RiskClassControl

V8 Message Definiton

METADATA

Attribute	Value
Topic	1630-client-book-risk
MLink Token	ClientControl
Product	SRControl
accessType	SELECT,UPDATE,INSERT,DELETE

Table Definition

Field	Type	Key	Default Value	Comment
accnt	VARCHAR(16)	PRI	''
riskClass	VARCHAR(8)	PRI	''
clientFirm	VARCHAR(16)	PRI	''	SR client firm
riskClassLabel	TINYTEXT		''	risk class label
maxDDelta	INT		250000	maximum symbol absdelta suspends cp trading
minVaRs50	INT		-50000	xRM max loss underlier 50
maxVaRs50	INT		+50000	xRM max gain underlier 50
minVaRs15	INT		-10000	xRM max loss underlier 15
maxVaRs15	INT		+10000	xRM max gain underlier 15
minWtVega	INT		-1000	xRM minimum symbol net wtVegawtVega ve vol sqrtmax01 years 4
maxWtVega	INT		+1000	xRM maximum symbol net wtVegawtVega ve vol sqrtmax01 years 4
maxWtVePctM1	FLOAT		100	of minmax symbol wtVega in M1 days 10 expirations
maxWtVePctM2	FLOAT		100	of minmax symbol wtVega in M2 10 days 25 expirations
maxWtVePctM3	FLOAT		100	of minmax symbol wtVega in M3 25 days 65 expirations
maxWtVePctM4	FLOAT		100	of minmax symbol wtVega in M4 65 days 130 expirations
maxWtVePctM5	FLOAT		100	of minmax symbol wtVega in M5 130 days expirations
modifiedBy	VARCHAR(24)		''	user who last modified this record
modifiedIn	enum - SysEnvironment		'None'
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	timestamp of last modification

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
accnt	1
riskClass	2
clientFirm	3

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRControl`.`MsgRiskClassControl` (
    `accnt` VARCHAR(16) NOT NULL DEFAULT '',
    `riskClass` VARCHAR(8) NOT NULL DEFAULT '',
    `clientFirm` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'SR client firm',
    `riskClassLabel` TINYTEXT NOT NULL DEFAULT '' COMMENT 'risk class label',
    `maxDDelta` INT NOT NULL DEFAULT 250000 COMMENT 'maximum symbol abs($delta) (suspends c/p trading)',
    `minVaRs50` INT NOT NULL DEFAULT -50000 COMMENT '(xRM) max loss [underlier +/- 50%]',
    `maxVaRs50` INT NOT NULL DEFAULT +50000 COMMENT '(xRM) max gain [underlier +/- 50%]',
    `minVaRs15` INT NOT NULL DEFAULT -10000 COMMENT '(xRM) max loss [underlier +/- 15%]',
    `maxVaRs15` INT NOT NULL DEFAULT +10000 COMMENT '(xRM) max gain [underlier +/- 15%]',
    `minWtVega` INT NOT NULL DEFAULT -1000 COMMENT '(xRM) minimum symbol net wtVega;wtVega = ve * vol / sqrt(max(0.1, years * 4))',
    `maxWtVega` INT NOT NULL DEFAULT +1000 COMMENT '(xRM) maximum symbol net wtVega;wtVega = ve * vol / sqrt(max(0.1, years * 4))',
    `maxWtVePctM1` FLOAT NOT NULL DEFAULT 100 COMMENT '% of min/max symbol wtVega in M1 {days < 10} expirations',
    `maxWtVePctM2` FLOAT NOT NULL DEFAULT 100 COMMENT '% of min/max symbol wtVega in M2 {10 < days < 25} expirations',
    `maxWtVePctM3` FLOAT NOT NULL DEFAULT 100 COMMENT '% of min/max symbol wtVega in M3 {25 < days < 65} expirations',
    `maxWtVePctM4` FLOAT NOT NULL DEFAULT 100 COMMENT '% of min/max symbol wtVega in M4 {65 < days < 130} expirations',
    `maxWtVePctM5` FLOAT NOT NULL DEFAULT 100 COMMENT '% of min/max symbol wtVega in M5 {130 < days} expirations',
    `modifiedBy` VARCHAR(24) NOT NULL DEFAULT '' COMMENT 'user who last modified this record',
    `modifiedIn` ENUM('None','Neptune','Pluto','V7_Stable','V7_Latest','Saturn','Venus','Mars','SysTest','V7_Current') NOT NULL DEFAULT 'None',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'timestamp of last modification',
    PRIMARY KEY USING HASH (`accnt`,`riskClass`,`clientFirm`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='';

SELECT TABLE EXAMPLE QUERY

SELECT
    `accnt`,
    `riskClass`,
    `clientFirm`,
    `riskClassLabel`,
    `maxDDelta`,
    `minVaRs50`,
    `maxVaRs50`,
    `minVaRs15`,
    `maxVaRs15`,
    `minWtVega`,
    `maxWtVega`,
    `maxWtVePctM1`,
    `maxWtVePctM2`,
    `maxWtVePctM3`,
    `maxWtVePctM4`,
    `maxWtVePctM5`,
    `timestamp`
FROM `SRControl`.`MsgRiskClassControl`
WHERE 
    /* Replace with a VARCHAR(16) */ 
    `accnt` = 'Example_accnt'
  AND
    /* Replace with a VARCHAR(8) */ 
    `riskClass` = 'Example_riskClass'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

UPDATE TABLE EXAMPLE QUERY

UPDATE `SRControl`.`MsgRiskClassControl` 
SET
    /* Replace with a TINYTEXT */ 
    `riskClassLabel` = 'dummy tiny text',
    /* Replace with a INT */
    `maxDDelta` = 5,
    /* Replace with a INT */
    `minVaRs50` = 5,
    /* Replace with a INT */
    `maxVaRs50` = 5,
    /* Replace with a INT */
    `minVaRs15` = 5,
    /* Replace with a INT */
    `maxVaRs15` = 5,
    /* Replace with a INT */
    `minWtVega` = 5,
    /* Replace with a INT */
    `maxWtVega` = 5,
    /* Replace with a FLOAT */
    `maxWtVePctM1` = 1.23,
    /* Replace with a FLOAT */
    `maxWtVePctM2` = 1.23,
    /* Replace with a FLOAT */
    `maxWtVePctM3` = 1.23,
    /* Replace with a FLOAT */
    `maxWtVePctM4` = 1.23,
    /* Replace with a FLOAT */
    `maxWtVePctM5` = 1.23,
    /* Replace with a DATETIME(6) */
    `timestamp` = '2022-01-01 12:34:56.000000'
WHERE
    /* Replace with a VARCHAR(16) */ 
    `accnt` = 'Example_accnt'
  AND
    /* Replace with a VARCHAR(8) */ 
    `riskClass` = 'Example_riskClass'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

INSERT TABLE EXAMPLE QUERY

INSERT INTO `SRControl`.`MsgRiskClassControl`(
    /* Replace with a VARCHAR(16) */ 
    `accnt`,
    /* Replace with a VARCHAR(8) */ 
    `riskClass`,
    /* Replace with a VARCHAR(16) */ 
    `clientFirm`,
    /* Replace with a TINYTEXT */ 
    `riskClassLabel`,
    /* Replace with a INT */
    `maxDDelta`,
    /* Replace with a INT */
    `minVaRs50`,
    /* Replace with a INT */
    `maxVaRs50`,
    /* Replace with a INT */
    `minVaRs15`,
    /* Replace with a INT */
    `maxVaRs15`,
    /* Replace with a INT */
    `minWtVega`,
    /* Replace with a INT */
    `maxWtVega`,
    /* Replace with a FLOAT */
    `maxWtVePctM1`,
    /* Replace with a FLOAT */
    `maxWtVePctM2`,
    /* Replace with a FLOAT */
    `maxWtVePctM3`,
    /* Replace with a FLOAT */
    `maxWtVePctM4`,
    /* Replace with a FLOAT */
    `maxWtVePctM5`,
    /* Replace with a DATETIME(6) */
    `timestamp`
) 
VALUES(
    'Example_accnt',
    'Example_riskClass',
    'Example_clientFirm',
    'dummy tiny text',
    5,
    5,
    5,
    5,
    5,
    5,
    5,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    '2022-01-01 12:34:56.000000'
);

DELETE TABLE EXAMPLE QUERY

DELETE FROM `SRControl`.`MsgRiskClassControl` 
WHERE
    /* Replace with a VARCHAR(16) */ 
    `accnt` = 'Example_accnt'
  AND
    /* Replace with a VARCHAR(8) */ 
    `riskClass` = 'Example_riskClass'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

Doc Columns Query

SELECT * FROM SRControl.doccolumns WHERE TABLE_NAME='RiskClassControl' ORDER BY ordinal_position ASC;