FuturePositionRecordV5

V8 Message Definiton

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.

METADATA

Attribute	Value
Topic	4740-risk-v5
MLink Token	ClientRisk
Product	SRRisk
accessType	SELECT
MLink Endpoint	MLink-Order

Table Definition

Field	Type	Key	Default Value	Comment
fkey_at	enum - AssetType	PRI	'None'
fkey_ts	enum - TickerSrc	PRI	'None'
fkey_tk	VARCHAR(12)	PRI	''
fkey_yr	SMALLINT UNSIGNED	PRI	0
fkey_mn	TINYINT UNSIGNED	PRI	0
fkey_dy	TINYINT UNSIGNED	PRI	0
accnt	VARCHAR(16)	PRI	''
tradeDate	DATE	PRI	'1900-01-01'
riskSession	enum - RiskSession	PRI	'Regular'
clientFirm	VARCHAR(16)	PRI	''	SR assigned client firm
riskServerCode	VARCHAR(6)		''
aggGroup	VARCHAR(16)		''	SR assigned aggregation group
ticker_at	enum - AssetType		'None'	underlying ticker
ticker_ts	enum - TickerSrc		'None'	underlying ticker
ticker_tk	VARCHAR(12)		''	underlying ticker
underliersPerCn	INT		0	number of underlying units per futures contract
underlierType	enum - UnderlierType		'None'
tickValue	FLOAT		0	NLV value of a single tick change in display premium pointValue tickValue tickSize
pointValue	FLOAT		0	NLV value of a single point change in display premium pointValue tickValue tickSize
pointCurrency	enum - Currency		'None'
priceFormat	enum - PriceFormat		'None'	price display format code
futPrc	DOUBLE		0	current future price any market session persists if market closedhalted
futBid	DOUBLE		0	current future bid any market session zero if market closedhalted
futAsk	DOUBLE		0	current future ask any market session zero if market closedhalted
futMark	DOUBLE		0	current mark usually mid market freezes at SR CloseMarkTime
futMarkErrCodes	VARCHAR(255)		'None'
futMarkSource	enum - UMarkSource		'None'
futOpnMidMark	DOUBLE		0	start of day SR mark
futOpnClrMark	DOUBLE		0	start of day clearing mark usually exchange settlement mark
futOpnPosPrv	INT		0	startofday SR contract position rotated from prior day record
futOpnPosClr	INT		0	startofday CKR contract position supplied by clientclearing firm via clearing position load
futOpnPos	INT		0	start of period contract position effective can be from either CLR or SR
futOpnPosSrc	enum - PositionSource		'None'	start of period position source
cnBot	INT		0	number of contracts bot today
cnSld	INT		0	number of contracts sld today
cnBotTrd	INT		0	number of contracts bot today
cnSldTrd	INT		0	number of contracts sld today
cnBotHdg	INT		0	number of contracts bot today from open pos hedging spdrSourceHedgeTool
cnSldHdg	INT		0	number of contracts sld today from open pos hedging spdrSourceHedgeTool
cnBotTrh	INT		0	number of contracts bot today from open pos hedging spdrSourceTradeHedge
cnSldTrh	INT		0	number of contracts sld today from open pos hedging spdrSourceTradeHedge
cnBotOpn	INT		0	number of contracts bot today from open pos hedging spdrSourceOpenHedge
cnSldOpn	INT		0	number of contracts sld today from open pos hedging spdrSourceOpenHedge
cnOpened	INT		0	number of contracts opened today
cnClosed	INT		0	number of contracts closed today
futMnyBot	DOUBLE		0	sum of settle cash for all buy executions
futMnySld	DOUBLE		0	sum of settle cash for all sell executions
cnBot_POpn	INT		0	contracts botsld via hedge policy SOD pos hedges
cnSld_POpn	INT		0
cnBot_PTrd	INT		0	contracts botsld via hedge policy trade hedges
cnSld_PTrd	INT		0
dayPnl	FLOAT		0
opnPnlMidMark	FLOAT		0
opnPnlClrMark	FLOAT		0
beta	FLOAT		0	beta usually beta to SPX see AccountConfigbetaSource if applicable
betaSource	enum - BetaSource		'None'
days	SMALLINT		0	days to expiration
rate	FLOAT		0	global rate to expiration
years	FLOAT		0	years to expiration
rh	FLOAT		0	rho dPrc dRate only for STIR futures
ve	FLOAT		0	vega dPrc dVol only for VIX futures
ratePr	FLOAT		0	start of period global rate
yearsPr	FLOAT		0	start of period years to expiration
marginUDn	FLOAT		0	Aggregate RiskSlide uPrc dn
marginUUp	FLOAT		0	Aggregate RiskSlide uPrc up
numExecutions	INT		0	number of included SpdrParentExecution records
maxExecDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	maximum activity dttm of execution records included in this future risk record
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
fkey_tk	1
fkey_yr	2
fkey_mn	3
fkey_dy	4
fkey_at	5
fkey_ts	6
accnt	7
tradeDate	8
riskSession	9
clientFirm	10

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRRisk`.`MsgFuturePositionRecordV5`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */ 
    `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','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX') */ 
    `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 ENUM('Regular','PostClose') */
    `riskSession` = 'Regular'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

Doc Columns Query

SELECT * FROM SRRisk.doccolumns WHERE TABLE_NAME='FuturePositionRecordV5' ORDER BY ordinal_position ASC;