Version: Upcoming

AccountRiskRecordV5

AccountRiskRecords contain account level position and risk summary detail. These records are published by AggRiskServers throughout the day approximately once per minute.

METADATA

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

Table Definition

Field	Type	Key	Default Value	Comment
accnt	VARCHAR(16)	PRI	''	SR account acronym
currency	enum - Currency	PRI	'None'	point currency of all associated positions and pnl values
tradeDate	DATE	PRI	'1900-01-01'
riskSession	enum - RiskSession	PRI	'Regular'
clientFirm	VARCHAR(16)	PRI	''	SR assigned client firm acronym
lnDDelta	DOUBLE		0	long net position delta value underlier options today SR marks
shDDelta	DOUBLE		0	short net position delta value underlier options today SR marks
lnStkMktValue	DOUBLE		0	long stock market value today SR marks
shStkMktValue	DOUBLE		0	short stock market value today SR marks
futMktValue	DOUBLE		0	future market value today SR marks
stkOptMktValue	DOUBLE		0	stock option market value today SR vol marks
futOptMktValue	DOUBLE		0	future option market value today SR vol marks
vegaLong	FLOAT		0	sum of long vega symbol positionssumsrsvega if srsvega 0
vegaShort	FLOAT		0	sum of short vega symbol positions sumsrsvega if srsvega 0
wVegaLong	FLOAT		0	sum of long weighted vega symbol positionssumsrswVega if srswVega 0
wVegaShort	FLOAT		0	sum of short weighted vega symbol positions sumsrswVega if srswVega 0
wtVegaLong	FLOAT		0	sum of long time weighted weighted vega symbol positionssumsrswtVega if srswtVega 0
wtVegaShort	FLOAT		0	sum of short time weighted vega symbol positions sumsrswtVega if srswtVega 0
thetaLong	FLOAT		0	sum of long vega symbol positionssumsrstheta if srstheta 0
thetaShort	FLOAT		0	sum of short vega symbol positions sumsrstheta if srstheta 0
rhoLong	FLOAT		0	sum of long rho symbol positionssumsrsrho if srsrho 0
rhoShort	FLOAT		0	sum of short rho symbol positions sumsrsrho if srsrho 0
ivolLn	FLOAT		0
ivolSh	FLOAT		0
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 VegasumwtVega if days 10
wtVeM2	FLOAT		0	Aggregate M2 Time Weighted VegasumwtVega if 10 days 25
wtVeM3	FLOAT		0	Aggregate M3 Time Weighted VegasumwtVega if 25 days 65
wtVeM4	FLOAT		0	Aggregate M4 Time Weighted VegasumwtVega if 65 days 130
wtVeM5	FLOAT		0	Aggregate M5 Time Weighted VegasumwtVega if 130 days
ddelta	FLOAT		0	net deltasumsrsddelta
numSymbols	INT		0	count of srs records being aggregated
absCurSh	INT		0	absolute number of account shares CLR tradessumsrsopShAbsCur
absCurFc	INT		0	absolute number of account future contracts CLR tradessumsrsopFcAbsCur
absCurCn	INT		0	absolute number of account option contracts CLR tradessumsrsopCnAbsCur
premOvPar	FLOAT		0	aggregate premium over parity for the option positionsumsrspremOvPar
optExAsPnl	DOUBLE		0
dividendPnl	DOUBLE		0
corpActCashPnL	DOUBLE		0
stkOpnPnlMid	DOUBLE		0
stkOpnPnlClr	DOUBLE		0
futOpnPnlMid	DOUBLE		0
futOpnPnlClr	DOUBLE		0
stkOptOpnPnlVol	DOUBLE		0
stkOptOpnPnlMid	DOUBLE		0
stkOptOpnPnlClr	DOUBLE		0
futOptOpnPnlVol	DOUBLE		0
futOptOpnPnlMid	DOUBLE		0
futOptOpnPnlClr	DOUBLE		0
stkDayPnl	DOUBLE		0	stock day pnlsumsrsstPnlDay
futDayPnl	DOUBLE		0	futures day pnlsumsrsfcPnlDay
stkOptDayPnl	DOUBLE		0	stock option day pnl sumsrsopPnlDay
futOptDayPnl	DOUBLE		0	future option day pnl sumsrsopPnlDay
stktDaySh	INT		0	stock day shares bot sld
stkDayMny	DOUBLE		0	stock day mny sld bot
futDayCn	INT		0	future day contracts bot sld
futDayMny	DOUBLE		0	future day mny sld bot
stkOptDayCn	INT		0	stock option day contracts bot sld
stkOptDayMny	DOUBLE		0	stock option day mny sld bot
futOptDayCn	INT		0	future option day contracts bot sld
futOptDayMny	DOUBLE		0	future option day mny sld bot
dayDDelta	FLOAT		0	day delta sumsrsdayDelta
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 theta traded today
opEdgeOpened	FLOAT		0	option theo edge opened today
opEdgeClosed	FLOAT		0	option theo edge closed today
pnlDn	FLOAT		0	option delta neutral pnlsumsrspnlDn
pnlDe	FLOAT		0	option delta pnlsumsrspnlDe
pnlSl	FLOAT		0	option vegadelta pnlsumsrspnlSl
pnlGa	FLOAT		0	option gamma pnlsumsrspnlGa
pnlTh	FLOAT		0	option theta pnlsumsrspnlTh
pnlVe	FLOAT		0	option vega pnlsumsrspnlVe
pnlVo	FLOAT		0	option volga pnlsumsrspnlVo
pnlVa	FLOAT		0	option vanna pnlsumsrspnlVa
pnlDDiv	FLOAT		0	option DDiv pnlsumsrspnlDDiv
pnlSDiv	FLOAT		0	option SDiv pnlsumsrspnlSDiv
pnlRate	FLOAT		0	option Rate pnlsumsrspnlRate
pnlErr	FLOAT		0	option unexplained error pnlsumsrspnlErr
pnlTe	FLOAT		0	option theo edge pnlsumsrspnlTe
pnlLn	FLOAT		0	option pnl from symbol positions with vega
pnlSh	FLOAT		0	option pnl from symbol positions with vega
tEdge	FLOAT		0	aggregate option theo edgesumsrstEdge
tEdgeMult	FLOAT		0	denominator for computing edge per unitsumsrstEdgeMult
posTEdgePnl	FLOAT		0	aggregate pnl positive edge symbolssumsrsposTEdgePnl
negTEdgePnl	FLOAT		0	aggregate pnl negative edge symbolssumsrsnegTEdgePnl
badTEdgePnl	FLOAT		0	aggregate pnl no theo edge symbolssumsrsbadTEdgePnl
VaRsu90	FLOAT		0	Aggregate RiskSlide uPrc up 90 vol unchanged newUPrc uPrc exp090
VaRsd90	FLOAT		0	Aggregate RiskSlide uPrc dn 90 vol unchanged newUPrc uPrc exp090
VaRsu50	FLOAT		0	Aggregate RiskSlide uPrc up 50 vol unchanged newUPrc uPrc exp050
VaRsd50	FLOAT		0	Aggregate RiskSlide uPrc dn 50 vol unchanged newUPrc uPrc exp050
VaRsu15	FLOAT		0	Aggregate RiskSlide uPrc up 15 vol unchanged newUPrc uPrc exp015
VaRsd15	FLOAT		0	Aggregate RiskSlide uPrc dn 15 vol unchanged newUPrc uPrc exp015
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
VaRsu05	FLOAT		0	Aggregate RiskSlide uPrc up 5 vol unchanged newUPrc uPrc exp005
VaRsd05	FLOAT		0	Aggregate RiskSlide uPrc dn 5 vol unchanged newUPrc uPrc exp005
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
hcCnt	FLOAT		0	count of haircut 00 symbols
haircut25	FLOAT		0	haircut 25 minimumcn act basis
haircut37	FLOAT		0	haircut 37 minimumcn act basis
optCnMinimum	FLOAT		0	option contract margin minimum 3750 for equitiesSPAN minimum for options on futures
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
worst3Risk	FLOAT		0	sum of 3 worst 50 slide loss symbols
worstSym1_at	enum - AssetType		'None'	symbol with the largest 50 slide loss
worstSym1_ts	enum - TickerSrc		'None'	symbol with the largest 50 slide loss
worstSym1_tk	VARCHAR(12)		''	symbol with the largest 50 slide loss
worstSym2_at	enum - AssetType		'None'	symbol with the second largest 50 slide loss
worstSym2_ts	enum - TickerSrc		'None'	symbol with the second largest 50 slide loss
worstSym2_tk	VARCHAR(12)		''	symbol with the second largest 50 slide loss
worstSym3_at	enum - AssetType		'None'	symbol with the third largest 50 slide loss
worstSym3_ts	enum - TickerSrc		'None'	symbol with the third largest 50 slide loss
worstSym3_tk	VARCHAR(12)		''	symbol with the third largest 50 slide loss
stkLiqRisk	FLOAT		0	estimated cost of neutralizingliquidating all stock positions half market width position size
futLiqRisk	FLOAT		0	estimated cost of neutralizingliquidating all future positions half market width position size
optLiqRisk	FLOAT		0	estimated cost of neutralizingliquidating all option positions half market width position size
srRiskMargin	FLOAT		0	SR assessed risk margin MAXhaircut37 worst3Risk optCnMinimum
lastActivity	DATETIME(6)		'1900-01-01 00:00:00.000000'
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
accnt	1
currency	2
tradeDate	3
riskSession	4
clientFirm	5

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRRisk`.`MsgAccountRiskRecordV5` (
    `accnt` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'SR account acronym',
    `currency` ENUM('None','AUD','BRL','CAD','CHF','CNH','CNY','EUR','GBP','JPY','KRW','MXN','MYR','NOK','NZD','SEK','TRY','USD','USDCents','CZK','ZAR','HUF','USX','GBX') NOT NULL DEFAULT 'None' COMMENT 'point currency of all associated positions and pnl values',
    `tradeDate` DATE NOT NULL DEFAULT '1900-01-01',
    `riskSession` ENUM('Regular','PostClose') NOT NULL DEFAULT 'Regular',
    `clientFirm` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'SR assigned client firm acronym',
    `lnDDelta` DOUBLE NOT NULL DEFAULT 0 COMMENT 'long net position $delta value (underlier + options) (today; SR marks)',
    `shDDelta` DOUBLE NOT NULL DEFAULT 0 COMMENT 'short net position $delta value (underlier + options) (today; SR marks)',
    `lnStkMktValue` DOUBLE NOT NULL DEFAULT 0 COMMENT 'long stock market value (today; SR marks)',
    `shStkMktValue` DOUBLE NOT NULL DEFAULT 0 COMMENT 'short stock market value (today; SR marks)',
    `futMktValue` DOUBLE NOT NULL DEFAULT 0 COMMENT 'future market value (today; SR marks)',
    `stkOptMktValue` DOUBLE NOT NULL DEFAULT 0 COMMENT 'stock option market value (today; SR vol marks)',
    `futOptMktValue` DOUBLE NOT NULL DEFAULT 0 COMMENT 'future option market value (today; SR vol marks)',
    `vegaLong` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of long vega symbol positions;=sum(+srs.vega) if srs.vega > 0',
    `vegaShort` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of short vega symbol positions;= sum(-srs.vega) if srs.vega < 0',
    `wVegaLong` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of long weighted vega symbol positions;=sum(+srs.wVega) if srs.wVega > 0',
    `wVegaShort` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of short weighted vega symbol positions;= sum(-srs.wVega) if srs.wVega < 0',
    `wtVegaLong` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of long time weighted weighted vega symbol positions;=sum(+srs.wtVega) if srs.wtVega > 0',
    `wtVegaShort` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of short time weighted vega symbol positions;= sum(-srs.wtVega) if srs.wtVega < 0',
    `thetaLong` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of long vega symbol positions;=sum(+srs.theta) if srs.theta > 0',
    `thetaShort` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of short vega symbol positions;= sum(-srs.theta) if srs.theta < 0',
    `rhoLong` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of long rho symbol positions;=sum(+srs.rho) if srs.rho > 0',
    `rhoShort` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of short rho symbol positions;= sum(-srs.rho) if srs.rho < 0',
    `ivolLn` FLOAT NOT NULL DEFAULT 0,
    `ivolSh` FLOAT NOT NULL DEFAULT 0,
    `wtVeDd` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate Dd Time Weighted Vega;=sum[wtVega] if opr.xde < -0.30',
    `wtVeDn` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate Dn Time Weighted Vega;=sum[wtVega] if -0.30 <= opr.xde < -0.10',
    `wtVeAt` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate At Time Weighted Vega;=sum[wtVega] if abs(opr.xde) <= 0.10',
    `wtVeUp` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate Up Time Weighted Vega;=sum[wtVega] if +0.10 < opr.xde <= +0.30',
    `wtVeDu` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate Du Time Weighted Vega;=sum[wtVega] if +0.30 < opr.xde',
    `wtVeM1` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate M1 Time Weighted Vega;=sum[wtVega] if days < 10',
    `wtVeM2` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate M2 Time Weighted Vega;=sum[wtVega] if 10 < days < 25',
    `wtVeM3` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate M3 Time Weighted Vega;=sum[wtVega] if 25 < days < 65',
    `wtVeM4` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate M4 Time Weighted Vega;=sum[wtVega] if 65 < days < 130',
    `wtVeM5` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate M5 Time Weighted Vega;=sum[wtVega] if 130 < days',
    `ddelta` FLOAT NOT NULL DEFAULT 0 COMMENT 'net $delta;=sum(srs.ddelta)',
    `numSymbols` INT NOT NULL DEFAULT 0 COMMENT 'count of srs records being aggregated',
    `absCurSh` INT NOT NULL DEFAULT 0 COMMENT 'absolute number of account shares (CLR + trades);=sum(srs.opShAbsCur)',
    `absCurFc` INT NOT NULL DEFAULT 0 COMMENT 'absolute number of account future contracts (CLR + trades);=sum(srs.opFcAbsCur)',
    `absCurCn` INT NOT NULL DEFAULT 0 COMMENT 'absolute number of account option contracts (CLR + trades);=sum(srs.opCnAbsCur)',
    `premOvPar` FLOAT NOT NULL DEFAULT 0 COMMENT 'aggregate premium over parity for the option position;=sum(srs.premOvPar)',
    `optExAsPnl` DOUBLE NOT NULL DEFAULT 0,
    `dividendPnl` DOUBLE NOT NULL DEFAULT 0,
    `corpActCashPnL` DOUBLE NOT NULL DEFAULT 0,
    `stkOpnPnlMid` DOUBLE NOT NULL DEFAULT 0,
    `stkOpnPnlClr` DOUBLE NOT NULL DEFAULT 0,
    `futOpnPnlMid` DOUBLE NOT NULL DEFAULT 0,
    `futOpnPnlClr` DOUBLE NOT NULL DEFAULT 0,
    `stkOptOpnPnlVol` DOUBLE NOT NULL DEFAULT 0,
    `stkOptOpnPnlMid` DOUBLE NOT NULL DEFAULT 0,
    `stkOptOpnPnlClr` DOUBLE NOT NULL DEFAULT 0,
    `futOptOpnPnlVol` DOUBLE NOT NULL DEFAULT 0,
    `futOptOpnPnlMid` DOUBLE NOT NULL DEFAULT 0,
    `futOptOpnPnlClr` DOUBLE NOT NULL DEFAULT 0,
    `stkDayPnl` DOUBLE NOT NULL DEFAULT 0 COMMENT 'stock day pnl;=sum(srs.stPnlDay)',
    `futDayPnl` DOUBLE NOT NULL DEFAULT 0 COMMENT 'futures day pnl;=sum(srs.fcPnlDay)',
    `stkOptDayPnl` DOUBLE NOT NULL DEFAULT 0 COMMENT 'stock option day pnl;= sum(srs.opPnlDay)',
    `futOptDayPnl` DOUBLE NOT NULL DEFAULT 0 COMMENT 'future option day pnl;= sum(srs.opPnlDay)',
    `stktDaySh` INT NOT NULL DEFAULT 0 COMMENT 'stock day shares (bot + sld);',
    `stkDayMny` DOUBLE NOT NULL DEFAULT 0 COMMENT 'stock day mny (sld - bot)',
    `futDayCn` INT NOT NULL DEFAULT 0 COMMENT 'future day contracts (bot + sld);',
    `futDayMny` DOUBLE NOT NULL DEFAULT 0 COMMENT 'future day mny (sld - bot)',
    `stkOptDayCn` INT NOT NULL DEFAULT 0 COMMENT 'stock option day contracts (bot + sld);',
    `stkOptDayMny` DOUBLE NOT NULL DEFAULT 0 COMMENT 'stock option day mny (sld - bot)',
    `futOptDayCn` INT NOT NULL DEFAULT 0 COMMENT 'future option day contracts (bot + sld);',
    `futOptDayMny` DOUBLE NOT NULL DEFAULT 0 COMMENT 'future option day mny (sld - bot)',
    `dayDDelta` FLOAT NOT NULL DEFAULT 0 COMMENT 'day $delta;= sum(srs.dayDelta)',
    `opDayVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'option vega traded today',
    `opDayWVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'option (vol weighted) vega traded today',
    `opDayTVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'option (time weighted) vega traded today',
    `opDayWtVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'option (vol time weighted) vega traded today',
    `opDayTheta` FLOAT NOT NULL DEFAULT 0 COMMENT 'option theta traded today',
    `opEdgeOpened` FLOAT NOT NULL DEFAULT 0 COMMENT 'option theo edge opened today',
    `opEdgeClosed` FLOAT NOT NULL DEFAULT 0 COMMENT 'option theo edge closed today',
    `pnlDn` FLOAT NOT NULL DEFAULT 0 COMMENT 'option delta neutral pnl;=sum(srs.pnlDn)',
    `pnlDe` FLOAT NOT NULL DEFAULT 0 COMMENT 'option delta pnl;=sum(srs.pnlDe)',
    `pnlSl` FLOAT NOT NULL DEFAULT 0 COMMENT 'option vega/delta pnl;=sum(srs.pnlSl)',
    `pnlGa` FLOAT NOT NULL DEFAULT 0 COMMENT 'option gamma pnl;=sum(srs.pnlGa)',
    `pnlTh` FLOAT NOT NULL DEFAULT 0 COMMENT 'option theta pnl;=sum(srs.pnlTh)',
    `pnlVe` FLOAT NOT NULL DEFAULT 0 COMMENT 'option vega pnl;=sum(srs.pnlVe)',
    `pnlVo` FLOAT NOT NULL DEFAULT 0 COMMENT 'option volga pnl;=sum(srs.pnlVo)',
    `pnlVa` FLOAT NOT NULL DEFAULT 0 COMMENT 'option vanna pnl;=sum(srs.pnlVa)',
    `pnlDDiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'option DDiv pnl;=sum(srs.pnlDDiv)',
    `pnlSDiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'option SDiv pnl;=sum(srs.pnlSDiv)',
    `pnlRate` FLOAT NOT NULL DEFAULT 0 COMMENT 'option Rate pnl;=sum(srs.pnlRate)',
    `pnlErr` FLOAT NOT NULL DEFAULT 0 COMMENT 'option unexplained (error) pnl;=sum(srs.pnlErr)',
    `pnlTe` FLOAT NOT NULL DEFAULT 0 COMMENT 'option theo edge pnl;=sum(srs.pnlTe)',
    `pnlLn` FLOAT NOT NULL DEFAULT 0 COMMENT 'option pnl from symbol positions with +vega',
    `pnlSh` FLOAT NOT NULL DEFAULT 0 COMMENT 'option pnl from symbol positions with -vega',
    `tEdge` FLOAT NOT NULL DEFAULT 0 COMMENT 'aggregate option theo edge;=sum(srs.tEdge)',
    `tEdgeMult` FLOAT NOT NULL DEFAULT 0 COMMENT 'denominator for computing edge per unit;=sum(srs.tEdgeMult)',
    `posTEdgePnl` FLOAT NOT NULL DEFAULT 0 COMMENT 'aggregate pnl (positive edge symbols);=sum(srs.posTEdgePnl)',
    `negTEdgePnl` FLOAT NOT NULL DEFAULT 0 COMMENT 'aggregate pnl (negative edge symbols);=sum(srs.negTEdgePnl)',
    `badTEdgePnl` FLOAT NOT NULL DEFAULT 0 COMMENT 'aggregate pnl (no theo edge symbols);=sum(srs.badTEdgePnl)',
    `VaRsu90` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc up 90%, vol unchanged (newUPrc = uPrc * exp(+0.90))',
    `VaRsd90` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc dn 90%, vol unchanged (newUPrc = uPrc * exp(-0.90))',
    `VaRsu50` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc up 50%, vol unchanged (newUPrc = uPrc * exp(+0.50))',
    `VaRsd50` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc dn 50%, vol unchanged (newUPrc = uPrc * exp(-0.50))',
    `VaRsu15` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc up 15%, vol unchanged (newUPrc = uPrc * exp(+0.15))',
    `VaRsd15` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc dn 15%, vol unchanged (newUPrc = uPrc * exp(-0.15))',
    `VaRsu10` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc up 10%, vol unchanged (newUPrc = uPrc * Math.Exp(+0.10))',
    `VaRsd10` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc dn 10%, vol unchanged (newUPrc = uPrc * Math.Exp(-0.10))',
    `VaRsu05` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc up 5%, vol unchanged (newUPrc = uPrc * exp(+0.05))',
    `VaRsd05` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc dn 5%, vol unchanged (newUPrc = uPrc * exp(-0.05))',
    `VaRsu1e` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc up 1x implied earn move, vol ramp out',
    `VaRsd1e` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc dn 1x implied earn move, vol ramp out',
    `VaRsu2e` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc up 2x implied earn move, vol ramp out',
    `VaRsd2e` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc dn 2x implied earn move, vol ramp out',
    `VaRearn` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: vol earn ramp out (no uPrc move)',
    `VaRcash` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc up 30%, vol = 0.01, 6mn deal close (delta neutral)',
    `hcCnt` FLOAT NOT NULL DEFAULT 0 COMMENT 'count of haircut > $0.0 symbols',
    `haircut25` FLOAT NOT NULL DEFAULT 0 COMMENT 'haircut ($25 minimum/cn) [act basis]',
    `haircut37` FLOAT NOT NULL DEFAULT 0 COMMENT 'haircut ($37 minimum/cn) [act basis]',
    `optCnMinimum` FLOAT NOT NULL DEFAULT 0 COMMENT 'option contract margin minimum (37.50 for equities;SPAN minimum for options on futures)',
    `span01` FLOAT NOT NULL DEFAULT 0 COMMENT 'span1: uPrc=unch, vol=up',
    `span02` FLOAT NOT NULL DEFAULT 0 COMMENT 'span2: uPrc=unch, vol=down',
    `span03` FLOAT NOT NULL DEFAULT 0 COMMENT 'span3: uPrc=+33.33%, vol=up',
    `span04` FLOAT NOT NULL DEFAULT 0 COMMENT 'span4: uPrc=+33.33%, vol=dn',
    `span05` FLOAT NOT NULL DEFAULT 0 COMMENT 'span5: uPrc=-33.33%, vol=up',
    `span06` FLOAT NOT NULL DEFAULT 0 COMMENT 'span6: uPrc=-33.33%, vol=down',
    `span07` FLOAT NOT NULL DEFAULT 0 COMMENT 'span7: uPrc=+66.67%, vol=up',
    `span08` FLOAT NOT NULL DEFAULT 0 COMMENT 'span8: uPrc=+66.67%, vol=down',
    `span09` FLOAT NOT NULL DEFAULT 0 COMMENT 'span9: uPrc=-66.67%, vol=up',
    `span10` FLOAT NOT NULL DEFAULT 0 COMMENT 'span10: uPrc=-66.67%, vol=down',
    `span11` FLOAT NOT NULL DEFAULT 0 COMMENT 'span11: uPrc=+100%, vol=up',
    `span12` FLOAT NOT NULL DEFAULT 0 COMMENT 'span12: uPrc=+100%, vol=down',
    `span13` FLOAT NOT NULL DEFAULT 0 COMMENT 'span13: uPrc=-100%, vol=up',
    `span14` FLOAT NOT NULL DEFAULT 0 COMMENT 'span14: uPrc=-100%, vol=down',
    `span15` FLOAT NOT NULL DEFAULT 0 COMMENT 'span15: uPrc=+300%; price slide * 0.33',
    `span16` FLOAT NOT NULL DEFAULT 0 COMMENT 'span16: uPrc=-300%, price slide * 0.33',
    `worst3Risk` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of 3 worst 50% slide loss symbols',
    `worstSym1_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'symbol with the largest 50% slide loss',
    `worstSym1_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'symbol with the largest 50% slide loss',
    `worstSym1_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'symbol with the largest 50% slide loss',
    `worstSym2_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'symbol with the second largest 50% slide loss',
    `worstSym2_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'symbol with the second largest 50% slide loss',
    `worstSym2_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'symbol with the second largest 50% slide loss',
    `worstSym3_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'symbol with the third largest 50% slide loss',
    `worstSym3_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'symbol with the third largest 50% slide loss',
    `worstSym3_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'symbol with the third largest 50% slide loss',
    `stkLiqRisk` FLOAT NOT NULL DEFAULT 0 COMMENT 'estimated cost of neutralizing/liquidating all stock positions (half market width * position size)',
    `futLiqRisk` FLOAT NOT NULL DEFAULT 0 COMMENT 'estimated cost of neutralizing/liquidating all future positions (half market width * position size)',
    `optLiqRisk` FLOAT NOT NULL DEFAULT 0 COMMENT 'estimated cost of neutralizing/liquidating all option positions (half market width * position size)',
    `srRiskMargin` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR assessed risk margin MAX(haircut37, worst3Risk + optCnMinimum)',
    `lastActivity` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    PRIMARY KEY USING HASH (`accnt`,`currency`,`tradeDate`,`riskSession`,`clientFirm`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='AccountRiskRecords contain account level position and risk summary detail. These records are published by AggRiskServers throughout the day approximately once per minute.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `accnt`,
    `currency`,
    `tradeDate`,
    `riskSession`,
    `clientFirm`,
    `lnDDelta`,
    `shDDelta`,
    `lnStkMktValue`,
    `shStkMktValue`,
    `futMktValue`,
    `stkOptMktValue`,
    `futOptMktValue`,
    `vegaLong`,
    `vegaShort`,
    `wVegaLong`,
    `wVegaShort`,
    `wtVegaLong`,
    `wtVegaShort`,
    `thetaLong`,
    `thetaShort`,
    `rhoLong`,
    `rhoShort`,
    `ivolLn`,
    `ivolSh`,
    `wtVeDd`,
    `wtVeDn`,
    `wtVeAt`,
    `wtVeUp`,
    `wtVeDu`,
    `wtVeM1`,
    `wtVeM2`,
    `wtVeM3`,
    `wtVeM4`,
    `wtVeM5`,
    `ddelta`,
    `numSymbols`,
    `absCurSh`,
    `absCurFc`,
    `absCurCn`,
    `premOvPar`,
    `optExAsPnl`,
    `dividendPnl`,
    `corpActCashPnL`,
    `stkOpnPnlMid`,
    `stkOpnPnlClr`,
    `futOpnPnlMid`,
    `futOpnPnlClr`,
    `stkOptOpnPnlVol`,
    `stkOptOpnPnlMid`,
    `stkOptOpnPnlClr`,
    `futOptOpnPnlVol`,
    `futOptOpnPnlMid`,
    `futOptOpnPnlClr`,
    `stkDayPnl`,
    `futDayPnl`,
    `stkOptDayPnl`,
    `futOptDayPnl`,
    `stktDaySh`,
    `stkDayMny`,
    `futDayCn`,
    `futDayMny`,
    `stkOptDayCn`,
    `stkOptDayMny`,
    `futOptDayCn`,
    `futOptDayMny`,
    `dayDDelta`,
    `opDayVega`,
    `opDayWVega`,
    `opDayTVega`,
    `opDayWtVega`,
    `opDayTheta`,
    `opEdgeOpened`,
    `opEdgeClosed`,
    `pnlDn`,
    `pnlDe`,
    `pnlSl`,
    `pnlGa`,
    `pnlTh`,
    `pnlVe`,
    `pnlVo`,
    `pnlVa`,
    `pnlDDiv`,
    `pnlSDiv`,
    `pnlRate`,
    `pnlErr`,
    `pnlTe`,
    `pnlLn`,
    `pnlSh`,
    `tEdge`,
    `tEdgeMult`,
    `posTEdgePnl`,
    `negTEdgePnl`,
    `badTEdgePnl`,
    `VaRsu90`,
    `VaRsd90`,
    `VaRsu50`,
    `VaRsd50`,
    `VaRsu15`,
    `VaRsd15`,
    `VaRsu10`,
    `VaRsd10`,
    `VaRsu05`,
    `VaRsd05`,
    `VaRsu1e`,
    `VaRsd1e`,
    `VaRsu2e`,
    `VaRsd2e`,
    `VaRearn`,
    `VaRcash`,
    `hcCnt`,
    `haircut25`,
    `haircut37`,
    `optCnMinimum`,
    `span01`,
    `span02`,
    `span03`,
    `span04`,
    `span05`,
    `span06`,
    `span07`,
    `span08`,
    `span09`,
    `span10`,
    `span11`,
    `span12`,
    `span13`,
    `span14`,
    `span15`,
    `span16`,
    `worst3Risk`,
    `worstSym1_at`,
    `worstSym1_ts`,
    `worstSym1_tk`,
    `worstSym2_at`,
    `worstSym2_ts`,
    `worstSym2_tk`,
    `worstSym3_at`,
    `worstSym3_ts`,
    `worstSym3_tk`,
    `stkLiqRisk`,
    `futLiqRisk`,
    `optLiqRisk`,
    `srRiskMargin`,
    `lastActivity`,
    `timestamp`
FROM `SRRisk`.`MsgAccountRiskRecordV5`
WHERE 
    /* Replace with a VARCHAR(16) */ 
    `accnt` = 'Example_accnt'
  AND
    /* Replace with a ENUM('None','AUD','BRL','CAD','CHF','CNH','CNY','EUR','GBP','JPY','KRW','MXN','MYR','NOK','NZD','SEK','TRY','USD','USDCents','CZK','ZAR','HUF','USX','GBX') */ 
    `currency` = 'None'
  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='AccountRiskRecordV5' ORDER BY ordinal_position ASC;

METADATA​

Table Definition​

PRIMARY KEY DEFINITION (Unique)​

CREATE TABLE EXAMPLE QUERY​

SELECT TABLE EXAMPLE QUERY​

Doc Columns Query​

METADATA

Table Definition

PRIMARY KEY DEFINITION (Unique)

CREATE TABLE EXAMPLE QUERY

SELECT TABLE EXAMPLE QUERY

Doc Columns Query