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Feature Pack: YU14-listed-equity-options

linux/mac support windows support

Status: In implementation; see generation/implementation-status.md Track: architecture Lineage role: optional Previous state: YU13-limit-order-book

This pack adds listed equity options as tradeable instruments. An option contract is a security identifier; its unpadded OCC symbol; with a two-sided book, so it registers, quotes, crosses, partially fills, and cancels through exactly the inherited YU13 paths; the matching engine is unchanged. What changes is the instrument model and the risk gate's notional math: symbol registration derives a contract multiplier (100 for OCC option symbols, 1 otherwise) deterministically from the committed ticker, the risk gate computes every notional as quantity x price x multiplier, and the multiplier rides the format-3 cluster snapshot with fail-closed restore. Underlying, strike, expiry, call/put, counterparty, and currency stay out of the consensus log as reference data.

Primary intent:

  • trade option contracts on the crossing book as ordinary securities, identified by OCC symbol,
  • make the risk gate multiplier-aware: a $2.50 option controlling 100 shares consumes $250 of credit, order-notional, and concentration budget,
  • carry the multiplier in cluster state and the snapshot (format 3), restored fail-closed,
  • model the instrument reference data; type, underlying, strike, expiry, call/put, multiplier, currency; derived from the OCC identifier, plus the accountId → counterparty/netting-set mapping and derived notional for the positions extract.

Core artifacts:

  • generation/runtime-overrides/order-matcher/; OccSymbol, multiplier-aware BlpRiskState, format-3 snapshot in MatchingEngineClusteredService, 32-byte SBE ticker field
  • reference-data/; seeded option chain (instruments.csv) and counterparty mapping (counterparties.csv)
  • system/adr-052 … adr-054; consensus-log split, multiplier math, extract-time reference data
  • system/architecture.model.json; generated architecture flow for the option instrument model

Target runtime behavior:

  • a seeded option contract behaves exactly as an equity on the book: rests, crosses at the resting price, partially fills, cancels; one matching path for both instrument types,
  • the risk gate reserves and executes multiplied notional; caps fire at the contract's economic exposure, not its premium,
  • every member derives the identical multiplier from the identical committed registration, and a snapshot-restored member enforces identical caps or fails closed,
  • the positions extract resolves counterparty, currency, and derived notional from reference data without touching the cluster.