data-layer.md

Governed Market Data Ingestion

The Boutquin.Market.Data.* package family models market-data ingestion as a governed adapter layer, separate from curve construction itself.

EOD production-grade data strategy

The data layer is designed around the insight that end-of-day data eliminates the biggest cost barriers for individual users. Daily benchmark fixings and exchange settlement prices are published freely by administrators and exchanges as part of their transparency obligations. This means a complete, production-grade EOD curve-building pipeline can be assembled entirely from free public sources:

Source	EOD Data	Role
NY Fed	SOFR daily fixings	Canonical overnight anchor
CME settlements	SOFR / Fed Funds futures daily settlements	Market-implied term structure (~3 years)
US Treasury	Par yields, bill rates	Government term structure, long-end context
Bank of Canada	CORRA, GoC yields, zero-coupon curve	Canonical CAD benchmarks + fitted government curve
Bank of England	SONIA daily fixings	Canonical GBP overnight anchor
European Central Bank	€STR daily fixings	Canonical EUR overnight anchor

The remaining gap at EOD (OIS/swap quotes, licensed term benchmarks) is modeled as commercial adapter seams with clear warnings, not fake functioning feeds.

Package map

• Boutquin.Market.Data.Abstractions — contracts, descriptors, licensing flags, data frequency, completeness reports, requests, and results
• Boutquin.Market.Data.Core — source registry, aggregation service, fallback policy, snapshot store, and adapter base class
• Boutquin.Market.Data.NewYorkFed — USD SOFR official/public source (EOD production-grade)
• Boutquin.Market.Data.UsTreasury — USD Treasury bill/par-yield public source (EOD production-grade)
• Boutquin.Market.Data.BankOfCanada — CAD CORRA / public BoC series (EOD production-grade)
• Boutquin.Market.Data.Cme — futures adapter: EOD settlement (public, production-grade) and delayed/licensed intraday seams
• Boutquin.Market.Data.BankOfEngland — GBP SONIA official/public source (EOD production-grade)
• Boutquin.Market.Data.Ecb — EUR €STR official/public source via ECB Data Portal SDMX-ML API (EOD production-grade)
• Boutquin.Market.Data.Ice — benchmark-license-required USD swap-rate seam
• Boutquin.Market.Data.CanDeal — commercial CAD OIS/swap seam
• Boutquin.Market.Data.Fixtures — deterministic fixtures for CI/examples
• Boutquin.Market.Data.Legacy — legacy LIBOR/CDOR historical and transition seams
• Boutquin.Market.Data.TermBenchmarks — product-specific Term SOFR / Term CORRA seams
• Boutquin.Market.Data.OtcQuotes — commercial USD/CAD OIS quote seams
• Boutquin.Market.Data.Examples — example console app showing source registration and aggregation

Design choices

• official/public sources are first-class adapters, not just comments in docs
• EOD settlement data is treated as production-grade — distinct from both research-only proxy data and licensed real-time feeds
• licensing and redistribution constraints are modeled in the descriptor layer
• research vs production fallbacks are explicit through MarketDataMode and FallbackLevel
• DataFrequency classifies whether a source provides EOD, intraday, or snapshot data
• commercial adapters expose explicit availability and licensing warnings rather than synthetic fallback data
• legacy and term-benchmark adapters are intentionally isolated so modern RFR architecture stays the default
• CME EOD futures settlements enable a market-implied SOFR projection curve without commercial license, far superior to Treasury proxy fallbacks