4740-risk-v5
| # | Message Name | Description |
|---|---|---|
| 4745 | AccountRiskRecordV5 | AccountRiskRecords contain account level position and risk summary detail. These records are published by AggRiskServers throughout the day approximately once per minute. |
| 4750 | CurrencyPositionRecordV5 | CurrencyPositionRecords are live risk records that contain start-of-day positions and all subsequent transactions. These records are published by a CoreRiskServer and represent the position and risk markup detail for a single currency. New records are published immediately when a position changes and about once per minute if no position has changed. |
| 4755 | CurrencyTransaction | |
| 4760 | EquityCorpActionRecordV5 | corp action record (managed by SR) |
| 4765 | ExpirationRiskRecordV5 | ExpirationRiskRecords contain account level position and risk summary detail. These records are published by AggRiskServers throughout the day approximately once per minute. |
| 4775 | FuturePositionRecordV5 | FuturePositionRecords are live risk records that contain start-of-day positions and all subsequent executions, including executions reported as done away. These records are published by a CoreRiskServer and represent the position and risk markup detail for a single futures contract. New records are published immediately when a position changes and about once per minute if no position has changed. Note that all stock, future and option records for a chain are published simultaneously and records for the same chain should have consistent marks. |
| 4780 | FutureRiskDetailV5 | FutureRiskDetail records contain semi-static markup detail for FutureRiskSummary records. |
| 4785 | FutureRiskSummaryV5 | FutureRiskSummary records contain live future level risk aggregation of OptionPositionRecord and FuturePositionRecord details. Records are published if/when positions change and about once per minute otherwise. |
| 4790 | IndustryRiskRecordV5 | IndustryRiskRecords contain account level position and risk summary detail. These records are published by AggRiskServers throughout the day approximately once per minute. |
| 4795 | OptionCorpActionRecordV5 | |
| 4800 | OptionExAsRecordV5 | Option exercise/assigment records (either from SR clearing loaders or uploaded directly by client) |
| 4805 | OptionPositionRecordV5 | OptionPositionRecords are live risk records that contain start-of-day positions and all subsequent executions, including executions reported as done away. These records are published by a CoreRiskServer and represent the position and risk markup detail for a single option series. New records are published immediately when a position changes and about once per minute if no position has changed. Note that all records for a single underlier are published simultaneously and records for the same chain should have consistent marks. |
| 4810 | ProductRiskDetailV5 | ProductRiskDetail records contain semi-static markup detail for FutureRiskSummary records. |
| 4815 | ProductRiskSummaryV5 | ProductRiskSummary records contain live risk aggregation of FutureRiskSummaryV5 records. Records are published if/when positions change and about once per minute otherwise. |
| 4820 | RiskAggGroupStateV5 | RiskAggGroupState records are published by AggRiskServer immediately if/when a position update occurs. These records are consumed by execution engines and influence child order position markup. |
| 4825 | RiskCubeDetailV5 | RiskCubeDetail records are published by CoreRiskServers and are designed to be aggregated and analyzed over time. RiskCubeDetail records are published to the SpiderRock Archive Host data pipeline at the end of each trading period. |
| 4830 | SodCashRecordV5 | SodCashRecords contain a start-of-day currency position that derived from dividend or corporate action being applied to a prior period position. These records are computed and published by SR rotation servers. |
| 4835 | SodClearingRecordV5 | SodClearingRecords contain start-of-day option position and mark details. They can be source directly from a prime broker by SpiderRock or inserted by clients. They can also be modified after the start of trading. These records are the source of the CLR side positions in SR risk records. |
| 4850 | StockPositionRecordV5 | StockPositionRecords are live risk records that contain start-of-day positions and all subsequent executions, including executions reported as done away. These records are published by a CoreRiskServer and represent the position and risk markup detail for a single equity or ETF security. New records are published immediately when a position changes and about once per minute if no position has changed. Note that all stock, future and option records for a single ticker are published simultaneously and records for the same chain should have consistent marks. |
| 4855 | SymbolMarginSummaryV5 | SymbolMarginSummary records are published by the AggRiskServers and consumed by execution engines |
| 4860 | SymbolRiskDetailV5 | SymbolRiskDetail records contain semi-static markup detail for SymbolRiskSummary records. |
| 4865 | SymbolRiskSummaryV5 | SymbolRiskSummary records contain live symbol level risk aggregation of StockPositionRecord and OptionPositionRecord values. Records are published by AggRiskServers if/when positions change and about once per minute otherwise. |
| 4870 | TradeCubeDetailV5 | TradeCubeDetail records are published by CoreRiskServers and are visible in SRSE throughout the day. They are designed to be aggregated and analyzed over time. TradeCubeDetail records are published to the SpiderRock Archive Host data pipeline after all markup detail is complete. |