AccountRiskRecordV5

V8 Message Definiton

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
MLink Endpoint	MLink-Order

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

SELECT TABLE EXAMPLE QUERY

SELECT *
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','DKK','GEL') */ 
    `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;