SAFIR: A Simple API for Financial Information Requests

We describe a general structure allowing to represent in a regular and extensible way all the financial data available in a research laboratory (at present, the Adaptive Computer Systems Laboratory of the Université de Montréal). After an analysis of field, we clarify the XML representation of information and introduce a C++ interface allowing to reach it by a powerful mechanism of requests. We describe in appendix a methodology allowing to find the option strike prices from databases containing only the prices and the ticker symbols; this methodology is robust in the presence of irregular strike prices (not corresponding to the tickers).
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