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Risk Servers & Records

SpiderRock Live Risk Servers​

SpiderRock Connect's live risk servers provide detailed, real-time visibility into trading activity and portfolio exposure. They aggregate start-of-day positions, intraday executions, live market data, and analytics to generate comprehensive risk records for every position in an account. These records can be viewed in SpiderRock's Citrix tool suite and are also accessible through SRSE SQL servers and the MLink API.

The servers support a broad range of asset classes, including equities, futures, equity options, and future options. They operate continuously from Sunday morning through Friday night, offering uninterrupted risk monitoring throughout the trading week. The system is well-suited for a variety of risk management tasks across account, firm, and strategy levels, including:

  • Precise static and dynamic surface hedging
  • Dynamic P&L attribution
  • Greek aggregation
  • Scenario modeling and SPAN slide aggregation
  • Pin risk and early exercise management
  • Client-specific theoretical surface performance attribution

Risk Rotations​

In addition to real-time risk reporting, the servers manage top-of-day risk rotations. During these rotations, current positions and executions are rolled into a "previous period" record that can be used to establish new start-of-day positions or to run break checks against positions loaded from a client's clearing firm.

Rotation timing depends on the product: CME products rotate at 4:45 p.m., ICE products at 5:45 p.m., and NMS tickers at 7:45 p.m., all in Central Standard Time (CST) from Monday through Friday. Both live (current-day) and frozen (prior-day) records are always available through SRSE and MLink, and frozen records are archived for 90 days in the ElasticRock data cluster.

Update Frequency​

The system is optimized to update risk records and aggregates rapidly when positions change, typically as a result of trading activity. If positions remain static, updates occur less frequently—usually about once every 60 seconds.

More information about these risk records can be obtained from SRSE or MLink record documentation, or through the grid column selectors embedded within the Citrix tools.

Risk Record Types​

Stock-Position Records​

Stock-position records (Accnt + StockKey) are created and updated during the day when either a start-of-period position or an execution exists. These records include the following data:

  • Start-of-day position: CLR and SR positions and marks
  • Cumulative shares bought and sold during the trading day
  • PnL from CLR and SR start-of-day positions, and PnL from all executions during the day
  • Live marks and both SR and CLR closing marks

Future-Position Records​

Future-position records (Accnt + FutureKey) are created and updated during the day when either a start-of-period position or an execution exists. These records include:

  • Start-of-day position: CLR and SR positions and marks
  • Cumulative contracts bought and sold during the trading day
  • PnL from CLR and SR start-of-day positions, and PnL from all executions during the day
  • Live marks, SR and CLR closing marks, and exchange settlement marks
  • Definition details such as tick value, point value, and years to expiration

Option-Position Records​

Option-position records (Accnt + OptionKey) are created and updated during the day when either a start-of-period position or an execution exists. These records include:

  • Start-of-day position: CLR and SR positions and marks
  • Cumulative contracts bought and sold during the trading day
  • PnL from CLR and SR start-of-day positions, and PnL from all executions during the day
  • Start-of-day and trading PnL from SR live surface marks (usually more accurate)
  • Live marks, SR and CLR closing marks, and exchange settlement marks (if any)
  • Definition details such as underliers per contract, tick value, point value, and years to expiration
  • Multihedge allocation details (when the underlier is a basket of 2 or more stocks)
  • Hedge deltas including binary (near expiry) and dynamic surface-hedging factors
  • Live and prior-period option greeks with greek PnL attribution
  • Standard risk slides (underlier ±X%) including cash takeout and earnings scenarios
  • Client theoretical surface edge and PnL attribution (for clients that have uploaded surfaces)

Symbol Risk-Summary Records​

Symbol risk-summary records (Accnt + StockKey) aggregate stock-position, future-position, and option-position records into a symbol or product-level view of positions, risk, and PnL. These records are suitable for making accurate symbol-level hedging decisions and serve as the primary input for the SpiderRock Hedge Tool and Symbol Viewer. They are also the source for the SpiderRock Risk Viewer (all symbol-level detail tabs). These records include the following data:

  • Stock, future, and option position and trade counts
  • Symbol-level start-of-day position break summary (SR view vs. CLR view)
  • Symbol-level PnL: start-of-day and trading, SR and CLR marks
  • Symbol-level cumulative greeks: Delta, Vega, Gamma, Theta, Rho, Phi, etc.
  • Symbol greek PnL attribution: VePnL, GaPnL, ThPnL, RhoPnL, PhiPnL, etc.
  • Symbol-level hedging data including dynamic surface-hedging aggregation
  • Symbol-level haircut and margin values
  • Multihedge risk allocations (option risk allocated to component underliers)
  • Theo surface edge and performance attribution (for clients that have uploaded surfaces)
  • Hypothetical continuous-hedging PnL (assumes mid-market hedging at 1-minute frequency)
  • Time and skew bucket time-weighted vega aggregation (5 + 5)
  • Early exercise and pin risk-management alerts

Expiration Risk Records​

Expiration risk records (Accnt + Year/Month/Day) aggregate option position records for each expiration month. These records include:

  • Long/short greek aggregation: Vega, WVega, WtVega, Theta, Rho
  • Skew bucket time-weighted vega aggregation (5 buckets)
  • Greek PnL attribution: VePnL, GaPnL, ThPnL, RhoPnL, PhiPnL, etc.
  • Expiration-level standard risk slides (underlier ±X%)
  • Theo surface edge and performance attribution (for clients that have uploaded surfaces)

Industry Risk Records​

Industry risk records (Accnt + IndCode) aggregate symbol risk-summary records by industry, sub-industry, and group using a SpiderRock industry-classification scheme. These records include:

  • PnL metrics: SR and CLR, start-of-day and trades
  • Long/short greek aggregation: Vega, WVega, WtVega, Theta, Rho
  • Time and skew bucket time-weighted vega aggregation (5 + 5)
  • Greek PnL attribution: VePnL, GaPnL, ThPnL, RhoPnL, PhiPnL, etc.
  • Theo surface edge and performance attribution (for clients that have uploaded surfaces)
  • Standard risk slides (underlier ±X%)
  • Aggregate symbol haircut and margin values

Account Risk Records​

Account risk records (Accnt) aggregate symbol risk-summary records by account. These records include:

  • PnL metrics: SR and CLR, start-of-day and trades
  • Long/short greek aggregation: Vega, WVega, WtVega, Theta, Rho
  • Time and skew bucket time-weighted vega aggregation (5 + 5)
  • Greek PnL attribution: VePnL, GaPnL, ThPnL, RhoPnL, PhiPnL, etc.
  • Theo surface edge and performance attribution (for clients that have uploaded surfaces)
  • Standard risk slides (underlier ±X%)
  • Aggregate symbol haircut and margin values

Risk Cube Detail Records​

Risk cube detail records (Stock, Futures, Options) mirror stock, future, and option position records with a common layout for all asset types. These records are suitable for use in historical and pivot-table-style applications such as the SpiderRock Risk Analyzer. They are published live during the day (visible in SRSE and MLink) and are uploaded to the ElasticSpider cluster at the end of each trading day.

Trade Cube Detail Records​

Trade cube detail records (Stock, Futures, Options) mirror SpiderRock Connect's parent execution records with a common layout for all asset types. These records are suitable for use in historical and pivot-table-style applications such as the SpiderRock Trade Analyzer. They are published live during the day (visible in SRSE and MLink) and are uploaded to the ElasticSpider cluster at the end of each trading day.