SRRiskCounter

V8 Message Definiton

Values in this table represent current (live) SpiderRock supervisory risk counters for a corresponding risk control key.

METADATA

Attribute	Value
Topic	4625-risk-counter
MLink Token	ClientControl
Product	SRControl
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
ticker_at	enum - AssetType	PRI	'None'	ANYANY represents the entire control group
ticker_ts	enum - TickerSrc	PRI	'None'	ANYANY represents the entire control group
ticker_tk	VARCHAR(12)	PRI	''	ANYANY represents the entire control group
riskControlKey	VARCHAR(64)	PRI	''	must be an SRClientAccnt if riskControlLevelAccnt must be an SRUser if riskControlLevelUser ignored if riskControlLevelClientFirm
riskControlLevel	enum - RiskControlLevel	PRI	'None'
riskFirm	VARCHAR(16)	PRI	''
isTestAccnt	enum - YesNo	PRI	'None'
sysRealm	enum - SysRealm		'None'
sysEnvironment	enum - SysEnvironment		'None'	original source sys environment Stable Current etc
riskEngine	VARCHAR(32)		''	EE engine name
netDayDDelta	FLOAT		0	net day Delta
absDayDDelta	FLOAT		0	absolute day Delta ddBot ddSld position
netDayVega	FLOAT		0	net day Vega per
absDayVega	FLOAT		0	absolute day Vega veBot veSld position
netDayWtVega	FLOAT		0	net day WtVega
absDayWtVega	FLOAT		0	absolute day WtVega wvBot wvSld position
netDayNValue	FLOAT		0	net day Notional Value
absDayNValue	FLOAT		0	absolute day Notional Value nvBot nvSld position
netDayRMetric7	FLOAT		0	net day RiskMetric7
absDayRMetric7	FLOAT		0	absolute day RiskMetric7 rm7Bot rm7Sld position
netDayDDeltaEma	FLOAT		-1	60s halflife EMA delta
netDayWtVegaEma	FLOAT		-1	60s halflife EMA wtVega
emaTimestamp	DOUBLE		0
liveMarginDay	FLOAT		0	live net per symbol day portfolio day trades only margin can include external sources
liveOpenExposure	FLOAT		0	live abs open child order Delta no netting open child orders only
dayMarginUDnVDn	FLOAT		0	day margin UPrcDnVolDn
dayMarginUDnVUp	FLOAT		0	day margin UPrcDnVolUp
dayMarginUUpVDn	FLOAT		0	day margin UPrcUpVolDn
dayMarginUUpVUp	FLOAT		0	day margin UPrcUpVolUp
numStkChildOrders	INT		0
numFutChildOrders	INT		0
numOptChildOrders	INT		0
numMLegChildOrders	INT		0
counter	INT		0
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
ticker_tk	1
ticker_at	2
ticker_ts	3
riskControlKey	4
riskControlLevel	5
riskFirm	6
isTestAccnt	7

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRControl`.`MsgSRRiskCounter` (
    `ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT '''*-ANY-ANY'' represents the entire control group',
    `ticker_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None' COMMENT '''*-ANY-ANY'' represents the entire control group',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT '''*-ANY-ANY'' represents the entire control group',
    `riskControlKey` VARCHAR(64) NOT NULL DEFAULT '' COMMENT 'must be an SRClientAccnt if riskControlLevel=Accnt; must be an SRUser if riskControlLevel=User; ignored if riskControlLevel=ClientFirm',
    `riskControlLevel` ENUM('None','ClientFirm','Accnt','User') NOT NULL DEFAULT 'None',
    `riskFirm` VARCHAR(16) NOT NULL DEFAULT '',
    `isTestAccnt` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `sysRealm` ENUM('None','SysTest','NMS','CME','FR2','LD4','DR') NOT NULL DEFAULT 'None',
    `sysEnvironment` ENUM('None','Neptune','Pluto','V7_Stable','V7_Latest','Saturn','Venus','Mars','SysTest','V7_Current') NOT NULL DEFAULT 'None' COMMENT 'original (source) sys environment [Stable, Current, etc]',
    `riskEngine` VARCHAR(32) NOT NULL DEFAULT '' COMMENT 'EE engine name',
    `netDayDDelta` FLOAT NOT NULL DEFAULT 0 COMMENT 'net day $Delta',
    `absDayDDelta` FLOAT NOT NULL DEFAULT 0 COMMENT 'absolute day $Delta, |ddBot| + |ddSld| position',
    `netDayVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'net day Vega per',
    `absDayVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'absolute day Vega, |veBot| + |veSld| position',
    `netDayWtVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'net day WtVega',
    `absDayWtVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'absolute day WtVega, |wvBot| + |wvSld| position',
    `netDayNValue` FLOAT NOT NULL DEFAULT 0 COMMENT 'net day Notional Value',
    `absDayNValue` FLOAT NOT NULL DEFAULT 0 COMMENT 'absolute day Notional Value, |nvBot| + |nvSld| position',
    `netDayRMetric7` FLOAT NOT NULL DEFAULT 0 COMMENT 'net day RiskMetric7',
    `absDayRMetric7` FLOAT NOT NULL DEFAULT 0 COMMENT 'absolute day RiskMetric7, |rm7Bot| + |rm7Sld| position',
    `netDayDDeltaEma` FLOAT NOT NULL DEFAULT -1 COMMENT '60s (half-life) EMA $delta',
    `netDayWtVegaEma` FLOAT NOT NULL DEFAULT -1 COMMENT '60s (half-life) EMA wtVega',
    `emaTimestamp` DOUBLE NOT NULL DEFAULT 0,
    `liveMarginDay` FLOAT NOT NULL DEFAULT 0 COMMENT 'live net (per symbol) day portfolio (day trades only) margin (can include external sources)',
    `liveOpenExposure` FLOAT NOT NULL DEFAULT 0 COMMENT 'live abs open child order $Delta (no netting) (open child orders only)',
    `dayMarginUDnVDn` FLOAT NOT NULL DEFAULT 0 COMMENT 'day margin (UPrcDn/VolDn)',
    `dayMarginUDnVUp` FLOAT NOT NULL DEFAULT 0 COMMENT 'day margin (UPrcDn/VolUp)',
    `dayMarginUUpVDn` FLOAT NOT NULL DEFAULT 0 COMMENT 'day margin (UPrcUp/VolDn)',
    `dayMarginUUpVUp` FLOAT NOT NULL DEFAULT 0 COMMENT 'day margin (UPrcUp/VolUp)',
    `numStkChildOrders` INT NOT NULL DEFAULT 0,
    `numFutChildOrders` INT NOT NULL DEFAULT 0,
    `numOptChildOrders` INT NOT NULL DEFAULT 0,
    `numMLegChildOrders` INT NOT NULL DEFAULT 0,
    `counter` INT NOT NULL DEFAULT 0,
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`,`riskControlKey`,`riskControlLevel`,`riskFirm`,`isTestAccnt`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='Values in this table represent current (live) SpiderRock supervisory risk counters for a corresponding risk control key.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `riskControlKey`,
    `riskControlLevel`,
    `riskFirm`,
    `isTestAccnt`,
    `sysRealm`,
    `sysEnvironment`,
    `riskEngine`,
    `netDayDDelta`,
    `absDayDDelta`,
    `netDayVega`,
    `absDayVega`,
    `netDayWtVega`,
    `absDayWtVega`,
    `netDayNValue`,
    `absDayNValue`,
    `netDayRMetric7`,
    `absDayRMetric7`,
    `netDayDDeltaEma`,
    `netDayWtVegaEma`,
    `emaTimestamp`,
    `liveMarginDay`,
    `liveOpenExposure`,
    `dayMarginUDnVDn`,
    `dayMarginUDnVUp`,
    `dayMarginUUpVDn`,
    `dayMarginUUpVUp`,
    `numStkChildOrders`,
    `numFutChildOrders`,
    `numOptChildOrders`,
    `numMLegChildOrders`,
    `counter`,
    `timestamp`
FROM `SRControl`.`MsgSRRiskCounter`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `ticker_at` = 'None'
  AND
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') */ 
    `ticker_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ticker_tk` = 'Example_ticker_tk'
  AND
    /* Replace with a VARCHAR(64) */ 
    `riskControlKey` = 'Example_riskControlKey'
  AND
    /* Replace with a ENUM('None','ClientFirm','Accnt','User') */ 
    `riskControlLevel` = 'None'
  AND
    /* Replace with a VARCHAR(16) */ 
    `riskFirm` = 'Example_riskFirm'
  AND
    /* Replace with a ENUM('None','Yes','No') */ 
    `isTestAccnt` = 'None';

Doc Columns Query

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