ORE data format
Table of Contents
1. Summary
ORE, the Open Source Risk Engine, is a provider whose notation is open. An ORE quote key is a slash delimited string such as FX/RATE/EUR/USD, and each key has one value. The provider code is ore. Its sources are ore-import, which replays a market data file, and ore-derived, which holds the values the service computes from other series.
2. Detail
2.1. The id scheme
The scheme code is ore_key. A key has the form TYPE/SUBTYPE/dim1/.../dimN. The number and meaning of the dimensions depend on the type. The format is defined by ORE's open source code and by the marketdata.csv files in its Examples directory.
2.2. The field
A key has one value, so the field is value.
2.3. On the wire
An adapter of this provider sends the tick fields below. See The adapter subjects for the subject.
| Tick field | Example |
|---|---|
| id scheme | ore_key |
| external id | FX/RATE/EUR/USD |
| field | value |
| value | 1.0842 (decimal text) |
The ingress subject token for the id is FX%2FRATE%2FEUR%2FUSD. The service never decodes the token. It reads the id from the payload.
2.4. The mapping
ore_key / FX/RATE/EUR/USD / value maps to oresmd://fx/EUR?type=quote&instrument=fx_spot"e=rate&ccy=USD. This mapping is nearly mechanical, because the oresmd identity grew out of the ORE key. The import of an ORE market data file uses it, and the series it creates belong to the provider ore.
2.5. Minted ids
None. Every ORE key is defined by ORE itself.
2.6. What the simulator does
Nothing. The simulator is native to each vendor and publishes the ids of Bloomberg, of LSEG and of the fictional provider Demo. It publishes no ORE key, and no simulated source of this provider exists. The values of this provider are the values of ORE's own example files, imported by ore-import, and the values the service derives from them, stored by ore-derived.
2.7. External references
- Open Source Risk Engine — the project home and the user guide.
- OpenSourceRisk/Engine — the code. The
Examplesdirectory holdsmarketdata.csv, andOREData/ored/marketdataholds theCSVLoaderthat reads it.
3. See also
- Market Data Architecture — the structure note that orders this cluster.
- A vendor instrument is an id scheme, an id and a field — completes: the three parts this page fills in.
- The mapping belongs to the provider and not to the source — completes: how these ids reach an oresmd item.
- External market data identifiers — completes: the survey of the notations.
- ORE market data catalogue: asset classes, quote keys, and product dependencies — completes: every quote key type that ORE defines.
- Open Source Risk Engine — completes: the project itself.