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Loading Data using Events

This guide explains how to load data to your own data models using events and then define curves using that data.

Introduction​

Events are a thing that has happened at a point in time, similar to an observation in a TimeSeries only with a lot more information.

Example events are:

  • An order placed with a broker, exchange etc.
  • A trade made with a broker, exchange etc.
  • A planned or unplanned outage (REMIT Urgent Market Message)

An Event​

This section describes the features of an event.

Event Time​

An event has an event time - this can be used as the time that event was captured or, in the case of futures, the trade/curve/ondate for the valuation.

Start and End Time​

An event has a start and end time, this is used to specify the date/time range that the event covers.

Event List Id​

This is the id that relates all similar events together

Event Type​

Much like objects (master data), events have types which define the basic structure and properties of the event.

Creating an Event Type​

Creating an event type is the same as creating an object type, you then simply need to add the boolean property event as true.

Example Event Type​

TestEventType = type
    PRICE as number()
end
TestEventType.event = true
save TestEventType

Creating Events​

Events need to be added to master data in the same way as timeseries, curves etc.

Use of a DSID​

If you intend to use the dataset monitoring tools, you can add a _dsid (Dataset ID) property to your events. A _dsid comprises of 3 sections separated by dots - PROVIDER.FEED.PRODUCT

For example: ODSL.TRADER1.NBP

All events for the same combination of provider, feed and product should use the same _dsid.

info

It is recommended that you use your own company name/code for the provider so as not to be confused with data providers

Create events for use with curves​

You can create events using curve date and tenor which will populate the eventtime, eventstart, eventend, absolute, relative and expiry fields automatically.

expcal = ${expiry:"#REOD"}
ondate = CurveDate("2024-05-30", expcal)

e1 = Event(ondate, "M01")
e1.id = "ID_2024-05-30_M01"
e1._dsid = "ODSL.TRADER1.NBP"
e1.eventtype = "TestEventType"
e1.PRICE = 35.025
e2 = Event(ondate, "M02")
e2.id = "ID_2024-05-30_M02"
e2._dsid = "ODSL.TRADER1.NBP"
e2.eventtype = "TestEventType"
e2.PRICE = 35.125
e3 = Event(ondate, "M03")
e3.id = "ID_2024-05-30_M03"
e3._dsid = "ODSL.TRADER1.NBP"
e3.eventtype = "TestEventType"
e3.PRICE = 35.155

EXAMPLE = Object()
EXAMPLE.EVENTS = [e1, e2, e3]

save EXAMPLE

Creating Event Curves​

An event curve dynamically creates curves from an event list. In order to use events for curves, they must have at a minimum:

  • The eventtime must represent the curve date
  • It must have a property named relative containing a relative period code
  • It must have a property named absolute containing an absolute period code
  • It can optionally have a property called expiry containing the last trade date of the tenor, if this exists, the contract will use the eventstart and eventend properties as the start and end of delivery

The EventCurve is constructed using the following properties:

  • Event list id
  • Expiry Calendar
  • Property on the event containing the values
  • Property on the event containing the absolute or relative tenor
EXAMPLE = Object()
EXAMPLE.PRICE = EventCurve("EXAMPLE:EVENTS", "#REOD", "PRICE", "absolute")
save EXAMPLE