Boutquin.MarketData.Conventions 1.0.1

Boutquin.MarketData

Shared data ingestion kernel for Boutquin.Analytics and Boutquin.Trading. Owns transport, caching, storage, normalization, pipeline orchestration, calendars, day-count conventions, and all canonical record and reference-data types — domain repositories own their builders and recipes that compose kernel adapters into domain-specific bundles.

Concrete source adapters (Tiingo, Frankfurter, FRED, Bank of Canada, etc.) live in Boutquin.MarketData.Adapter. The kernel ships contracts and infrastructure only — adapters are plug-ins, not dependencies.

Solution Structure

Test projects — 14 total: one unit-test project per source package, Boutquin.MarketData.Tests.Integration (full pipeline round-trips), and Boutquin.MarketData.ArchitectureTests (zero-domain-dependency and file-system-access enforcement).

Architecture

Boutquin.MarketData.Abstractions      Core contracts + canonical records (zero dependencies)
  ↑
Transport / Cache / Storage           Infrastructure — HTTP, L1 cache, L2 snapshots
Catalog                               Provider registry
DayCount / Calendars / Conventions    Shared math and scheduling primitives
  ↑
Normalization / Orchestration         Pipeline — unit conversion, source selection, caching
  ↑
DependencyInjection / Testing         Composition helpers and test fixtures

Boutquin.MarketData.Adapter (separate repo)
  └── Tiingo / Frankfurter / FRED / BankOfCanada / … (11 adapters)

Key constraint: MarketData must not reference Analytics, Trading, or OptionPricing. It is the shared kernel that all three consume.

Reference Data

Tier 1 — Core Enumerations (Abstractions/ReferenceData/)

Canonical market identifiers shared across the entire Boutquin ecosystem. Numeric values are stable — persisted records and network formats depend on them.

Tier 2 — Market Structure Taxonomies

ExchangeMetadata.GetTimeZone(ExchangeCode) and CountryMetadata.GetContinent(CountryCode) provide exhaustive static lookup with ArgumentOutOfRangeException on synthetic casts.

Rate Benchmarks

StandardBenchmarks ships six pre-built RateBenchmark instances covering the major overnight benchmarks — SOFR, SONIA, ESTR, CORRA, SARON, TONA — with the associated BenchmarkKind, calendar codes, and day-count conventions. IFixingsStore / InMemoryFixingsStore support keyed fixings retrieval by BenchmarkName + DateOnly.

External Identifiers

Five strongly-typed wrappers prevent mix-ups between request types:

Assigning a YieldCurveId to a FactorDatasetId field is now a compile error, not a silent runtime mix-up.

Pipeline

DataPipeline.FetchAsync<TRequest, TRecord> executes the canonical kernel path:

1. Validate request
2. Check L1 in-memory cache → if hit, tag RetrievalMode.Cache and return
3. Check L2 snapshot store → if hit and not stale, return with issue preservation
4. Select adapters by priority order from SourceRegistry
5. Fetch from adapters with configurable fallback and IFallbackResponseEvaluator
6. Normalize with the registered INormalizer<TRaw, TRecord>
7. Write to L2 snapshot (skipped on partial-batch failure when ContinueOnPartitionFailure=false)
8. Promote to L1 cache
9. Return DataEnvelope<TRecord> with DataProvenance and any DataIssue entries

Issue preservation — L2 snapshots persist DataIssue entries alongside DataProvenance so warnings (stale data, missing fields, rate limits) survive cache round-trips.

Provenance typing — DataProvenance carries ProviderCode (lower-case normalisation; new ProviderCode("Tiingo") and new ProviderCode("TIINGO") compare equal), LicenseType, and RetrievalMode. DataIssue carries IssueCode (upper-case normalisation, with well-known statics: IssueCode.StaleData, IssueCode.MissingField, IssueCode.RateLimited, etc.) and IssueSeverity.

Canonical Records

Getting Started

Add a reference to the abstractions package:

dotnet add package Boutquin.MarketData.Abstractions

To use the full pipeline with DI composition:

dotnet add package Boutquin.MarketData.DependencyInjection

Register the kernel in your IServiceCollection:

services.AddMarketDataKernel(options =>
{
    options.L1CacheTtl = TimeSpan.FromMinutes(5);
    options.ContinueOnPartitionFailure = true;
});

Implement IDataSourceAdapter<TRequest, TRecord> for your data source (or take a pre-built adapter from Boutquin.MarketData.Adapter), then register it with the pipeline via AddMarketDataAdapter<TRequest, TRecord, TAdapter>.

Building

dotnet build Boutquin.MarketData.slnx --configuration Release
dotnet test Boutquin.MarketData.slnx --configuration Release
dotnet format Boutquin.MarketData.slnx --verify-no-changes

Documentation

• Architecture Overview — layered package design, pipeline internals, and three-layer data architecture constraint
• Reference Data — Tier 1 and Tier 2 enumerations, Symbol, ExchangeMetadata / CountryMetadata, rate benchmarks, instrument conventions, fixings, exception hierarchy, Provenance / Diagnostics typed wrappers, external identifiers, and the pre-typed migration table
• Day-Count Conventions — shipped conventions, alias table, ActualActualInPeriod ICMA guidance, and the Thirty360 Bond Basis vs. 30E/360 Eurobond distinction

Disclaimer

Boutquin.MarketData is open-source software provided under the Apache 2.0 License. It is a general-purpose library intended for educational and research purposes.

This software does not constitute financial advice. The data ingestion, normalization, and pipeline tools are provided as-is for research and development. Before using any market data or derived calculations in production, consult with qualified professionals who understand your specific requirements and regulatory obligations.

License

Licensed under the Apache License, Version 2.0.

Copyright (c) 2026 Pierre G. Boutquin. All rights reserved.