E-08 — Price & Market Data
Observed market data for an instrument (E-02) — prices, yields, rates, spreads, FX. The observable inputs that value liquid holdings and feed risk and analytics.
Purpose
Where E-07 Valuation is the value of a holding, E-08 is the market observation a valuation may be built from. A liquid instrument is valued at its market price; that price is a Price & Market Data point. Beyond pricing, market data is the raw input to market-risk measurement, performance attribution, and analytics — yield curves, credit spreads, FX rates, index levels, volatilities.
The entity is named here with its essential shape. Market-data management is a substantial domain in its own right (SD-13.4); the full depth — vendor-feed reconciliation, the term structure of curves, point-in-time correctness of market data — sits in the public-markets specialisation and the open extensions below.
Attribute schema (essential shape)
| Column | Type | Definition |
|---|---|---|
market_data_id | varchar | Primary key. |
instrument_id | varchar (FK → E-02) | The instrument the observation is for; null for an instrument-independent observation (an FX rate, a benchmark rate). |
data_type | varchar | price / yield / spread / fx_rate / index_level / volatility / reference_rate. |
observation_date | date | The date the observation is as of. |
value | decimal | The observed value. |
currency | char | The currency, where applicable. |
provider | varchar | The market-data provider the observation came from. |
Notes
- Market data is observed, not assigned — it is sourced from external providers and exchanges, validated, and distributed. The OpenIM record is the validated, distributed observation.
- The distinction from E-07 Valuation matters: a Price is a market fact; a Valuation is the value of a holding, which for a liquid holding is derived from a Price and for an illiquid one is not. Conflating them is the mistake the separation avoids.
Out of scope
- The value of a holding — that is E-07 Valuation; a Price is a market fact, a Valuation is the value of a position, derived from a Price for a liquid holding and not for an illiquid one.
- The full market-data depth — curve term structure, vendor-feed reconciliation, point-in-time correctness — that is the public-markets specialisation and an open extension; E-08 carries only the essential shape.
- A benchmark or index level held as managed comparator reference data — that is E-10 Benchmark / Index; E-08 holds raw observed data points.
Owned and consumed by
- Owned by: SD-13.4 Market & Reference Data Management.
- Consumed by: SD-08.1 Security Pricing, SD-07.1 Market Risk Management, SD-09 Performance & Analytics, SD-11.3 FX Execution & Share-Class Hedging.
Open extensions
- The full market-data model in the public-markets specialisation — curves and their term structure, the vendor-feed reconciliation model, point-in-time correctness for market data.
- The relationship between a Price observation and the E-07 Valuation that consumes it.