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Version: Upcoming

PositionHedgePolicyConfig

V8 Message Definiton

METADATA​

AttributeValue
Topic1800-client-config
MLink TokenClientControl
ProductSRControl
accessTypeSELECT,UPDATE,INSERT,DELETE

Table Definition​

FieldTypeKeyDefault ValueComment
accntVARCHAR(16)PRI''
clientFirmVARCHAR(16)PRI''
policyenum - PositionHedgePolicyPRI'None'
enabledenum - YesNo'None'
hedgeDeltaRuleenum - HedgeDeltaRule'None'HedgeDelta Source IVol use SR implied surface sticky strike IvS use SR surface dynamic TVol use user supplied theo surface sticky strike TvS use user supplied theo surface dynamic AccountConfighedgeDelta
binaryDaysFLOAT0used to force delta calcs binary prior to expiration 10 force to binary at the start of the final regular market 05 force to binary half way through final regular market
balanceSymbolsenum - YesNo'None'balance accnt level deltas from all symbols using this policy
hedgeAlgoenum - HedgeAlgo'None'
execBrkrAlgoVARCHAR(32)''display name of exec broker algo should not have spaces
execBrkrCodeVARCHAR(16)''required if BROKERALGO
execBkkrTagsTINYTEXT''keyvalue set of algo tags
eodHedgeWindowenum - HedgeWindow'None'
eodSymHedgeBandDDFLOAT0individual symbol hedge band delta
eodSymHedgeBandGRFLOAT0individual symbol hedge band gamma ratio
eodBalanceSymbolsenum - YesNo'None'balance accnt level deltas from all symbols using this policy
eodHedgeAlgoenum - HedgeAlgo'None'
eodExecBrkrAlgoVARCHAR(32)''display name of exec broker algo should not have spaces
eodExecBrkrCodeVARCHAR(16)''required if BROKERALGO
eodExecBkkrTagsTINYTEXT''keyvalue set of algo tags that get forwarded to exec broker on order
clsHedgeWindowenum - ClsHedgeWindow'None'
clsAuctionSymHedgeBandDDFLOAT0individual symbol hedge band delta if participating in closing auction
clsAuctionSymHedgeBandGRFLOAT0individual symbol hedge band gamma ratio if participating in closing auction
clsSymHedgeBandDDFLOAT0individual symbol hedge band delta if using an EOD algo
clsSymHedgeBandGRFLOAT0individual symbol hedge band gamma ratio if using an EOD algo
clsBalanceSymbolsenum - YesNo'None'balance accnt level deltas from all symbols using this policy
clsHedgeAlgoenum - ClsHedgeAlgo'None'
clsExecBrkrAlgoVARCHAR(32)''display name of exec broker algo should not have spaces
clsExecBrkrCodeVARCHAR(16)''required if BROKERALGO
clsExecBkkrTagsTINYTEXT''keyvalue set of algo tags that get forwarded to exec broker on order
modifiedByVARCHAR(24)''user who last modified this record
modifiedInenum - SysEnvironment'None'
timestampDATETIME(6)'1900-01-01 00:00:00.000000'timestamp of last modification
HedgeWavesListJSON'JSON_ARRAY()'

PRIMARY KEY DEFINITION (Unique)​

FieldSequence
accnt1
clientFirm2
policy3

JSON Block (HedgeWavesList)​

FieldTypeComment
hedgeTimeenum - hedgeTimecreate hedge wave at hedgeTime each trading day HHMMSS
symHedgeBandDDenum - symHedgeBandDDindividual symbol hedge band delta
symHedgeBandGRenum - symHedgeBandGRindividual symbol hedge band gamma ratio

CREATE TABLE EXAMPLE QUERY​

CREATE TABLE `SRControl`.`MsgPositionHedgePolicyConfig` (
    `accnt` VARCHAR(16) NOT NULL DEFAULT '',
    `clientFirm` VARCHAR(16) NOT NULL DEFAULT '',
    `policy` ENUM('None','Default','A','B','C','D') NOT NULL DEFAULT 'None',
    `enabled` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `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 (dynamic), TVol = use user supplied theo surface (sticky strike), TvS = use user supplied theo surface (dynamic)) [AccountConfig.hedgeDelta]',
    `binaryDays` FLOAT NOT NULL DEFAULT 0 COMMENT 'used to force delta calcs binary prior to expiration (1.0 = force to binary at the start of the final regular market; 0.5 = force to binary half way through final regular market)',
    `balanceSymbols` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'balance accnt level deltas from all symbols using this policy',
    `hedgeAlgo` ENUM('None','SR_VWAP','SR_PASSIVE','BROKER_ALGO') NOT NULL DEFAULT 'None',
    `execBrkrAlgo` VARCHAR(32) NOT NULL DEFAULT '' COMMENT 'display name of exec broker algo (should not have spaces)',
    `execBrkrCode` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'required if BROKER_ALGO',
    `execBkkrTags` TINYTEXT NOT NULL DEFAULT '' COMMENT 'key/value set of algo tags',
    `eodHedgeWindow` ENUM('None','Sec_10','Sec_30','Sec_60','Min_1','Min_10','Min_30') NOT NULL DEFAULT 'None',
    `eodSymHedgeBandDD` FLOAT NOT NULL DEFAULT 0 COMMENT 'individual symbol hedge band ($delta)',
    `eodSymHedgeBandGR` FLOAT NOT NULL DEFAULT 0 COMMENT 'individual symbol hedge band (gamma ratio)',
    `eodBalanceSymbols` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'balance accnt level deltas from all symbols using this policy',
    `eodHedgeAlgo` ENUM('None','SR_VWAP','SR_PASSIVE','BROKER_ALGO') NOT NULL DEFAULT 'None',
    `eodExecBrkrAlgo` VARCHAR(32) NOT NULL DEFAULT '' COMMENT 'display name of exec broker algo (should not have spaces)',
    `eodExecBrkrCode` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'required if BROKER_ALGO',
    `eodExecBkkrTags` TINYTEXT NOT NULL DEFAULT '' COMMENT 'key/value set of algo tags that get forwarded to exec broker on order',
    `clsHedgeWindow` ENUM('None','NoAction','CloseAuction','CloseAuctionOrAlgo') NOT NULL DEFAULT 'None',
    `clsAuctionSymHedgeBandDD` FLOAT NOT NULL DEFAULT 0 COMMENT 'individual symbol hedge band ($delta) (if participating in closing auction)',
    `clsAuctionSymHedgeBandGR` FLOAT NOT NULL DEFAULT 0 COMMENT 'individual symbol hedge band (gamma ratio) (if participating in closing auction)',
    `clsSymHedgeBandDD` FLOAT NOT NULL DEFAULT 0 COMMENT 'individual symbol hedge band ($delta) (if using an EOD algo)',
    `clsSymHedgeBandGR` FLOAT NOT NULL DEFAULT 0 COMMENT 'individual symbol hedge band (gamma ratio) (if using an EOD algo)',
    `clsBalanceSymbols` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'balance accnt level deltas from all symbols using this policy',
    `clsHedgeAlgo` ENUM('None','SR_SWEEP','BRKR_ALGO') NOT NULL DEFAULT 'None',
    `clsExecBrkrAlgo` VARCHAR(32) NOT NULL DEFAULT '' COMMENT 'display name of exec broker algo (should not have spaces)',
    `clsExecBrkrCode` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'required if BROKER_ALGO',
    `clsExecBkkrTags` TINYTEXT NOT NULL DEFAULT '' COMMENT 'key/value set of algo tags that get forwarded to exec broker on order',
    `modifiedBy` VARCHAR(24) NOT NULL DEFAULT '' COMMENT 'user who last modified this record',
    `modifiedIn` ENUM('None','Neptune','Pluto','V7_Stable','V7_Latest','Saturn','Venus','Mars','SysTest','V7_Current') NOT NULL DEFAULT 'None',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'timestamp of last modification',
    `HedgeWavesList` JSON NOT NULL DEFAULT JSON_ARRAY() CHECK(JSON_VALID(HedgeWavesList)),
    PRIMARY KEY USING HASH (`accnt`,`clientFirm`,`policy`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='';

SELECT TABLE EXAMPLE QUERY​

SELECT
    `accnt`,
    `clientFirm`,
    `policy`,
    `enabled`,
    `hedgeDeltaRule`,
    `binaryDays`,
    `balanceSymbols`,
    `hedgeAlgo`,
    `execBrkrAlgo`,
    `execBrkrCode`,
    `execBkkrTags`,
    `eodHedgeWindow`,
    `eodSymHedgeBandDD`,
    `eodSymHedgeBandGR`,
    `eodBalanceSymbols`,
    `eodHedgeAlgo`,
    `eodExecBrkrAlgo`,
    `eodExecBrkrCode`,
    `eodExecBkkrTags`,
    `clsHedgeWindow`,
    `clsAuctionSymHedgeBandDD`,
    `clsAuctionSymHedgeBandGR`,
    `clsSymHedgeBandDD`,
    `clsSymHedgeBandGR`,
    `clsBalanceSymbols`,
    `clsHedgeAlgo`,
    `clsExecBrkrAlgo`,
    `clsExecBrkrCode`,
    `clsExecBkkrTags`,
    `timestamp`,
    `HedgeWavesList`
FROM `SRControl`.`MsgPositionHedgePolicyConfig`
WHERE 
    /* Replace with a VARCHAR(16) */ 
    `accnt` = 'Example_accnt'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm'
  AND
    /* Replace with a ENUM('None','Default','A','B','C','D') */ 
    `policy` = 'None';

UPDATE TABLE EXAMPLE QUERY​

UPDATE `SRControl`.`MsgPositionHedgePolicyConfig` 
SET
    /* Replace with a ENUM('None','Yes','No') */ 
    `enabled` = 'None',
    /* Replace with a ENUM('None','IVol','IvS','TVol','TvS','Binary','IvS_25','IvS_50','IvS_75','TvAll','TvAllS') */ 
    `hedgeDeltaRule` = 'None',
    /* Replace with a FLOAT */ 
    `binaryDays` = 1.23,
    /* Replace with a ENUM('None','Yes','No') */ 
    `balanceSymbols` = 'None',
    /* Replace with a ENUM('None','SR_VWAP','SR_PASSIVE','BROKER_ALGO') */ 
    `hedgeAlgo` = 'None',
    /* Replace with a VARCHAR(32) */ 
    `execBrkrAlgo` = 'Example_execBrkrAlgo',
    /* Replace with a VARCHAR(16) */ 
    `execBrkrCode` = 'Example_execBrkrCode',
    /* Replace with a TINYTEXT */ 
    `execBkkrTags` = 'dummy tiny text',
    /* Replace with a ENUM('None','Sec_10','Sec_30','Sec_60','Min_1','Min_10','Min_30') */ 
    `eodHedgeWindow` = 'None',
    /* Replace with a FLOAT */ 
    `eodSymHedgeBandDD` = 1.23,
    /* Replace with a FLOAT */ 
    `eodSymHedgeBandGR` = 1.23,
    /* Replace with a ENUM('None','Yes','No') */ 
    `eodBalanceSymbols` = 'None',
    /* Replace with a ENUM('None','SR_VWAP','SR_PASSIVE','BROKER_ALGO') */ 
    `eodHedgeAlgo` = 'None',
    /* Replace with a VARCHAR(32) */ 
    `eodExecBrkrAlgo` = 'Example_eodExecBrkrAlgo',
    /* Replace with a VARCHAR(16) */ 
    `eodExecBrkrCode` = 'Example_eodExecBrkrCode',
    /* Replace with a TINYTEXT */ 
    `eodExecBkkrTags` = 'dummy tiny text',
    /* Replace with a ENUM('None','NoAction','CloseAuction','CloseAuctionOrAlgo') */ 
    `clsHedgeWindow` = 'None',
    /* Replace with a FLOAT */ 
    `clsAuctionSymHedgeBandDD` = 1.23,
    /* Replace with a FLOAT */ 
    `clsAuctionSymHedgeBandGR` = 1.23,
    /* Replace with a FLOAT */ 
    `clsSymHedgeBandDD` = 1.23,
    /* Replace with a FLOAT */ 
    `clsSymHedgeBandGR` = 1.23,
    /* Replace with a ENUM('None','Yes','No') */ 
    `clsBalanceSymbols` = 'None',
    /* Replace with a ENUM('None','SR_SWEEP','BRKR_ALGO') */ 
    `clsHedgeAlgo` = 'None',
    /* Replace with a VARCHAR(32) */ 
    `clsExecBrkrAlgo` = 'Example_clsExecBrkrAlgo',
    /* Replace with a VARCHAR(16) */ 
    `clsExecBrkrCode` = 'Example_clsExecBrkrCode',
    /* Replace with a TINYTEXT */ 
    `clsExecBkkrTags` = 'dummy tiny text',
    /* Replace with a DATETIME(6) */
    `timestamp` = '2022-01-01 12:34:56.000000',
    /* Replace with a JSON */
    `HedgeWavesList` = '{"key": "value"}'
WHERE
    /* Replace with a VARCHAR(16) */ 
    `accnt` = 'Example_accnt'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm'
  AND
    /* Replace with a ENUM('None','Default','A','B','C','D') */ 
    `policy` = 'None';

INSERT TABLE EXAMPLE QUERY​

INSERT INTO `SRControl`.`MsgPositionHedgePolicyConfig`(
    /* Replace with a VARCHAR(16) */ 
    `accnt`,
    /* Replace with a VARCHAR(16) */ 
    `clientFirm`,
    /* Replace with a ENUM('None','Default','A','B','C','D') */ 
    `policy`,
    /* Replace with a ENUM('None','Yes','No') */ 
    `enabled`,
    /* Replace with a ENUM('None','IVol','IvS','TVol','TvS','Binary','IvS_25','IvS_50','IvS_75','TvAll','TvAllS') */ 
    `hedgeDeltaRule`,
    /* Replace with a FLOAT */ 
    `binaryDays`,
    /* Replace with a ENUM('None','Yes','No') */ 
    `balanceSymbols`,
    /* Replace with a ENUM('None','SR_VWAP','SR_PASSIVE','BROKER_ALGO') */ 
    `hedgeAlgo`,
    /* Replace with a VARCHAR(32) */ 
    `execBrkrAlgo`,
    /* Replace with a VARCHAR(16) */ 
    `execBrkrCode`,
    /* Replace with a TINYTEXT */ 
    `execBkkrTags`,
    /* Replace with a ENUM('None','Sec_10','Sec_30','Sec_60','Min_1','Min_10','Min_30') */ 
    `eodHedgeWindow`,
    /* Replace with a FLOAT */ 
    `eodSymHedgeBandDD`,
    /* Replace with a FLOAT */ 
    `eodSymHedgeBandGR`,
    /* Replace with a ENUM('None','Yes','No') */ 
    `eodBalanceSymbols`,
    /* Replace with a ENUM('None','SR_VWAP','SR_PASSIVE','BROKER_ALGO') */ 
    `eodHedgeAlgo`,
    /* Replace with a VARCHAR(32) */ 
    `eodExecBrkrAlgo`,
    /* Replace with a VARCHAR(16) */ 
    `eodExecBrkrCode`,
    /* Replace with a TINYTEXT */ 
    `eodExecBkkrTags`,
    /* Replace with a ENUM('None','NoAction','CloseAuction','CloseAuctionOrAlgo') */ 
    `clsHedgeWindow`,
    /* Replace with a FLOAT */ 
    `clsAuctionSymHedgeBandDD`,
    /* Replace with a FLOAT */ 
    `clsAuctionSymHedgeBandGR`,
    /* Replace with a FLOAT */ 
    `clsSymHedgeBandDD`,
    /* Replace with a FLOAT */ 
    `clsSymHedgeBandGR`,
    /* Replace with a ENUM('None','Yes','No') */ 
    `clsBalanceSymbols`,
    /* Replace with a ENUM('None','SR_SWEEP','BRKR_ALGO') */ 
    `clsHedgeAlgo`,
    /* Replace with a VARCHAR(32) */ 
    `clsExecBrkrAlgo`,
    /* Replace with a VARCHAR(16) */ 
    `clsExecBrkrCode`,
    /* Replace with a TINYTEXT */ 
    `clsExecBkkrTags`,
    /* Replace with a DATETIME(6) */
    `timestamp`,
    /* Replace with a JSON */
    `HedgeWavesList`
) 
VALUES(
    'Example_accnt',
    'Example_clientFirm',
    'None',
    'None',
    'None',
    1.23,
    'None',
    'None',
    'Example_execBrkrAlgo',
    'Example_execBrkrCode',
    'dummy tiny text',
    'None',
    1.23,
    1.23,
    'None',
    'None',
    'Example_eodExecBrkrAlgo',
    'Example_eodExecBrkrCode',
    'dummy tiny text',
    'None',
    1.23,
    1.23,
    1.23,
    1.23,
    'None',
    'None',
    'Example_clsExecBrkrAlgo',
    'Example_clsExecBrkrCode',
    'dummy tiny text',
    '2022-01-01 12:34:56.000000',
    '{"key": "value"}'
);

DELETE TABLE EXAMPLE QUERY​

DELETE FROM `SRControl`.`MsgPositionHedgePolicyConfig` 
WHERE
    /* Replace with a VARCHAR(16) */ 
    `accnt` = 'Example_accnt'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm'
  AND
    /* Replace with a ENUM('None','Default','A','B','C','D') */ 
    `policy` = 'None';

Doc Columns Query​

SELECT * FROM SRControl.doccolumns WHERE TABLE_NAME='PositionHedgePolicyConfig' ORDER BY ordinal_position ASC;