Risk Views
SpiderRock Connect's live risk records are segmented by risk view, which determines whether a record carries live pricing or pricing frozen at the SpiderRock close mark. Live records are published throughout the session, and close records are added at the close mark time. Because the two views coexist from that point forward, live risk remains available through the close and into the post-close session without requiring the user to switch record sets.
Risk views replace the risk sessions used by earlier V8 risk records. Where RiskSession segmented records by trading session, RiskView segments them by whether their pricing is live or drawn from the close marks.
Live and Close Views
Every V6 risk record is keyed by a riskView value:
| Risk View | Pricing | Position Quantities | Description |
|---|---|---|---|
| Live | Live | Live | Live records are always live. They do not snap to a SpiderRock close mark and do not freeze at the close, so pricing continues to update through the close and the late session. |
| Close | Frozen at the SpiderRock close mark | Live | Close records are generated at approximately the close mark time. Pricing is fixed at the close mark, while position quantities continue to update as executions arrive. |
The SpiderRock close mark time is 2:55 PM CST for all NMS equity and equity option assets, including ETFs. CME and ICE close mark times are product-specific. See StockCloseMark, OptionCloseMark, and FutureCloseMark for the underlying mark records.
Migrating from Risk Sessions
The RiskSession values map to risk views as follows:
| Risk Session | Risk View | Behavior Change |
|---|---|---|
| Regular | Live | Regular froze pricing at the close, snapping to the close mark. Live never snaps to a close mark and remains live through the close. |
| PostClose | Close | PostClose was generated at the close mark time and remained fully live through the late session. Close is generated at approximately the same time, but freezes pricing at the close mark while quantities remain live. |
Under the risk session model, risk in the tools froze at the close mark time and traders had to move to the PostClose rows manually to recover live risk for the remainder of the session. Under the risk view model, live risk is continuously available in the Live records, and the frozen close-mark valuation remains available in the Close records.
Default Risk View
Each account has a default risk view that determines which view the Citrix tools present:
| Default | Behavior |
|---|---|
| Live | The tools always show live risk. |
| Close | The tools show live risk until the close mark time, after which they show close mark pricing with live position quantities. |
Accounts default to Close, which preserves existing V8 behavior. Accounts that want live pricing through the close and into the post-close session should default to Live. To change an account's default permanently, contact the SpiderRock support desk.
Selecting a Risk View in the Tools
In Symbol Viewer (SV), The Calculations & Visuals settings panel includes a setting for switching between the Live and Close risk views. The setting applies to that tool for the current session and takes precedence over the account default; it does not change the account default or affect other tools.
When Live is selected, the application displays live risk for the whole session. When Close is selected, the application displays live risk prior to the close mark time and transitions automatically to close risk at approximately the close mark time.
For other risk tools, the same settings can be found in the hamburger menu.
SRSE and MLink
The existing V5 risk tables and messages remain available and retain the V8 risk session behavior, so current queries and subscriptions continue to work unchanged. V5 SRSE and MLink access is now served through proxy tables built on top of the V6 messages.
To take advantage of risk views, use the V6 risk tables and messages. These carry the riskView field and the behavior described above.
The following V6 messages include the riskView field:
- AccountRiskRecordV6
- ExpirationRiskRecordV6
- FuturePositionRecordV6
- FutureRiskSummaryV6
- IndustryRiskRecordV6
- OptionPositionRecordV6
- ProductRiskSummaryV6
- RiskCubeDetailV6
- StockPositionRecordV6
- SymbolRiskSummaryV6
riskView is a primary key field on all V6 risk records. Queries that do not filter on riskView will return a row for each view currently published for a position.