProperties. |
mr.common.file-patterns.cube-market-data |
None | A CUBE_MARKET_DATA_FILE_PATTERN constant with the value glob:**Cube_Market_Data*.csv is available in CommonFilePatternProperties. |
Selecting between new and backwards compatible file formats
If the Market Data API Spring Boot Starter is imported into the application with the default source configuration, the selection between the file formats will be based on whether a pattern has been defined for the specific market data store.
For example, if the mr.common.file-patterns.instrument-market-data property has been set to glob:**Instrument_Market_Data*.csv and mr.common.file-patterns.cube-market-data has been left empty, the InstrumentMarketData store will expect the preview file format, whereas the CubeMarketData store will be loaded from the current file format.
The Atoti Market Risk solution defaults to backwards compatible data loading and does not currently provide sample data files for the preview formats.
Conditional annotations
To allow the correct configuration to be loaded if all source configuration classes are imported, the following annotations are available for both @Bean methods and @Configuration classes:
| Annotation | Matching |
|---|---|
@ConditionalOnBCInstrumentMarketDataFileFormatDisabled |
Matches if the mr.common.file-patterns.instrument-market-data property has a value. |
@ConditionalOnBCInstrumentMarketDataFileFormatEnabled |
Matches if the mr.common.file-patterns.instrument-market-data property isn’t set. |
@ConditionalOnBCCurveMarketDataFileFormatDisabled |
Matches if the mr.common.file-patterns.curve-market-data property has a value. |
@ConditionalOnBCCurveMarketDataFileFormatEnabled |
Matches if the mr.common.file-patterns.curve-market-data property isn’t set. |
@ConditionalOnBCSurfaceMarketDataFileFormatDisabled |
Matches if the mr.common.file-patterns.surface-market-data property has a value. |
@ConditionalOnBCSurfaceMarketDataFileFormatEnabled |
Matches if the mr.common.file-patterns.surface-market-data property isn’t set. |
@ConditionalOnBCCubeMarketDataFileFormatDisabled |
Matches if the mr.common.file-patterns.cube-market-data property has a value. |
@ConditionalOnBCCubeMarketDataFileFormatEnabled |
Matches if the mr.common.file-patterns.cube-market-data property isn’t set. |
@ConditionalOnBCFxRateMarketDataFileFormatDisabled |
Matches if the mr.common.file-patterns.fx-rate-market-data property has a value. |
@ConditionalOnBCFxRateMarketDataFileFormatEnabled |
Matches if the mr.common.file-patterns.fx-rate-market-data property isn’t set. |
Backwards compatibility
The market data can be loaded from the deprecated market data input file format, while the FX store can be loaded from the deprecated FX rates file.
The sources are included in the application by default through the AllBackwardsCompatibleMarketDataSources configuration class.
Instrument market data loading
Defined in the BCInstrumentMarketDataCsvSourceParametersProviderConfig class. Each row will be checked for validity as follows:
| Axis field | Empty | Filled in |
|---|---|---|
| TenorLabels | Y | N |
| TenorDates | Y | N |
| MaturityLabels | Y | N |
| MaturityDates | Y | N |
| MoneynessLabels | Y | N |
| Nominal | Y | N |
Curve market data loading
Defined in the BCCurveMarketDataCsvSourceParametersProviderConfig class. Each row will be checked for validity as follows:
| Axis field | Empty | Filled in |
|---|---|---|
| TenorLabels | N | Y |
| TenorDates | Y | N |
| MaturityLabels | Y | N |
| MaturityDates | Y | N |
| MoneynessLabels | Y | N |
| Nominal | Y | N |
Surface market data loading
Defined in the BCSurfaceMarketDataCsvSourceParametersProviderConfig class. Each row will be checked for validity as follows:
| Axis field | Empty | Filled in |
|---|---|---|
| TenorLabels | N | Y |
| TenorDates | Y | N |
| MaturityLabels | Y | N |
| MaturityDates | Y | N |
| MoneynessLabels | N | Y |
| Nominal | Y | N |
Cube market data loading
Defined in the BCCubeMarketDataCsvSourceParametersProviderConfig class. Each row will be checked for validity as follows:
| Axis field | Empty | Filled in |
|---|---|---|
| TenorLabels | N | Y |
| TenorDates | Y | N |
| MaturityLabels | N | Y |
| MaturityDates | Y | N |
| MoneynessLabels | N | Y |
| Nominal | Y | N |
FX loading
Defined in the BCFxRateMarketDataCsvSourceParametersProviderConfig class. From the deprecated file format, the Term and RiskFactorId fields will be ignored.
New data file formats
If backwards compatibility isn’t required, sources matching the data model stores are available. The file formats in this section refer to this data loading mode.
Instrument market data loading
Defined in the InstrumentMarketDataCsvSourceParametersProviderConfig class.
Curve market data loading
Defined in the CurveMarketDataCsvSourceParametersProviderConfig class.
Surface market data loading
Defined in the SurfaceMarketDataCsvSourceParametersProviderConfig class.
Cube market data loading
Defined in the CubeMarketDataCsvSourceParametersProviderConfig class.
FX loading
Defined in the FxRateMarketDataCsvSourceParametersProviderConfig class.