ores.marketdata.market_fixing

1. Flags
2. Columns
3. SQL
4. C++

A historical index fixing: the official value of a fixing index (identified via series_id) on a given fixing_date. Separate from observations: fixings are historical facts (e.g. EUR-EURIBOR-3M fixed at X on date Y) rather than forward-looking curve points.

TimescaleDB hypertable partitioned by fixing_date with 30-day chunks. Corrections use the soft-update/soft-delete pattern (no GIST, no DELETE RULEs). No audit trail columns — volume makes them impractical.

1. Flags

2. Columns

2.1. id

Surrogate UUID uniquely identifying this fixing row.

2.2. party_id

Party that owns this fixing.

Set server-side from the authenticated session. Enforced by RLS.

ctx.generate_uuid()

2.3. series_id

Reference to ores_marketdata_market_series_tbl(id) — identifies the fixing index.

2.4. fixing_date

Calendar date on which the index was fixed. Also the hypertable partition column.

std::chrono::year_month_day{std::chrono::floor<std::chrono::days>(ctx.past_timepoint())}

2.5. value

Serialised fixing value (numeric string).

std::to_string(faker::number::decimal<double>(0.0, 100.0))

2.6. source

Source tag identifying the feed or authority that published this fixing.

3. SQL

3.1. Flags

3.2. Checks

expression
"value" <> ''

3.3. Bitemporal natural keys

column	nullable
party_id	false
series_id	false
fixing_date	false

3.4. Indexes

name	columns	unique	current_only	where_extra
fixings_current_uniq	tenant_id, party_id, series_id, fixing_date	true	true
fixings_series_date	tenant_id, party_id, series_id, fixing_date desc	false	false
fixings_tenant_date	tenant_id, party_id, fixing_date desc	false	false
fixings_source	tenant_id, party_id, source, fixing_date desc	false	false	source is not null

4. C++

4.1. Flags

4.2. Repository

4.2.1. read_latest_for_series

Reads every current fixing of one series, in fixing date order. The ORE export walks a tenant's fixing series and writes each one's fixings.

std::vector<domain::market_fixing> read_latest_for_series(context ctx,
                                                          const boost::uuids::uuid& series_id);

#include <boost/uuid/uuid_io.hpp>
#include <string>

std::vector<domain::market_fixing>
market_fixing_repository::read_latest_for_series(context ctx,
                                                 const boost::uuids::uuid& series_id) {
    BOOST_LOG_SEV(lg(), debug) << "Reading latest fixings for series: " << series_id;
    static constexpr auto max = db_timestamp::max();
    const auto tid = ctx.tenant_id().to_string();
    const auto sid = boost::uuids::to_string(series_id);
    const auto query =
        query_builder::read<std::vector<market_fixing_entity>> |
        query_builder::where("tenant_id"_c == tid && "series_id"_c == sid && "valid_to"_c == max) |
        query_builder::order_by("fixing_date"_c);

    return query_builder::execute_read_query<market_fixing_entity, domain::market_fixing>(
        ctx,
        query,
        [](const auto& entities) { return market_fixing_mapper::map(entities); },
        lg(),
        "Reading latest market fixings.");
}

4.3. Domain includes

#include <chrono>
#include <boost/uuid/uuid.hpp>
#include <string>

4.4. Entity includes

#include <optional>
#include <string>