Strata

Quotes loader

The quotes loader is used to load observable market data quotes into the system. It is one of a number of loaders included in Strata.

Loader

Quotes can be loaded using the QuotesCsvLoader

ResourceLocator locator = ResourceLocator.ofFile(filename);
Map<QuoteId, Double> quotes = QuotesCsvLoader.load(valuationDate, locator);

Format

The quotes file is a simple CSV-formatted file with the following header row:

Valuation Date,Symbology,Ticker,Field Name,Value

The columns may be specified in any order, however this is the recommended order. The meaning of each column is as follows:

Column name Description
Valuation Date The valuation date to which the quote value corresponds, such as “2017-06-01”, see accepted formats
Symbology The symbology of the quote identifier
Ticker The ticker of the quote, unique within the symbology
Field Name The field name. The most common are “MarketValue” and “SettlementPrice”
Value The numeric quote value

The symbology-ticker pair are used to uniquely identify the market data item, such as a security. The symbology will typically be an industry standard such as ISINs, or one defined by a vendor such as Bloomberg or Reuters. For example, the entry for Apple equity might have a symbology of “Bloomberg” and a ticker of “AAPL US Equity”, whereas an alternative might be to use ISINs, with a symbology of “ISIN” and a ticker of “US0378331005”. Note that Strata does not mandate any specific names for the symbology or ticker, although symbologies starting with “OG-“ are used in examples.

The field name is used to specify a specific field that is available for the market data item. Any field name may be used, however two names are most commonly used as they are recognised by Strata:

  • MarketValue - the standard market quote for the identifier
  • SettlementPrice - the daily settlement price used in margining

See FieldName for more details.

Example

This example file specifies three items of market data on two different dates.

Valuation Date, Symbology, Ticker,       Field Name,  Value
2015-07-21,     OG-Ticker, USD-IRS3M-2Y, MarketValue, 0.00503
2015-07-21,     OG-Ticker, USD-IRS3M-3Y, MarketValue, 0.0093915
2015-07-21,     OG-Ticker, USD-IRS3M-4Y, MarketValue, 0.013808
2015-07-22,     OG-Ticker, USD-IRS3M-2Y, MarketValue, 0.00509
2015-07-22,     OG-Ticker, USD-IRS3M-3Y, MarketValue, 0.0093921
2015-07-22,     OG-Ticker, USD-IRS3M-4Y, MarketValue, 0.013810

Note that Microsoft Excel prefers the CSV file to have no spaces after the comma.