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IndustryRiskRecordV5

V8 Message Definiton

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

METADATA

AttributeValue
Topic4740-risk-v5
MLink TokenClientRisk
ProductSRRisk
accessTypeSELECT

Table Definition

FieldTypeKeyDefault ValueComment
accntVARCHAR(16)PRI''
currencyenum - CurrencyPRI'None'
codeVARCHAR(16)PRI''
clientFirmVARCHAR(16)PRI''SR assigned client firm
vegaLongFLOAT0sum of long vega symbol positionssumsrsvega if srsvega 0
vegaShortFLOAT0sum of short vega symbol positions sumsrsvega if srsvega 0
wVegaLongFLOAT0sum of long weighted vega symbol positionssumsrswVega if srswVega 0
wVegaShortFLOAT0sum of short weighted vega symbol positions sumsrswVega if srswVega 0
wtVegaLongFLOAT0sum of long time weighted vega symbol positionssumsrswtVega if srswtVega 0
wtVegaShortFLOAT0sum of short time weighted vega symbol positions sumsrswtVega if srswtVega 0
thetaLongFLOAT0sum of long vega symbol positionssumsrstheta if srstheta 0
thetaShortFLOAT0sum of short vega symbol positions sumsrstheta if srstheta 0
rhoLongFLOAT0sum of long rho symbol positionssumsrsrho if srsrho 0
rhoShortFLOAT0sum of short rho symbol positions sumsrsrho if srsrho 0
ivolLnFLOAT0vega weighted average symbol ivol where srsvega 0
ivolShFLOAT0vega weighted average symbol ivol where srsvega 0
wtVeDdFLOAT0Aggregate Dd Time Weighted VegasumwtVega if oprxde 030
wtVeDnFLOAT0Aggregate Dn Time Weighted VegasumwtVega if 030 oprxde 010
wtVeAtFLOAT0Aggregate At Time Weighted VegasumwtVega if absoprxde 010
wtVeUpFLOAT0Aggregate Up Time Weighted VegasumwtVega if 010 oprxde 030
wtVeDuFLOAT0Aggregate Du Time Weighted VegasumwtVega if 030 oprxde
wtVeM1FLOAT0Aggregate M1 Time Weighted VegasumwtVega if days 10
wtVeM2FLOAT0Aggregate M2 Time Weighted VegasumwtVega if 10 days 25
wtVeM3FLOAT0Aggregate M3 Time Weighted VegasumwtVega if 25 days 65
wtVeM4FLOAT0Aggregate M4 Time Weighted VegasumwtVega if 65 days 130
wtVeM5FLOAT0Aggregate M5 Time Weighted VegasumwtVega if 130 days
ddeltaFLOAT0net deltasumsrsddelta
numSymbolsINT0count of srs records being aggregated
absCurShINT0absolute number of account shares CLR tradessumsrsopShAbsCur
absCurCnINT0absolute number of account option contracts CLR tradessumsrsopCnAbsCur
premOvParFLOAT0aggregate premium over parity for the option positionsumsrspremOvPar
stPnlMidFLOAT0stock pnl using SR marks
stPnlClrFLOAT0stock pnl using CLR marks
opPnlVolFLOAT0options pnl using SR vol marks
opPnlMidFLOAT0options pnl using SR mid marks
opPnlClrFLOAT0options pnl using CLR mid marks
opDayVegaFLOAT0option vega traded today
opDayWVegaFLOAT0option vol weighted vega traded today
opDayTVegaFLOAT0option time weighted vega traded today
opDayWtVegaFLOAT0option vol time weighted vega traded today
opDayThetaFLOAT0option theta traded today
opEdgeOpenedFLOAT0option theo edge opened today
opEdgeClosedFLOAT0option theo edge closed today
pnlDnFLOAT0option delta neutral pnlsumsrspnlDn
pnlDeFLOAT0option delta pnlsumsrspnlDe
pnlSlFLOAT0option vegadelta pnlsumsrspnlSl
pnlGaFLOAT0option gamma pnlsumsrspnlGa
pnlThFLOAT0option theta pnlsumsrspnlTh
pnlVeFLOAT0option vega pnlsumsrspnlVe
pnlVoFLOAT0option volga pnlsumsrspnlVo
pnlVaFLOAT0option vanna pnlsumsrspnlVa
pnlDDivFLOAT0option DDiv pnlsumsrspnlDDiv
pnlSDivFLOAT0option SDiv pnlsumsrspnlSDiv
pnlRateFLOAT0option Rate pnlsumsrspnlRate
pnlErrFLOAT0option unexplained error pnlsumsrspnlErr
pnlTeFLOAT0option theo edge pnlsumsrspnlTe
pnlLnFLOAT0option pnl from symbol positions with vega
pnlShFLOAT0option pnl from symbol positions with vega
tEdgeFLOAT0aggregate option theo edgesumsrstEdge
tEdgeMultFLOAT0denominator for computing edge per unitsumsrstEdgeMult
tEdgePrFLOAT0aggregate option theo edge prior periodsumsrstEdgePr
tEdgeMultPrFLOAT0enominator for computing edge per unit prior periodsumsrstEdgeMultPr
posTEdgePnlFLOAT0aggregate pnl positive edge symbolssumsrsposTEdgePnl
negTEdgePnlFLOAT0aggregate pnl negative edge symbolssumsrsnegTEdgePnl
badTEdgePnlFLOAT0aggregate pnl no theo edge symbolssumsrsbadTEdgePnl
VaRsu90FLOAT0Aggregate RiskSlide uPrc up 90 vol unchanged newUPrc uPrc MathExp090
VaRsd90FLOAT0Aggregate RiskSlide uPrc dn 90 vol unchanged newUPrc uPrc MathExp090
VaRsu50FLOAT0Aggregate RiskSlide uPrc up 50 vol unchanged newUPrc uPrc MathExp050
VaRsd50FLOAT0Aggregate RiskSlide uPrc dn 50 vol unchanged newUPrc uPrc MathExp050
VaRsu15FLOAT0Aggregate RiskSlide uPrc up 15 vol unchanged newUPrc uPrc MathExp015
VaRsd15FLOAT0Aggregate RiskSlide uPrc dn 15 vol unchanged newUPrc uPrc MathExp015
VaRsu10FLOAT0Aggregate RiskSlide uPrc up 10 vol unchanged newUPrc uPrc MathExp010
VaRsd10FLOAT0Aggregate RiskSlide uPrc dn 10 vol unchanged newUPrc uPrc MathExp010
VaRsu05FLOAT0Aggregate RiskSlide uPrc up 5 vol unchanged newUPrc uPrc MathExp005
VaRsd05FLOAT0Aggregate RiskSlide uPrc dn 5 vol unchanged newUPrc uPrc MathExp005
VaRsu1eFLOAT0Aggregate RiskSlide uPrc up 1x implied earn move vol ramp out
VaRsd1eFLOAT0Aggregate RiskSlide uPrc dn 1x implied earn move vol ramp out
VaRsu2eFLOAT0Aggregate RiskSlide uPrc up 2x implied earn move vol ramp out
VaRsd2eFLOAT0Aggregate RiskSlide uPrc dn 2x implied earn move vol ramp out
VaRearnFLOAT0Aggregate RiskSlide vol earn ramp out no uPrc move
VaRcashFLOAT0Aggregate RiskSlide uPrc up 30 vol 001 6mn deal close delta neutral
hcCntFLOAT0count of haircut 00 symbols
haircut25FLOAT0haircut 25 minimumcn act basis
haircut37FLOAT0haircut 37 minimumcn act basis
lastActivityDATETIME(6)'1900-01-01 00:00:00.000000'
timestampDATETIME(6)'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

FieldSequence
accnt1
currency2
code3
clientFirm4

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRRisk`.`MsgIndustryRiskRecordV5` (
`accnt` VARCHAR(16) NOT NULL DEFAULT '',
`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',
`code` VARCHAR(16) NOT NULL DEFAULT '',
`clientFirm` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'SR assigned client firm',
`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 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 COMMENT 'vega weighted average symbol ivol where srs.vega > 0',
`ivolSh` FLOAT NOT NULL DEFAULT 0 COMMENT 'vega weighted average symbol ivol where srs.vega < 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)',
`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)',
`stPnlMid` FLOAT NOT NULL DEFAULT 0 COMMENT 'stock pnl (using SR marks)',
`stPnlClr` FLOAT NOT NULL DEFAULT 0 COMMENT 'stock pnl (using CLR marks)',
`opPnlVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'options pnl (using SR vol marks)',
`opPnlMid` FLOAT NOT NULL DEFAULT 0 COMMENT 'options pnl (using SR mid marks)',
`opPnlClr` FLOAT NOT NULL DEFAULT 0 COMMENT 'options pnl (using CLR mid marks)',
`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)',
`tEdgePr` FLOAT NOT NULL DEFAULT 0 COMMENT 'aggregate option theo edge (prior period);=sum(srs.tEdgePr)',
`tEdgeMultPr` FLOAT NOT NULL DEFAULT 0 COMMENT 'enominator for computing edge per unit (prior period);=sum(srs.tEdgeMultPr)',
`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 * Math.Exp(+0.90))',
`VaRsd90` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc dn 90%, vol unchanged (newUPrc = uPrc * Math.Exp(-0.90))',
`VaRsu50` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc up 50%, vol unchanged (newUPrc = uPrc * Math.Exp(+0.50))',
`VaRsd50` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc dn 50%, vol unchanged (newUPrc = uPrc * Math.Exp(-0.50))',
`VaRsu15` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc up 15%, vol unchanged (newUPrc = uPrc * Math.Exp(+0.15))',
`VaRsd15` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc dn 15%, vol unchanged (newUPrc = uPrc * Math.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 * Math.Exp(+0.05))',
`VaRsd05` FLOAT NOT NULL DEFAULT 0 COMMENT 'Aggregate RiskSlide: uPrc dn 5%, vol unchanged (newUPrc = uPrc * Math.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]',
`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`,`code`,`clientFirm`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='IndustryRiskRecords 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`,
`code`,
`clientFirm`,
`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`,
`absCurCn`,
`premOvPar`,
`stPnlMid`,
`stPnlClr`,
`opPnlVol`,
`opPnlMid`,
`opPnlClr`,
`opDayVega`,
`opDayWVega`,
`opDayTVega`,
`opDayWtVega`,
`opDayTheta`,
`opEdgeOpened`,
`opEdgeClosed`,
`pnlDn`,
`pnlDe`,
`pnlSl`,
`pnlGa`,
`pnlTh`,
`pnlVe`,
`pnlVo`,
`pnlVa`,
`pnlDDiv`,
`pnlSDiv`,
`pnlRate`,
`pnlErr`,
`pnlTe`,
`pnlLn`,
`pnlSh`,
`tEdge`,
`tEdgeMult`,
`tEdgePr`,
`tEdgeMultPr`,
`posTEdgePnl`,
`negTEdgePnl`,
`badTEdgePnl`,
`VaRsu90`,
`VaRsd90`,
`VaRsu50`,
`VaRsd50`,
`VaRsu15`,
`VaRsd15`,
`VaRsu10`,
`VaRsd10`,
`VaRsu05`,
`VaRsd05`,
`VaRsu1e`,
`VaRsd1e`,
`VaRsu2e`,
`VaRsd2e`,
`VaRearn`,
`VaRcash`,
`hcCnt`,
`haircut25`,
`haircut37`,
`lastActivity`,
`timestamp`
FROM `SRRisk`.`MsgIndustryRiskRecordV5`
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 VARCHAR(16) */
`code` = 'Example_code'
AND
/* Replace with a VARCHAR(16) */
`clientFirm` = 'Example_clientFirm';

Doc Columns Query

SELECT * FROM SRRisk.doccolumns WHERE TABLE_NAME='IndustryRiskRecordV5' ORDER BY ordinal_position ASC;