Transforming Options Market Data with the Dataflow SDK 1 Introduction Much of the software development in the capital markets (and enterprise systems in general) revolves around the transformation and enrichment of data arriving from another system. Traditionally, developers have considered the activities around Extracting, Transforming and Loading (ETL) data a particularly unglamorous dimension of building software products. However, these activities encapsulate functions that are core to every tier of computing. Oftentimes, the activity involves legacy systems integration, and perhaps this is the genesis of ETL’s unpopular reputation. Nonetheless, when data-driven enterprises are tasked with harvesting insights from massive data sets, it is quite likely that ETL, in one

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