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Version: Staging

FutureRiskDetailV5

V8 Message Definiton

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

METADATA

AttributeValue
Topic4740-risk-v5
MLink TokenSystemData
ProductSRRisk
accessTypeSELECT

Table Definition

FieldTypeKeyDefault ValueComment
fkey_atenum - AssetTypePRI'None'
fkey_tsenum - TickerSrcPRI'None'
fkey_tkVARCHAR(12)PRI''
fkey_yrSMALLINT UNSIGNEDPRI0
fkey_mnTINYINT UNSIGNEDPRI0
fkey_dyTINYINT UNSIGNEDPRI0
accntVARCHAR(16)PRI''
tradeDateDATEPRI'1900-01-01'
clientFirmVARCHAR(16)PRI''SR assigned client firm
periodEndTimeDATETIME(6)'1900-01-01 00:00:00.000000'DTTM of the end of the current trading period
viewGroup1VARCHAR(12)''Account Group 1 SR Assigned used to organize account groups AccountConfigviewGroup1
viewGroup2VARCHAR(12)''Account Group 2 SR Assigned used to organize account groups AccountConfigviewGroup2
viewGroup3VARCHAR(12)''Account Group 3 SR Assigned used to organize account groups AccountConfigviewGroup3
futStatusenum - FutStatus'Hold'
optStatusenum - OptStatus'Hold'
riskClassVARCHAR(8)''Symbol Risk Class Code user supplied SymbolControlriskClass
theoModelVARCHAR(16)''SR assigned theo model tag associated with user supplied theo surfaces AccountConfigtheoModel
theoModel2VARCHAR(16)''SR assigned theo model2 tag associated with user supplied theo surfaces AccountConfigtheoModel2
hedgeDeltaRuleenum - 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
holdReasonenum - HoldReason'None'User supplied description only informational SymbolControlholdReason
binaryDaysFLOAT0Fractional days 0 50 prior to expiration after which hedgeDeltas become binary 10 05 0 05 10 SymbolControlbinaryDays
ctrlUpdateDATETIME(6)'1900-01-01 00:00:00.000000'last update dttm of SymbolControl record SymbolControltimestamp
symbolTypeenum - SymbolType'None'SymbolType Equity ETF ShortETF ADR CashIndex FutureComplex
nameVARCHAR(16)''Symbol namedescription
betaFLOAT0beta usually beta to SPX see AccountConfigbetaSource
betaSourceenum - BetaSource'None'
futVolumeFLOAT0trailing 30 day average daily stock volume
optVolumeFLOAT0trailing 30 day average daily option volume
marginTypeenum - MarginType'None'margin slide type NMSEquity 15 NMSIndex 86 NMSMedium 10
isYieldBasedenum - YesNo'None'is the symbol a yield based futurecan affect greeks and pricing eg eurodollars
shortTermVolFLOAT0estimatedimplied short term underlier volatility
pointValueFLOAT0point value of this future
pointCurrencyenum - Currency'None'
underliersPerCnINT0underliers per contract of the futures associated with this symbol if any default 1
underlierTypeenum - UnderlierType'None'
timestampDATETIME(6)'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

FieldSequence
fkey_tk1
fkey_yr2
fkey_mn3
fkey_dy4
fkey_at5
fkey_ts6
accnt7
tradeDate8
clientFirm9

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRRisk`.`MsgFutureRiskDetailV5` (
`fkey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
`fkey_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',
`fkey_tk` VARCHAR(12) NOT NULL DEFAULT '',
`fkey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0,
`fkey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0,
`fkey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0,
`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 (`fkey_tk`,`fkey_yr`,`fkey_mn`,`fkey_dy`,`fkey_at`,`fkey_ts`,`accnt`,`tradeDate`,`clientFirm`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='FutureRiskDetail records contain semi-static markup detail for FutureRiskSummary records.';

SELECT TABLE EXAMPLE QUERY

SELECT
`fkey_at`,
`fkey_ts`,
`fkey_tk`,
`fkey_yr`,
`fkey_mn`,
`fkey_dy`,
`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`.`MsgFutureRiskDetailV5`
WHERE
/* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */
`fkey_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') */
`fkey_ts` = 'None'
AND
/* Replace with a VARCHAR(12) */
`fkey_tk` = 'Example_fkey_tk'
AND
/* Replace with a SMALLINT UNSIGNED */
`fkey_yr` = 123
AND
/* Replace with a TINYINT UNSIGNED */
`fkey_mn` = 1
AND
/* Replace with a TINYINT UNSIGNED */
`fkey_dy` = 1
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='FutureRiskDetailV5' ORDER BY ordinal_position ASC;