ProductRiskDetailV5

V8 Message Definiton

ProductRiskDetail records contain semi-static markup detail for FutureRiskSummary records.

METADATA

Attribute	Value
Topic	4740-risk-v5
MLink Token	SystemData
Product	SRRisk
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
ticker_at	enum - AssetType	PRI	'None'
ticker_ts	enum - TickerSrc	PRI	'None'
ticker_tk	VARCHAR(12)	PRI	''
accnt	VARCHAR(16)	PRI	''
tradeDate	DATE	PRI	'1900-01-01'
clientFirm	VARCHAR(16)	PRI	''	SR assigned client firm
periodEndTime	DATETIME(6)		'1900-01-01 00:00:00.000000'	DTTM of the end of the current trading period
viewGroup1	VARCHAR(12)		''	Account Group 1 SR Assigned used to organize account groups AccountConfigviewGroup1
viewGroup2	VARCHAR(12)		''	Account Group 2 SR Assigned used to organize account groups AccountConfigviewGroup2
viewGroup3	VARCHAR(12)		''	Account Group 3 SR Assigned used to organize account groups AccountConfigviewGroup3
futStatus	enum - FutStatus		'Hold'
optStatus	enum - OptStatus		'Hold'
riskClass	VARCHAR(8)		''	Symbol Risk Class Code user supplied SymbolControlriskClass
theoModel	VARCHAR(16)		''	SR assigned theo model tag associated with user supplied theo surfaces AccountConfigtheoModel
theoModel2	VARCHAR(16)		''	SR assigned theo model2 tag associated with user supplied theo surfaces AccountConfigtheoModel2
hedgeDeltaRule	enum - HedgeDeltaRule		'None'	HedgeDelta Source IVol use SR implied surface sticky strike IvS use SR surface sticky delta TVol use user supplied theo surface sticky strike TvS use user supplied theo surface and atm veSlope sticky delta AccountConfighedgeDelta
holdReason	enum - HoldReason		'None'	User supplied description only informational SymbolControlholdReason
binaryDays	FLOAT		0	Fractional days 0 50 prior to expiration after which hedgeDeltas become binary 10 05 0 05 10 SymbolControlbinaryDays
ctrlUpdate	DATETIME(6)		'1900-01-01 00:00:00.000000'	last update dttm of SymbolControl record SymbolControltimestamp
symbolType	enum - SymbolType		'None'	SymbolType Equity ETF ShortETF ADR CashIndex FutureComplex
name	VARCHAR(16)		''	Symbol namedescription
beta	FLOAT		0	beta usually beta to SPX see AccountConfigbetaSource
betaSource	enum - BetaSource		'None'
futVolume	FLOAT		0	trailing 30 day average daily stock volume
optVolume	FLOAT		0	trailing 30 day average daily option volume
marginType	enum - MarginType		'None'	margin slide type NMSEquity 15 NMSIndex 86 NMSMedium 10
isYieldBased	enum - YesNo		'None'	is the symbol a yield based futurecan affect greeks and pricing eg eurodollars
shortTermVol	FLOAT		0	estimatedimplied short term underlier volatility
pointValue	FLOAT		0	point value of this future
pointCurrency	enum - Currency		'None'
underliersPerCn	INT		0	underliers per contract of the futures associated with this symbol if any default 1
underlierType	enum - UnderlierType		'None'
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
accnt	4
tradeDate	5
clientFirm	6

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRRisk`.`MsgProductRiskDetailV5` (
    `ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
    `ticker_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `accnt` VARCHAR(16) NOT NULL DEFAULT '',
    `tradeDate` DATE NOT NULL DEFAULT '1900-01-01',
    `clientFirm` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'SR assigned client firm',
    `periodEndTime` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'DTTM of the end of the current trading period',
    `viewGroup1` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'Account Group #1 (SR Assigned) used to organize account groups [AccountConfig.viewGroup1]',
    `viewGroup2` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'Account Group #2 (SR Assigned) used to organize account groups [AccountConfig.viewGroup2]',
    `viewGroup3` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'Account Group #3 (SR Assigned) used to organize account groups [AccountConfig.viewGroup3]',
    `futStatus` ENUM('Hold','TwoWay','DayHold') NOT NULL DEFAULT 'Hold',
    `optStatus` ENUM('Hold','TwoWay','BuyOnly','SellOnly','CloseOnly','CloseNow','CloseRisk','BuyCloseOnly','SellCloseOnly') NOT NULL DEFAULT 'Hold',
    `riskClass` VARCHAR(8) NOT NULL DEFAULT '' COMMENT 'Symbol Risk Class Code (user supplied) [SymbolControl.riskClass]',
    `theoModel` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'SR assigned theo model tag (associated with user supplied theo surfaces) [AccountConfig.theoModel]',
    `theoModel2` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'SR assigned theo model#2 tag (associated with user supplied theo surfaces) [AccountConfig.theoModel2]',
    `hedgeDeltaRule` ENUM('None','IVol','IvS','TVol','TvS','Binary','IvS_25','IvS_50','IvS_75','TvAll','TvAllS') NOT NULL DEFAULT 'None' COMMENT 'HedgeDelta Source (IVol = use SR implied surface (sticky strike), IvS = use SR surface (sticky delta), TVol = use user supplied theo surface (sticky strike), TvS = use user supplied theo surface and atm veSlope (sticky delta)) [AccountConfig.hedgeDelta]',
    `holdReason` ENUM('None','BadData','CorpAction','PendDeal','PendEvent','ExtTrade','LowPrice','PendEarn','DealRumour','BadDiv','Watch','NewSym','NoLoc','NegPerf','NegEdge') NOT NULL DEFAULT 'None' COMMENT 'User supplied description (only informational) [SymbolControl.holdReason]',
    `binaryDays` FLOAT NOT NULL DEFAULT 0 COMMENT 'Fractional days [0 - 5.0] prior to expiration after which hedgeDeltas become binary [-1.0, -0.5, 0, +0.5, +1.0] [SymbolControl.binaryDays]',
    `ctrlUpdate` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'last update dttm of SymbolControl record [SymbolControl.timestamp]',
    `symbolType` ENUM('None','Equity','ADR','ETF','CashIndex','MutualFund','ShortETF','Future','Bond','DepReceipts','PreferredSec','PreferenceShare','StructuredProd','StapledSec','TradeableRights','Unit','Warrant','WhenIssued','ForeignIssue') NOT NULL DEFAULT 'None' COMMENT 'SymbolType (Equity, ETF, ShortETF, ADR, CashIndex, FutureComplex)',
    `name` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'Symbol name/description',
    `beta` FLOAT NOT NULL DEFAULT 0 COMMENT 'beta (usually beta to SPX; see AccountConfig.betaSource)',
    `betaSource` ENUM('None','betaSPX','betaQQQ','betaIWM','clientBeta') NOT NULL DEFAULT 'None',
    `futVolume` FLOAT NOT NULL DEFAULT 0 COMMENT 'trailing 30 day average daily stock volume',
    `optVolume` FLOAT NOT NULL DEFAULT 0 COMMENT 'trailing 30 day average daily option volume',
    `marginType` ENUM('None','NMS_Equity','NMS_Index','NMS_Medium') NOT NULL DEFAULT 'None' COMMENT 'margin slide type: NMS_Equity = +/- 15%, NMS_Index = -8%/+6%, NMS_Medium = +/-10%',
    `isYieldBased` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'is the symbol a yield based future;can affect greeks and pricing (eg, eurodollars)',
    `shortTermVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'estimated/implied short term underlier volatility',
    `pointValue` FLOAT NOT NULL DEFAULT 0 COMMENT 'point value of this future',
    `pointCurrency` ENUM('None','AUD','BRL','CAD','CHF','CNH','CNY','EUR','GBP','JPY','KRW','MXN','MYR','NOK','NZD','SEK','TRY','USD','USDCents','CZK','ZAR','HUF','USX','GBX') NOT NULL DEFAULT 'None',
    `underliersPerCn` INT NOT NULL DEFAULT 0 COMMENT 'underliers per contract of the futures associated with this symbol (if any) [default = 1]',
    `underlierType` ENUM('None','Equity','Other','FX') NOT NULL DEFAULT 'None',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`,`accnt`,`tradeDate`,`clientFirm`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='ProductRiskDetail records contain semi-static markup detail for FutureRiskSummary records.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `accnt`,
    `tradeDate`,
    `clientFirm`,
    `periodEndTime`,
    `viewGroup1`,
    `viewGroup2`,
    `viewGroup3`,
    `futStatus`,
    `optStatus`,
    `riskClass`,
    `theoModel`,
    `theoModel2`,
    `hedgeDeltaRule`,
    `holdReason`,
    `binaryDays`,
    `ctrlUpdate`,
    `symbolType`,
    `name`,
    `beta`,
    `betaSource`,
    `futVolume`,
    `optVolume`,
    `marginType`,
    `isYieldBased`,
    `shortTermVol`,
    `pointValue`,
    `pointCurrency`,
    `underliersPerCn`,
    `underlierType`,
    `timestamp`
FROM `SRRisk`.`MsgProductRiskDetailV5`
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','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','NXOS','NXP','EUREX','CEDX','ICEFE') */ 
    `ticker_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ticker_tk` = 'Example_ticker_tk'
  AND
    /* Replace with a VARCHAR(16) */ 
    `accnt` = 'Example_accnt'
  AND
    /* Replace with a DATE */
    `tradeDate` = '2022-01-01'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

Doc Columns Query

SELECT * FROM SRRisk.doccolumns WHERE TABLE_NAME='ProductRiskDetailV5' ORDER BY ordinal_position ASC;