FutureRiskSummaryV5

V8 Message Definiton

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.

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
ticker_at	enum - AssetType		'None'	Ticker that this future is associated with
ticker_ts	enum - TickerSrc		'None'	Ticker that this future is associated with
ticker_tk	VARCHAR(12)		''	Ticker that this future is associated with
uPrc	DOUBLE		0	current live underlier price can be from risk server tool server or srse server
uMark	DOUBLE		0	current underlier price as of risk server record publish freezes at 4pm EST
uOpnMark	DOUBLE		0	startofday SR underlier mark rotated from prior day record
beta	FLOAT		0	beta usually beta to SPX see AccountConfigbetaSource
betaSource	enum - BetaSource		'None'
lnDDelta	DOUBLE		0	long net position delta value today SR marks
shDDelta	DOUBLE		0	short net position delta value today SR marks
futMktValueMid	DOUBLE		0	future position market value today SR mid marks
optMktValueMid	DOUBLE		0	option position market value SR mid marks sumopCurPosM oproptVolMark
optMktValueVol	DOUBLE		0	option position market value SR vol marks sumopCurPosM oproptMidMark
fcAbsCurPos	INT		0	abs number of future contracts position fillssumabsfprcnCurPos
fcAbsOpnClr	INT		0	abs number of start of period future contracts CLR viewsumabsfprcnOpnClr
fcAbsOpnPrv	INT		0	abs number of start of period future contracts SR viewsumabsfprcnOpnPrv
fcAbsOpnPos	INT		0	abs number of start of period future contracts effectivesumabsfprcnOpnPos
fcAbsOpnBrk	INT		0	abs number of future contract start of period breaks CLR PRVsumabsfprcnOpnClr fprcnOpnPrv
fcNetCurPos	INT		0	net future contract positionsumfprcnOpnClr fprcnBot fprcnSld
fcBot	INT		0	number of futures contracts bot todaysumfrrcnBot
fcSld	INT		0	number of futures contracts sld todaysumfrrcnSld
fcBotHdg	INT		0	number of contracts bot today from hedging spdrSourceHedgeTool
fcSldHdg	INT		0	number of contracts sld today from hedging spdrSourceHedgeTool
fcBotTrh	INT		0	number of contracts bot today from hedging spdrSourceTradeHedge
fcSldTrh	INT		0	number of contracts sld today from hedging spdrSourceTradeHedge
fcBotOpn	INT		0	number of contracts bot today from hedging spdrSourceOpenHedge
fcSldOpn	INT		0	number of contracts sld today from hedging spdrSourceOpenHedge
fcBotTrd	INT		0	number of contracts bot today from a trade hedging source AutoHedge or Trades loop
fcSldTrd	INT		0	number of contracts sld today from a trade hedging source AutoHedge or Trades loop
fcMnyBot	DOUBLE		0	futures money bot today
fcMnySld	DOUBLE		0	futures money sld today
maxFutDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	DateTime of most recent SpdrFuturenExecution if any
fcPnlMid	FLOAT		0	Futures Open Pnl SR marks sumfprcnOpnClr fprunitsPerCn fprfutMark fprfutOpnMidMark
fcPnlClr	FLOAT		0	Futures Open Pnl CLR marks sumfprcnOpnClr fprunitsPerCn fprfutMark fprfutOpnClrMark
fcPnlDay	FLOAT		0	Futures Day PnlsumfprdayPnl
opCnAbsCurPos	INT		0	abs number of option contracts position fillssumabsoprcnCurPos
opCnAbsOpnClr	INT		0	abs number of start of period option contracts CLR view sumabsoprcnOpnClr
opCnAbsOpnPrv	INT		0	abs number of start of period option contracts SR view sumabsoprcnOpnPrv
opCnAbsOpnPos	INT		0	abs number of start of period option contracts sumabsoprcnOpnPos
opCnAbsOpnBrk	INT		0	abs number of option contract start of period breaks CLR PRVsumabsoprcnOpnClr oprcnOpnPrv
opCnPosCall	INT		0	net number of call contractssumoprcnOpnClr oprcnBot oprcnSld if call
opCnPosPut	INT		0	net number of call contractssumoprcnOpnClr oprcnBot oprcnSld if put
opCnAbsPair	INT		0	abs number of option contracts with CP reversals removed sumabsoprcnOpnClr oprcnBot oprcnSld absoprcnNetPos
opCnAbsAtmEquiv	FLOAT		0	abs atm equivalent contracts sumabsoprcnOpnPos oprcnBot oprcnSld oprve opratmVega
opCnBot	INT		0	number of option contracts bot todaysumoprcnBot
opCnSld	INT		0	number of option contracts sld todaysumoprcnSld
opMnyBot	DOUBLE		0	option money bot
opMnySld	DOUBLE		0	option money sld
opPremBot	FLOAT		0	option premium bot todaysummax0 oproptVolMark oprloBound oprpointValue oprcnBot
opPremSld	FLOAT		0	option premium sld todaysummax0 oproptVolMark oprloBound oprpointValue oprcnSld
maxOptDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	DateTime of most recent SpdrOptionExecution if any
opPnlVol	DOUBLE		0	Option Open Pnl SR vol marks sumopropnPnlVolMark
opPnlMid	DOUBLE		0	Option Open Pnl SR mid marks sumopropnPnlMidMark
opPnlClr	DOUBLE		0	Option Open Pnl CLR marks sumopropnPnlClrMark
opPnlBrk	FLOAT		0	Option Mark Break catchup Pnl SR vol marks to CLR markssumoprcnOpnClr oprpointValue oproptVolMark oproptClrMark
opPnlDay	FLOAT		0	Option Day PnlsumoprdayPnl
opDnPnlDay	FLOAT		0	Option DN Day Pnl delta neutralsumoprdnDayPnl
opDayVega	FLOAT		0	option vega traded today
opDayWVega	FLOAT		0	option vol weighted vega traded today
opDayTVega	FLOAT		0	option time weighted vega traded today
opDayWtVega	FLOAT		0	option vol time weighted vega traded today
opDayTheta	FLOAT		0	Option Day Thetasumoprth oprcnBot oprcnSld oprpointValue
opDayDelta	FLOAT		0	Option Day Deltasumoprde oprcnBot oprcnSld oprunderliersPerCn
opTrdDelta	FLOAT		0	Option Trade Delta delta fixed at time of tradesumoprtrdDelta
opnDelta	FLOAT		0
opnDDelta	FLOAT		0	Aggregate Position Open Delta Open Positions Open Hedge Trades Only
contHedgePnl	FLOAT		0	Estimated continuous hedging pnl open positions only 1 minute intervals
contHedgePnl1	FLOAT		0	Estimated continuous hedging pnl open positions only 10 minute intervals
opEdgeOpened	FLOAT		0	Option Edge Opened new risksumopredgeOpened
opEdgeClosed	FLOAT		0	Option Edge Closed new risksumopredgeClosed
pnlDn	FLOAT		0	Option Pnl Attr delta neutral pnl sumvolPnl shClrM dUPrc oprdePr
pnlDe	FLOAT		0	Option Pnl Attr delta pnlsumshClrM dUPrc oprdePr
pnlSl	FLOAT		0	Option Pnl Attr slope pnlsumshClrM dUPrc oprvePr oprslPr
pnlGa	FLOAT		0	Option Pnl Attr gamma pnlsumshClrM 05 dUPrc dUPrc oprga oprgaPr2
pnlTh	FLOAT		0	Option Pnl Attr theta pnlsumshClrM dTime oprthPr
pnlVe	FLOAT		0	Option Pnl Attr vega pnlsumshClrM 100 dVol oprvePr
pnlVo	FLOAT		0	Option Pnl Attr volga pnlsumshClrM 05 100 100 dVol dVol oprvoPr
pnlVa	FLOAT		0	Option Pnl Attr vanna pnlsumshClrM 100 dVol dUPrc oprvaPr
pnlErr	FLOAT		0	Option Pnl Attr error unexplained pnlsumshClrM volPnl pnlDe pnlGa pnlTh pnlVe
pnlRate	FLOAT		0	Option Pnl Attr rate pnlsumshClrM 100 dRate oprrhPr
pnlSDiv	FLOAT		0	Option Pnl Attr sdiv pnlsumshClrM 100 dSDiv oprphPr
pnlDDiv	FLOAT		0	Option Pnl Attr ddiv pnlsumshClrM 100 oprddiv oprddivPr opruPrc oprphPr
pnlTe	FLOAT		0	Option Pnl Attr theo edge pnlsumshClrM oprtOpx oproptVolMark oprtOpxPr oproptOpnVolMark
pctIvChange	FLOAT		0	Option Avg IVol Change NumeratorsumabsshClrM oprve logopriVolopriVolPr
pctIvVega	FLOAT		0	Option Avg IVol Change DenominatorsumabsshClrM oprve
pctTvChange	FLOAT		0	Option Avg TVol Change NumeratorsumabsshClrM oprve logoprtVoloprtVolPr
pctTvVega	FLOAT		0	Option Avg TVol Change DenominatorsumabsshClrM oprve
futWidthMny	FLOAT		0	Future Market Width Valuesum05 absfcCurPosM fprfutAsk fprfutBid
optWidthMny	FLOAT		0	Option Market Width Valuesum05 absshCurPosM oproptAsk oproptBid
dayDDelta	FLOAT		0	Day Delta bot or sldall sources today
delta	FLOAT		0	Aggregate Position DeltasumshCurPos sumfcCurPosM sumshCurPosM oprde sumotherdelta
ddelta	FLOAT		0	Aggregate Position Delta Delta DDMult
deDecay	FLOAT		0	Aggregate Position DeltaDecaysumshCurPosM oprdeDecay sumotherdeDecay
ddDecay	FLOAT		0	Aggregate Position DeltaDecay DeltaDecay DDMult change in delta when one trading day 102520 is taken out of option pricing
gamma	FLOAT		0	Aggregate Position GammasumshCurPosM oprga sumothergamma
dGamma	FLOAT		0	Aggregate Position Gamma
theta	FLOAT		0	Aggregate Position ThetasumshCurPosM oprth sumothertheta
rho	FLOAT		0	Aggregate Position RhosumshCurPosM oprrh sumotherrho
vega	FLOAT		0	Aggregate Position VegasumshCurPosM oprve sumothervega
tVega	FLOAT		0	Aggregate Position Time Weight VegasumshCurPosM oprve sqrtmax01 opryears 4
wVega	FLOAT		0	Aggregate Position Vol Weighted VegasumshCurPosM opriVol oprve
wtVega	FLOAT		0	Aggregate Position Vol Time Weighted VegasumshCurPosM opriVol oprve sqrtmax01 opryears 4
ivolVe	FLOAT		0	Aggregate Position Avg Vol Numerator vega weighted avg ivolVe avegasumabsshCurPosM opriVol oprve
volga	FLOAT		0	Aggregate Position VolgasumshCurPosM oprvo sumothervolga
vanna	FLOAT		0	Aggregate Position VannasumshCurPosM oprva sumothervanna
slope	FLOAT		0	Aggregate Position VegaDelta uPrcVol correlation factorsumshCurPosM oprsl oprve sumotherslope
avega	FLOAT		0	Aggregate Postion Abs VegasumabsshCurPosM oprve
atheta	FLOAT		0	Aggregate Postion Abs Theta sumabsshCurPosM oprth
hedgeGamma	FLOAT		0	Aggregate Postion Hedge Gamma either iVol or tVol basedcan go binarysumshCurPos oprhedgeGa
hedgeDGamma	FLOAT		0	Aggregate Postion Hedge Gamma
premOvPar	FLOAT		0	Aggregate Position Premium Over ParitysumshCurPosM max0 oproptVolMark oprloBound
wtVeDd	FLOAT		0	Aggregate Dd Time Weighted VegasumwtVega if oprxde 030
wtVeDn	FLOAT		0	Aggregate Dn Time Weighted VegasumwtVega if 030 oprxde 010
wtVeAt	FLOAT		0	Aggregate At Time Weighted VegasumwtVega if absoprxde 010
wtVeUp	FLOAT		0	Aggregate Up Time Weighted VegasumwtVega if 010 oprxde 030
wtVeDu	FLOAT		0	Aggregate Du Time Weighted VegasumwtVega if 030 oprxde
wtVeM1	FLOAT		0	Aggregate M1 Time Weighted Vega sumwtVega if days 10
wtVeM2	FLOAT		0	Aggregate M2 Time Weighted Vega sumwtVega if 10 days 25
wtVeM3	FLOAT		0	Aggregate M3 Time Weighted Vega sumwtVega if 25 days 65
wtVeM4	FLOAT		0	Aggregate M4 Time Weighted Vega sumwtVega if 65 days 130
wtVeM5	FLOAT		0	Aggregate M5 Time Weighted Vega sumwtVega if 130 days
pinXX	FLOAT		0	Pin Strike nearest to current uPrc zero none only exists near expirations
opnDeBelow	FLOAT		0	Aggregate Position Open Delta Open Positions Open Hedge Trades Only if liveUPrc pinXX
opnDeAbove	FLOAT		0	Aggregate Position Open Delta Open Positions Open Hedge Trades Only if liveUPrc pinXX
opnDDeBelow	FLOAT		0	Aggregate Position Open Delta Open Positions Open Hedge Trades Only if liveUPrc pinXX
opnDDeAbove	FLOAT		0	Aggregate Position Open Delta Open Positions Open Hedge Trades Only if liveUPrc pinXX
posDeBelow	FLOAT		0	Aggregate Position Hedge Delta Current Position if liveUPrc pinXX
posDeAbove	FLOAT		0	Aggregate Position Hedge Delta Current Position if liveUPrc pinXX
posDDeBelow	FLOAT		0	Aggregate Position Hedge Delta Current Position if liveUPrc pinXX
posDDeAbove	FLOAT		0	Aggregate Position Hedge Delta Current Position if liveUPrc pinXX
posHedgeDeltaEx	FLOAT		0	Aggregate Position Hedge Delta Current Position if exDate today
posHedgeDDeltaEx	FLOAT		0	Aggregate Position Hedge Delta Current Position if exDate today
tEdge	FLOAT		0	Aggregate Theo EdgesumshNetPosM oprtOpx oproptVolMark if oprtVol 001 and oprtOpx 00 and oproptVolMark 00
tEdgeMult	FLOAT		0	Aggregate Abs Net Contracts RevConv contracts removed sumabsshNetPosM
tEdgePr	FLOAT		0	Prior Day Theo Edge
tEdgeMultPr	FLOAT		0	Prior Day Aggregate Abs Net Contracts
numTVolErrors	SMALLINT		0	number of oprtErr 0 or oprtVol 001
pairPnl	FLOAT		0	Aggregate Dn Pair PnlsumshNetClrM oproptVolMark oproptOpnVolMark oprhedgeDePr opruMark opruOpnMark
posTEdgeWV	FLOAT		0	Aggregate Vol Weighted Vega wvega where oprtOpx 0 and oprtOpx oproptVolMark 0
negTEdgeWV	FLOAT		0	Aggregate Vol Weighted Vega wvega where oprtOpx 0 and oprtOpx oproptVolMark 0
badTEdgeWV	FLOAT		0	Aggregate Vol Weighted Vega wvega where oprtOpx 0
posTEdgePnl	FLOAT		0	Aggregate Dn Pair Pnl where oprtOpxPr 0 and oprtOpxPr oprpriorOpxVolMark 0
negTEdgePnl	FLOAT		0	Aggregate Dn Pair Pnl where oprtOpxPr 0 and oprtOpxPr oprpriorOpxVolMark 0
badTEdgePnl	FLOAT		0	Aggregate Dn Pair Pnl where oprtOpxPr 0
span01	FLOAT		0	span1 uPrcunch volup
span02	FLOAT		0	span2 uPrcunch voldown
span03	FLOAT		0	span3 uPrc3333 volup
span04	FLOAT		0	span4 uPrc3333 voldn
span05	FLOAT		0	span5 uPrc3333 volup
span06	FLOAT		0	span6 uPrc3333 voldown
span07	FLOAT		0	span7 uPrc6667 volup
span08	FLOAT		0	span8 uPrc6667 voldown
span09	FLOAT		0	span9 uPrc6667 volup
span10	FLOAT		0	span10 uPrc6667 voldown
span11	FLOAT		0	span11 uPrc100 volup
span12	FLOAT		0	span12 uPrc100 voldown
span13	FLOAT		0	span13 uPrc100 volup
span14	FLOAT		0	span14 uPrc100 voldown
span15	FLOAT		0	span15 uPrc300 price slide 033
span16	FLOAT		0	span16 uPrc300 price slide 033
VaRsu90	FLOAT		0	Aggregate RiskSlide uPrc up 90 vol unchanged newUPrc uPrc MathExp090
VaRsd90	FLOAT		0	Aggregate RiskSlide uPrc dn 90 vol unchanged newUPrc uPrc MathExp090
VaRsu50	FLOAT		0	Aggregate RiskSlide uPrc up 50 vol unchanged newUPrc uPrc MathExp050
VaRsd50	FLOAT		0	Aggregate RiskSlide uPrc dn 50 vol unchanged newUPrc uPrc MathExp050
VaRsu15	FLOAT		0	Aggregate RiskSlide uPrc up 15 vol unchanged newUPrc uPrc MathExp015
VaRsd15	FLOAT		0	Aggregate RiskSlide uPrc dn 15 vol unchanged newUPrc uPrc MathExp015
VaRsu10	FLOAT		0	Aggregate RiskSlide uPrc up 10 vol unchanged newUPrc uPrc MathExp010
VaRsd10	FLOAT		0	Aggregate RiskSlide uPrc dn 10 vol unchanged newUPrc uPrc MathExp010
VaRsu06	FLOAT		0	Aggregate RiskSlide uPrc up 6 vol unchanged newUPrc uPrc MathExp006
VaRsd08	FLOAT		0	Aggregate RiskSlide uPrc dn 8 vol unchanged newUPrc uPrc MathExp008
VaRsu05	FLOAT		0	Aggregate RiskSlide uPrc up 5 vol unchanged newUPrc uPrc MathExp005
VaRsd05	FLOAT		0	Aggregate RiskSlide uPrc dn 5 vol unchanged newUPrc uPrc MathExp005
VaRsu1e	FLOAT		0	Aggregate RiskSlide uPrc up 1x implied earn move vol ramp out
VaRsd1e	FLOAT		0	Aggregate RiskSlide uPrc dn 1x implied earn move vol ramp out
VaRsu2e	FLOAT		0	Aggregate RiskSlide uPrc up 2x implied earn move vol ramp out
VaRsd2e	FLOAT		0	Aggregate RiskSlide uPrc dn 2x implied earn move vol ramp out
VaRearn	FLOAT		0	Aggregate RiskSlide vol earn ramp out no uPrc move
VaRcash	FLOAT		0	Aggregate RiskSlide uPrc up 30 vol 001 6mn deal close delta neutral
futLiqRisk	FLOAT		0	Aggregate Future Liquidation Risk
optLiqRisk	FLOAT		0	Aggregate Option Liquidation Risk
fcBotC0	INT		0	hypothetical future contracts bot 1 minute intervals
fcSldC0	INT		0	hypothetical future contracts sld
fcMnyC0	FLOAT		0	hypothetical money
fcBotC1	INT		0	hypothetical future contracts bot 10 minute intervals
fcSldC1	INT		0	hypothetical future contracts sld
fcMnyC1	FLOAT		0	hypothetical money
futMargin	FLOAT		0	Aggregate Future Risk Margin
marginUDnVDn	FLOAT		0	Aggregate RiskSlide uPrc dn vol dn
marginUDnVUp	FLOAT		0	Aggregate RiskSlide uPrc dn vol up
marginUUpVDn	FLOAT		0	Aggregate RiskSlide uPrc up vol dn
marginUUpVUp	FLOAT		0	Aggregate RiskSlide uPrc up vol up
numFutErrors	TINYINT UNSIGNED		0	number of futures positions with a computation error should be zero
numOptErrors	TINYINT UNSIGNED		0	number of options positions with a computation error should be zero
updateSource	enum - R5Source		'None'
futMarkFlag	VARCHAR(255)		'None'	Future position error flag
optMarkFlag	VARCHAR(255)		'None'	Option position error flag
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`.`MsgFutureRiskSummaryV5`
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='FutureRiskSummaryV5' ORDER BY ordinal_position ASC;