Derivation of FX volatility quotes from historical fixings

durable fixing ticks (ECB, Bank of Canada, ...)
       |  latest on or before, window
       v
the market data reader
       |
the derived source adapter  -- announce, demand, tick, heartbeat -->  ores.marketdata
       (once a day, after the day's fixings)                          | stored as series
                                                                      | keyed by item, provider, party
                                                                      v
                                                  synthetic surface generator at start
                                                  (calibration policy ranks the providers)

• The derived source fetches nothing from outside. It reads only what the store already holds.
• It is not part of the public sources adapter, which publishes only what it fetched, in the supplier's own notation, and knows nothing of statistics.
• It reads through the reader of Public sources publish daily fixings through an adapter, as any client of the market data service does, and it publishes through the four messages every adapter uses.

The derived quotes are oresmd quotes of the same items a vendor's vol feed carries, one per pair, expiry and strike label, in the pair's quoting convention. A quote series is keyed by item, provider and party, so a vendor's quotes of an item sit beside the derived ones, and the generator's calibration policy chooses between them by rank. A vendor ranked first replaces the derived source; nothing downstream changes, as A source switch changes one route and nothing else describes for a live source.

The derived quotes are kept for good, and kept as what they are: the observations of a quote series, not fixings. Each pair has one fx_option series of the derived provider, whose derivation kind says it is computed rather than observed, and each day's quotes are its observations at the end of that day, one for each expiry and strike label. An observation is stored with no retention and a correction is a new version of it, so a backtest reads any past day as it was published, through the market data service's window reader of a series' observations. They do not enter market_fixing, because a derived quote is not a fixing.

The derived source keeps its own history. On start it reads the days each series holds and derives every other day the stored fixings cover, each from the fixings on or before it, so a past day reads no later fixing; afterwards it writes each new day as the day's fixings arrive. It writes those days through the market data service rather than through the ingest, whose age gate admits the current day only. The quotes it publishes as ticks are the current day's, so a subscriber sees the same values the series keeps.

A derived quote is the output of our computation, and the system presents it as such. Its provenance names the derived publisher. It carries no credit of the publishers whose fixings fed it and no claim to be their figures; those fixings are stored exactly as published, with their own credit, and appear in the derived source only as internal inputs. The rule is stated with the terms of each source in Synthetic prices are calibrated from free public sources, and how the values are computed is described there too.

The derived source is the provider derived, served through the feed derived-fx-vol of the session derived-local, whose adapter module derived the synthetic service runs; marketdata_derived_catalogue_populate.sql holds its rows. The synthetic service starts derived_fx_vol_adapter for each feed of that session beside the simulator. Its universe is the vendor instruments the catalogue holds for the provider, one for each pair, expiry and label in the source's own notation, such as EURUSD/1Y/25RR, each mapped to the fx_option quote of the pair. derived_fx_vol_feed in ores.synthetic.api reads each demanded pair's ECB fixings through the market data reader as the system party, takes a cross's returns as the difference of its two euro legs on the days both hold, reads the pair's fx_option_convention from refdata, and publishes each demanded quote not yet sent for the latest day its legs hold; it keeps every day of every pair of its universe in the pair's series through the market data service; the computation itself is the one ores.analytics.quant holds. The source reads no curves, so it takes the spot as the forward: a quote under a forward delta or a forward ATM is read against a forward that ignores the rate differential, which grows with the expiry.