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

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	''
currency	enum - Currency	PRI	'None'
code	VARCHAR(16)	PRI	''
clientFirm	VARCHAR(16)	PRI	''	SR assigned client firm
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 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	vega weighted average symbol ivol where srsvega 0
ivolSh	FLOAT		0	vega weighted average symbol ivol where srsvega 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
absCurCn	INT		0	absolute number of account option contracts CLR tradessumsrsopCnAbsCur
premOvPar	FLOAT		0	aggregate premium over parity for the option positionsumsrspremOvPar
stPnlMid	FLOAT		0	stock pnl using SR marks
stPnlClr	FLOAT		0	stock pnl using CLR marks
opPnlVol	FLOAT		0	options pnl using SR vol marks
opPnlMid	FLOAT		0	options pnl using SR mid marks
opPnlClr	FLOAT		0	options pnl using CLR mid marks
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
tEdgePr	FLOAT		0	aggregate option theo edge prior periodsumsrstEdgePr
tEdgeMultPr	FLOAT		0	enominator for computing edge per unit prior periodsumsrstEdgeMultPr
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 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
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
hcCnt	FLOAT		0	count of haircut 00 symbols
haircut25	FLOAT		0	haircut 25 minimumcn act basis
haircut37	FLOAT		0	haircut 37 minimumcn act basis
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
code	3
clientFirm	4

SELECT TABLE EXAMPLE QUERY

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