SRHedgePolicyState

V8 Message Definiton

METADATA

Attribute	Value
Topic	5280-strategy-hedgepolicy
MLink Token	ClientTrading
Product	SRTrade
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
hedgeTarget_at	enum - AssetType	PRI	'None'	HedgeTarget
hedgeTarget_ts	enum - TickerSrc	PRI	'None'	HedgeTarget
hedgeTarget_tk	VARCHAR(12)	PRI	''	HedgeTarget
hedgeTarget_yr	SMALLINT UNSIGNED	PRI	0	HedgeTarget
hedgeTarget_mn	TINYINT UNSIGNED	PRI	0	HedgeTarget
hedgeTarget_dy	TINYINT UNSIGNED	PRI	0	HedgeTarget
hedgeSecType	enum - SpdrKeyType	PRI	'None'
accnt	VARCHAR(16)	PRI	''
clientFirm	VARCHAR(16)	PRI	''
tradeDate	DATE	PRI	'1900-01-01'
netOpnDDelta	FLOAT		0
netTrdDDelta	FLOAT		0
netPosDDelta	FLOAT		0
netPosDGamma	FLOAT		0
lastPosFillDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'
numAggErrors	INT		0
lastAggError	TINYTEXT		''
opnHedgeQtyBot	INT		0
opnHedgeQtySld	INT		0
trdHedgeQtyBot	INT		0
trdHedgeQtySld	INT		0
posHedgeState	enum - HedgePolicyState		'None'
posHedgeDetail	TINYTEXT		''
posDDBandwidth	FLOAT		0	current position ddelta hedge bandwidth
posHedgeTarget	TINYTEXT		''	current slice hedge targets
opnHedgeOrder	TINYTEXT		''
trdHedgeOrder	TINYTEXT		''
netAutoWindowDD	FLOAT		0	net autohedge window ddelta
lastAutoFillDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	last autohedge window option fill dttm for this hedge target
exeHedgeQtyBot	INT		0
exeHedgeQtySld	INT		0
autoHedgeState	enum - HedgePolicyState		'None'
autoHedgeDetail	TINYTEXT		''
autoDDBandwidth	FLOAT		0
autoHedgeTarget	TINYTEXT		''	current auto hedge window targets
autoHedgeOrder	TINYTEXT		''
autoHedgeEnabled	enum - YesNo		'None'
hedgeWavesEnabled	enum - YesNo		'None'
hedgePolicy	enum - HedgePolicy		'None'
autoHedgeWindow	enum - AutoHedgeWindow		'None'
autoHedgeNetting	enum - AutoHedgeNetting		'None'
autoHedgeSymBandDD	FLOAT		0	individual hedge target hedge band delta hedge to zero when outside band
posHedgePeriod	enum - HedgePeriod		'None'
posSymHedgeBandDD	FLOAT		0	individual hedge target hedge band delta
posSymHedgeBandGR	FLOAT		0	individual hedge target hedge band gamma ratio
posBalanceSymbols	enum - YesNo		'None'	balance accnt level deltas from all symbols using this policy
posHedgeSlice	enum - HedgeSlice		'None'
posHedgeObjective	enum - HedgeObjective		'None'
uPrc	DOUBLE		0	hedge target price
ddMult	DOUBLE		0
pointValue	DOUBLE		0
pointCurrency	enum - Currency		'None'
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
hedgeTarget_tk	1
hedgeTarget_yr	2
hedgeTarget_mn	3
hedgeTarget_dy	4
hedgeTarget_at	5
hedgeTarget_ts	6
hedgeSecType	7
accnt	8
clientFirm	9
tradeDate	10

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRTrade`.`MsgSRHedgePolicyState` (
    `hedgeTarget_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'HedgeTarget',
    `hedgeTarget_ts` 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','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'HedgeTarget',
    `hedgeTarget_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'HedgeTarget',
    `hedgeTarget_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'HedgeTarget',
    `hedgeTarget_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'HedgeTarget',
    `hedgeTarget_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'HedgeTarget',
    `hedgeSecType` ENUM('None','Stock','Future','Option','MLeg') NOT NULL DEFAULT 'None',
    `accnt` VARCHAR(16) NOT NULL DEFAULT '',
    `clientFirm` VARCHAR(16) NOT NULL DEFAULT '',
    `tradeDate` DATE NOT NULL DEFAULT '1900-01-01',
    `netOpnDDelta` FLOAT NOT NULL DEFAULT 0,
    `netTrdDDelta` FLOAT NOT NULL DEFAULT 0,
    `netPosDDelta` FLOAT NOT NULL DEFAULT 0,
    `netPosDGamma` FLOAT NOT NULL DEFAULT 0,
    `lastPosFillDttm` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    `numAggErrors` INT NOT NULL DEFAULT 0,
    `lastAggError` TINYTEXT NOT NULL DEFAULT '',
    `opnHedgeQtyBot` INT NOT NULL DEFAULT 0,
    `opnHedgeQtySld` INT NOT NULL DEFAULT 0,
    `trdHedgeQtyBot` INT NOT NULL DEFAULT 0,
    `trdHedgeQtySld` INT NOT NULL DEFAULT 0,
    `posHedgeState` ENUM('None','DDMultErr','MarketHours','NoPolicy','NoActiveWave','NoObjective','InBand','Active','Exception') NOT NULL DEFAULT 'None',
    `posHedgeDetail` TINYTEXT NOT NULL DEFAULT '',
    `posDDBandwidth` FLOAT NOT NULL DEFAULT 0 COMMENT 'current position ddelta hedge bandwidth',
    `posHedgeTarget` TINYTEXT NOT NULL DEFAULT '' COMMENT 'current slice hedge target(s)',
    `opnHedgeOrder` TINYTEXT NOT NULL DEFAULT '',
    `trdHedgeOrder` TINYTEXT NOT NULL DEFAULT '',
    `netAutoWindowDD` FLOAT NOT NULL DEFAULT 0 COMMENT 'net autohedge window ddelta',
    `lastAutoFillDttm` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'last autohedge window option fill dttm for this hedge target',
    `exeHedgeQtyBot` INT NOT NULL DEFAULT 0,
    `exeHedgeQtySld` INT NOT NULL DEFAULT 0,
    `autoHedgeState` ENUM('None','DDMultErr','MarketHours','NoPolicy','NoActiveWave','NoObjective','InBand','Active','Exception') NOT NULL DEFAULT 'None',
    `autoHedgeDetail` TINYTEXT NOT NULL DEFAULT '',
    `autoDDBandwidth` FLOAT NOT NULL DEFAULT 0,
    `autoHedgeTarget` TINYTEXT NOT NULL DEFAULT '' COMMENT 'current auto hedge window target(s)',
    `autoHedgeOrder` TINYTEXT NOT NULL DEFAULT '',
    `autoHedgeEnabled` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `hedgeWavesEnabled` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `hedgePolicy` ENUM('None','A','B','C','D','E') NOT NULL DEFAULT 'None',
    `autoHedgeWindow` ENUM('None','Immediate','Sec_5','Sec_15','Sec_30','Sec_60') NOT NULL DEFAULT 'None',
    `autoHedgeNetting` ENUM('None','Pct_25','Pct_50','Pct_100') NOT NULL DEFAULT 'None',
    `autoHedgeSymBandDD` FLOAT NOT NULL DEFAULT 0 COMMENT 'individual hedge target hedge band ($delta) (hedge to zero when outside band)',
    `posHedgePeriod` ENUM('None','Opn05_Opn30','Opn30_Opn60','Opn60_Cls60','Cls60_Cls30','Cls30_Cls05','Cls05_Cls') NOT NULL DEFAULT 'None',
    `posSymHedgeBandDD` FLOAT NOT NULL DEFAULT 0 COMMENT 'individual hedge target hedge band ($delta)',
    `posSymHedgeBandGR` FLOAT NOT NULL DEFAULT 0 COMMENT 'individual hedge target hedge band (gamma ratio)',
    `posBalanceSymbols` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'balance accnt level deltas from all symbols using this policy',
    `posHedgeSlice` ENUM('None','Min_2','Min_5','Min_10','Min_15') NOT NULL DEFAULT 'None',
    `posHedgeObjective` ENUM('None','Opn_Zero','Opn_Edge','NetOpn_Zero','NetOpn_Edge','Trd_Zero','Trd_Edge','NetTrd_Zero','NetTrd_Edge','Pos_Zero','Pos_Edge') NOT NULL DEFAULT 'None',
    `uPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'hedge target price',
    `ddMult` DOUBLE NOT NULL DEFAULT 0,
    `pointValue` DOUBLE NOT NULL DEFAULT 0,
    `pointCurrency` 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') NOT NULL DEFAULT 'None',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    PRIMARY KEY USING HASH (`hedgeTarget_tk`,`hedgeTarget_yr`,`hedgeTarget_mn`,`hedgeTarget_dy`,`hedgeTarget_at`,`hedgeTarget_ts`,`hedgeSecType`,`accnt`,`clientFirm`,`tradeDate`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='';

SELECT TABLE EXAMPLE QUERY

SELECT
    `hedgeTarget_at`,
    `hedgeTarget_ts`,
    `hedgeTarget_tk`,
    `hedgeTarget_yr`,
    `hedgeTarget_mn`,
    `hedgeTarget_dy`,
    `hedgeSecType`,
    `accnt`,
    `clientFirm`,
    `tradeDate`,
    `netOpnDDelta`,
    `netTrdDDelta`,
    `netPosDDelta`,
    `netPosDGamma`,
    `lastPosFillDttm`,
    `numAggErrors`,
    `lastAggError`,
    `opnHedgeQtyBot`,
    `opnHedgeQtySld`,
    `trdHedgeQtyBot`,
    `trdHedgeQtySld`,
    `posHedgeState`,
    `posHedgeDetail`,
    `posDDBandwidth`,
    `posHedgeTarget`,
    `opnHedgeOrder`,
    `trdHedgeOrder`,
    `netAutoWindowDD`,
    `lastAutoFillDttm`,
    `exeHedgeQtyBot`,
    `exeHedgeQtySld`,
    `autoHedgeState`,
    `autoHedgeDetail`,
    `autoDDBandwidth`,
    `autoHedgeTarget`,
    `autoHedgeOrder`,
    `autoHedgeEnabled`,
    `hedgeWavesEnabled`,
    `hedgePolicy`,
    `autoHedgeWindow`,
    `autoHedgeNetting`,
    `autoHedgeSymBandDD`,
    `posHedgePeriod`,
    `posSymHedgeBandDD`,
    `posSymHedgeBandGR`,
    `posBalanceSymbols`,
    `posHedgeSlice`,
    `posHedgeObjective`,
    `uPrc`,
    `ddMult`,
    `pointValue`,
    `pointCurrency`,
    `timestamp`
FROM `SRTrade`.`MsgSRHedgePolicyState`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `hedgeTarget_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','ICEFE') */ 
    `hedgeTarget_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `hedgeTarget_tk` = 'Example_hedgeTarget_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `hedgeTarget_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `hedgeTarget_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `hedgeTarget_dy` = 1
  AND
    /* Replace with a ENUM('None','Stock','Future','Option','MLeg') */ 
    `hedgeSecType` = 'None'
  AND
    /* Replace with a VARCHAR(16) */ 
    `accnt` = 'Example_accnt'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm'
  AND
    /* Replace with a DATE */
    `tradeDate` = '2022-01-01';

Doc Columns Query

SELECT * FROM SRTrade.doccolumns WHERE TABLE_NAME='SRHedgePolicyState' ORDER BY ordinal_position ASC;