OptionPositionRecordV5

V8 Message Definiton

OptionPositionRecords are live risk records that contain start-of-day positions and all subsequent executions, including executions reported as done away. These records are published by a CoreRiskServer and represent the position and risk markup detail for a single option series. New records are published immediately when a position changes and about once per minute if no position has changed. Note that all records for a single underlier are published simultaneously and records for the same chain should have consistent marks.

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
okey_at	enum - AssetType	PRI	'None'	ends with n if an MH allocation fraction n 1N MMH segment number
okey_ts	enum - TickerSrc	PRI	'None'	ends with n if an MH allocation fraction n 1N MMH segment number
okey_tk	VARCHAR(12)	PRI	''	ends with n if an MH allocation fraction n 1N MMH segment number
okey_yr	SMALLINT UNSIGNED	PRI	0	ends with n if an MH allocation fraction n 1N MMH segment number
okey_mn	TINYINT UNSIGNED	PRI	0	ends with n if an MH allocation fraction n 1N MMH segment number
okey_dy	TINYINT UNSIGNED	PRI	0	ends with n if an MH allocation fraction n 1N MMH segment number
okey_xx	DOUBLE	PRI	0	ends with n if an MH allocation fraction n 1N MMH segment number
okey_cp	enum - CallPut	PRI	'Call'	ends with n if an MH allocation fraction n 1N MMH segment number
accnt	VARCHAR(16)	PRI	''
tradeDate	DATE	PRI	'1900-01-01'
riskSession	enum - RiskSession	PRI	'Regular'
clientFirm	VARCHAR(16)	PRI	''	SR assigned client firm
riskServerCode	VARCHAR(6)		''
aggGroup	VARCHAR(16)		''	SR assigned agg group
fkey_at	enum - AssetType		'None'	underlying future if written on a future
fkey_ts	enum - TickerSrc		'None'	underlying future if written on a future
fkey_tk	VARCHAR(12)		''	underlying future if written on a future
fkey_yr	SMALLINT UNSIGNED		0	underlying future if written on a future
fkey_mn	TINYINT UNSIGNED		0	underlying future if written on a future
fkey_dy	TINYINT UNSIGNED		0	underlying future if written on a future
ticker_at	enum - AssetType		'None'	underlying ticker
ticker_ts	enum - TickerSrc		'None'	underlying ticker
ticker_tk	VARCHAR(12)		''	underlying ticker
exType	enum - ExerciseType		'None'
multihedge	enum - Multihedge		'None'
multihedgeSource_at	enum - AssetType		'None'	MH Ticker Key starts with if exists
multihedgeSource_ts	enum - TickerSrc		'None'	MH Ticker Key starts with if exists
multihedgeSource_tk	VARCHAR(12)		''	MH Ticker Key starts with if exists
multihedgePVRatio	FLOAT		0	pv multiplier fraction of underlier value uPerCn x uPrc SUMuPerCn x uPrc associated with this fragment
optionType	enum - OptionType		'None'
cashOnEx	FLOAT		0	cash on settlement multihedge
strikeRatio	FLOAT		0	strike ratio
uPrcRatio	FLOAT		0	stock price multiplier
underliersPerCn	DOUBLE		0	underliers per contract
underlierType	enum - UnderlierType		'None'	type of underlier affects greek calculations
tickValue	FLOAT		0	NLV value of a single tick change in display premium pointValue tickValue tickSize
pointValue	FLOAT		0	NLV value of a single point change in display premium pointValue tickValue tickSize
pointCurrency	enum - Currency		'None'
priceFormat	enum - PriceFormat		'None'	option price display format code
uPriceFormat	enum - PriceFormat		'None'	underlier price display format code
uPrc	DOUBLE		0	current underlier price any market session persists if market closedhalted
spotUPrc	DOUBLE		0	current underlier spot price
uBid	DOUBLE		0	current underlier bid any market session zero if market closedhalted
uAsk	DOUBLE		0	current underlier ask any market session zero if market closedhalted
uMark	DOUBLE		0	current underlier mark usually mid market freezes at SR CloseMarkTime
uMarkSource	enum - UMarkSource		'None'
optBid	FLOAT		0	current option market bid any market session zero if market closedhalted
optAsk	FLOAT		0	current option market ask any market session zero if market closedhalted
optMidMark	DOUBLE		0	current option mark mid market freezes at SR CloseMarkTime
optVolMark	DOUBLE		0	current option mark volatility surface freezes at SR CloseMarkTime
uOpnMark	DOUBLE		0	startofday SR underlier mark rotated from prior day record corp action adjusted
optOpnVolMark	DOUBLE		0	startofday SR vol mark corp action adjusted
optOpnMidMark	DOUBLE		0	startofday SR mid mark corp action adjusted
optOpnClrMark	DOUBLE		0	startofday clearing mark should be corp action adjusted
optOpnPosPrv	INT		0	startofday SR contract position rotated from prior day record corp action adjusted
optOpnPosClr	INT		0	startofday CKR contract position supplied by clientclearing firm via clearing position load should be corp action adjusted
optOpnPos	INT		0	start of period contract position effective can be from either CLR or SR
optOpnPosSrc	enum - PositionSource		'None'	start of period position source
cnBot	INT		0	number of contracts bot today
cnSld	INT		0	number of contracts sld today
cnOpened	INT		0	number of contracts opened today
cnClosed	INT		0	number of contracts closed today
cnPendCmplBot	INT		0	number of contracts bot today but pending completion
cnPendCmplSld	INT		0	number of contracts sld today but pending completion
edgeOpened	FLOAT		0	edge from opening trades model 1
edgeClosed	FLOAT		0	edge from closing trades model 1
trdDelta	FLOAT		0	deltas from trades fixed at the time of trade
trdGamma	FLOAT		0	gamma from trades fixed at the time of trade
trdDeltaMny	FLOAT		0	deltas x uPrc from trades fixed at the time of trade
optMnyBot	DOUBLE		0	sum of settle cash for all buy executions
optMnySld	DOUBLE		0	sum of settle cash for all sell executions
dayPnl	FLOAT		0
dnDayPnl	FLOAT		0
opnPnlMidMark	FLOAT		0
opnPnlVolMark	FLOAT		0
opnPnlClrMark	FLOAT		0
cnNetOpnPos	INT		0	opening position cnOpnPos net of reversalsconversions
cnNetCurPos	INT		0	current position cnOpnPos cnBot cnSld net of reversalsconversions
cnAtmEquiv	FLOAT		0	current position atm equivalent contracts cnNetPos ve atmVega
beta	FLOAT		0	beta usually beta to SPX see AccountConfigbetaSource
betaSource	enum - BetaSource		'None'
divDays	SMALLINT		0	days to the next dividend 0 exDate is today 1 exDate is yesterday
hedgeDeltaRule	enum - HedgeDeltaRule		'None'	HedgeDelta Source IVol use SR implied surface sticky strike IvS use SR surface sticky delta TVol use user supplied theo surface sticky strike TvS use user supplied theo surface and atm veSlope sticky delta AccountConfighedgeDelta
binaryDays	FLOAT		0	hedgeDelta 100500510 if less than binary days to expirationusually 00 20
days	SMALLINT		0	days to expiration
years	FLOAT		0	years to expiration
rate	FLOAT		0	global rate to expiration pricing
sdiv	FLOAT		0	continuous stock div pricing
ddiv	FLOAT		0	present value of discrete dividends pricing
dadj	FLOAT		0	dadj frational dividend value 10 except for some multihedge roots
atmVol	FLOAT		0	live surface atm volatility
atmVega	FLOAT		0	live surface atm vega
smny	FLOAT		0	option moneyness
iVol	FLOAT		0	surface volatility
iVolSrc	enum - MarkSource		'None'
kAdj	FLOAT		0	adjusted strike
de	FLOAT	PRI	0	deltadOpx dUPrc
ga	FLOAT		0	gammadDelta dUPrc
th	FLOAT		0	thetadOpx dTime
ve	FLOAT		0	vegadOpx dVol
vo	FLOAT		0	volga SR surface
va	FLOAT		0	vanna SR surface
rh	FLOAT		0	rhodOpx dRate
ph	FLOAT		0	phidOpx dSDiv
deDecay	FLOAT		0	delta decay charm delta bleed dDeltadTime
err	TINYINT UNSIGNED		0	computation error code if any
veSlope	FLOAT		0	ivol correlation veSlope dVol dUPrc can be either SR surface veSlope or client theo veSlope
hedgeDe	FLOAT		0	hedge delta either ivol or tvol basedfollows binary rules
hedgeGa	FLOAT		0	hedge gamma either ivol or tvol basedfollows binary rules
srSlope	FLOAT		0	ivol correlation srSlope dVol dUPrc always SR surface veSlope
isBinary	enum - YesNo		'None'	hedge deltagamma has switched to binary
premOvPar	FLOAT		0	premium over parity for the option position
xde	FLOAT		0	xdelta C 05 de P 05 de
loBound	FLOAT		0	minimum noarb opx zero volatility given sdivddivyearsrate
su90	FLOAT		0	underlier up 90 sticky delta
sd90	FLOAT		0	underlier dn 90 sticky delta
su50	FLOAT		0	underlier up 50 sticky delta
sd50	FLOAT		0	underlier dn 50 sticky delta
su15	FLOAT		0	underlier up 15 sticky delta
sd15	FLOAT		0	underlier dn 15 sticky delta
su10	FLOAT		0	underlier up 10 sticky delta
sd10	FLOAT		0	underlier dn 10 sticky delta
su06	FLOAT		0	underlier up 6 sticky delta
sd08	FLOAT		0	underlier dn 8 sticky delta
su05	FLOAT		0	underlier up 5 sticky delta
sd05	FLOAT		0	underlier dn 5 sticky delta
su1e	FLOAT		0	underlier up 1x implied earn move vol ramp out deltaneutral
sd1e	FLOAT		0	underlier dn 1x implied earn move vol ramp out deltaneutral
su2e	FLOAT		0	underlier up 2x implied earn move vol ramp out deltaneutral
sd2e	FLOAT		0	underlier dn 2x implied earn move vol ramp out deltaneutral
earn	FLOAT		0	vol earn ramp out no underlier move
cash	FLOAT		0	underlier up 30 vol 010 6mn deal close
theoModel	VARCHAR(16)		''	theo model 1
tVol	FLOAT		0	theo volatility
tOpx	FLOAT		0	theo price
tBOpnPx	FLOAT		0	theo buyopen price
tSOpnPx	FLOAT		0	theo sellopen price
tBClsPx	FLOAT		0	theo buyclose price
tSClsPx	FLOAT		0	theo sellclose price
tDe	FLOAT		0	theo delta
tGa	FLOAT		0	theo gamma
tErr	TINYINT UNSIGNED		0	theo vol error code TheoError
theoModel2	VARCHAR(16)		''	theo model 2 used for edge markup
tVol2	FLOAT		0	theo volatility model 2
tOpx2	FLOAT		0	theo price model 2
tErr2	TINYINT UNSIGNED		0	theo vol error code model 2
yearsPr	FLOAT		0
ratePr	FLOAT		0
sdivPr	FLOAT		0
ddivPr	FLOAT		0
iVolPr	FLOAT		0	prior period surface volatility
kAdjPr	FLOAT		0	prior period adjusted strike
dePr	FLOAT		0
gaPr	FLOAT		0
thPr	FLOAT		0
vePr	FLOAT		0
rhPr	FLOAT		0
phPr	FLOAT		0
voPr	FLOAT		0
vaPr	FLOAT		0
errPr	TINYINT UNSIGNED		0	prior period computation error code if any
veSlopePr	FLOAT		0	prior period veSlope
hedgeDePr	FLOAT		0	prior period hedge delta
tVolPr	FLOAT		0	prior period theo volatility theoModel
tOpxPr	FLOAT		0	prior period theo price
tDePr	FLOAT		0	prior period theo delta
tVolPr2	FLOAT		0	prior period theo volatility theoModel2
tOpxPr2	FLOAT		0	prior period theo price
tDePr2	FLOAT		0	prior period theo delta
xdePr	FLOAT		0
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
opnPnlDe	FLOAT		0	open position mult dePr dUPrc BS delta PnL NOT hedgeDe
opnPnlGa	FLOAT		0	open position mult 05 avggammagammaPr dUPrc dUPrc
opnPnlTh	FLOAT		0	open position mult decomposedThetadYearsV dYearsC
opnPnlVe	FLOAT		0	open position mult optVega dVol includes spotinduced vol change
opnPnlVo	FLOAT		0	open position mult 05 avgvolgavolgaPr dVol dVol
opnPnlVa	FLOAT		0	open position mult optVanna dVol dUPrc
opnPnlSl	FLOAT		0	open position mult vePr veSlopePr dUPrc hedge effect overlaps with opnPnlVe
opnPnlRate	FLOAT		0	open position mult optRho dRate
opnPnlSDiv	FLOAT		0	open position mult optPhi dSDiv
opnPnlDDiv	FLOAT		0	open position mult dePr dDDiv uses BS delta not phi
opnPnlSv	FLOAT		0	deltaneutral PnL optVolMark optOpnVolMark mult opnPnlDe
opnPnlErr	FLOAT		0	unattributed pnl opnPnlSv opnPnlGa opnPnlTh opnPnlVe opnPnlVo opnPnlVa opnPnlRate opnPnlSDiv opnPnlDDiv
shBotC0	INT		0	hypothetical shares bot 1minute intervals
shSldC0	INT		0	hypothetical shares sld
shMnyC0	FLOAT		0	hypothetical money
shBotC1	INT		0	hypothetical shares bot 10minute intervals
shSldC1	INT		0	hypothetical shares sld
shMnyC1	FLOAT		0	hypothetical money
markErrCodes	VARCHAR(255)		'None'
exValue	FLOAT		0	early exercise value amLimit bsPrice
riskAlert	enum - AlertCode		'None'
numExecutions	INT		0	number of included SpdrParentExecution records
maxExecDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	maximum activity dttm of execution records included in this option risk summary
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
okey_tk	1
okey_yr	2
okey_mn	3
okey_dy	4
okey_xx	5
okey_cp	6
okey_at	7
okey_ts	8
accnt	9
tradeDate	10
riskSession	11
clientFirm	12

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRRisk`.`MsgOptionPositionRecordV5`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */ 
    `okey_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') */ 
    `okey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `okey_tk` = 'Example_okey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `okey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_dy` = 1
  AND
    /* Replace with a DOUBLE */ 
    `okey_xx` = 4.56
  AND
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `okey_cp` = 'Call'
  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='OptionPositionRecordV5' ORDER BY ordinal_position ASC;