daily price archive & options reference
daily ohlcv on equities, rates, and commodities stored on atproto pds. black-scholes theoretical pricing and vol surface from historical data.
black-scholes reference pricer
1. resolve identity
2. list records
3. get single record
4. write test record (requires credentials)
5. describe repo collections
data architecture
daily ohlcv and rate data stored as com.minomobi.finance.dailySeries records on an atproto pds.
each record covers one symbol for one calendar year (~252 bars, ~20KB).
the full archive (~1,000 symbols × 30 years = ~30,000 records, ~600MB) fits comfortably on a single pds.
data sources
equities & etfs: tiingo — adjusted ohlcv, 30+ year history, includes delisted tickers. free tier: 50 symbols/hour.
treasury yields & rates: fred — public domain. daily constant maturity rates back to 1962. fed funds, sofr, tips.
commodities & indices: yfinance — futures front-month contracts (gold, oil, wheat, etc.), market indices, vix.
s&p 500 constituents: fja05680/sp500 — historical membership changes since 1996 for survivorship-bias-free backtesting.
fundamentals: sec edgar xbrl — public domain financial statements.
intraday accumulation
users can optionally pull recent 1-minute bars daily via finnhub (60 calls/min free) and accumulate their own intraday history. yfinance provides 1-min data but only retains 7 days — pull it or lose it.
options pricing model
the pricer computes theoretical european option prices via black-scholes-merton. volatility is estimated from historical daily returns using the garman-klass estimator (ohlc-based, more efficient than close-to-close). risk-free rate is interpolated from the treasury yield curve stored in the archive. greeks (delta, gamma, theta, vega, rho) are analytical closed-form solutions. the vol surface shows how theoretical vol varies across strikes and expiries — deviations from market prices reveal implied vol skew.