Module II — Broker Data Engineering and Normalisation

Status: outline. Lecture body not authored. Phase: 2 DATA

A data layer that can compare heterogeneous brokers without contaminating the quantitative core.

Broker Raw Specs → Adapter → Canonical Broker Contract → Core Quant Engine

The core knows neither broker names nor commercial formats.

Unique process — Broker Data Contract

Every broker idiosyncrasy is translated to a normalised contract before it enters the core.

Contents (curriculum): contract size; lot step; min/max lot; commission per lot; swap units; account currency; stop-out; margin call; margin requirement; rollover timezone; triple-swap day; holding fees; grace periods; swap-free semantics; numerario U; FX conversion; adapter pattern; Canonical Broker Contract.

Lab: design five mock brokers with deliberately different specifications.

Conformance: no NaN; bid < ask; valid units; complete calendar; normalised swaps; explicit contract size.