Data Model: YU14-listed-equity-options
Instrument (reference-data view)
One row per tradeable security. Derived fields come from the OCC identifier; nothing here is stored in the cluster beyond the ticker→securityId mapping and the multiplier.
| Field | Source | Equity example | Option example |
|---|---|---|---|
ticker | seeded identifier | AAPL | AAPL260918C00240000 |
securityId | cluster symbol registration | 3 | 21 |
type | derived: OCC parse | equity | option |
underlying | derived: OCC root | ; | AAPL |
expiry | derived: OCC yymmdd | ; | 2026-09-18 |
callPut | derived: OCC C/P | ; | C |
strike | derived: OCC 8 digits / 1000 | ; | 240.000 |
multiplier | derived at registration; cluster state | 1 | 100 |
currency | reference data | USD | USD |
reference-data/instruments.csv materializes this view for the seeded universe.
Counterparty (reference-data)
reference-data/counterparties.csv, keyed by accountId; joined to positions at extract time.
| Field | Meaning |
|---|---|
accountId | the engine's account identifier |
counterpartyId | counterparty legal-entity identifier (CPTY-…) |
nettingSetId | netting set / CSA grouping (NS-…) |
currency | settlement currency, USD |
Derived notional
Wherever positions are surfaced from reference data:
notional = position quantity x last price x contract multiplier
Order reservation and executed exposure inside the risk gate are stored already-multiplied
(quantity x validation price x multiplier), so in-cluster credit/order-notional/concentration
accounting and the derived extract field agree by construction.
Cluster state delta (vs YU13)
| State | YU13 | YU14 |
|---|---|---|
| per-security risk row | enabled, restricted, lastPrice, lastPriceTime | + contractMultiplier |
| snapshot security record (T_SECURITY) | 5 columns | 6 columns (format 3) |
| snapshot header format | 2 | 3; format ≠ 3 fails closed |
| restore validation | inherited | + multiplier < 1 fails closed |
Order rows, position rows, book records, symbol records, idempotency records: unchanged.
SBE delta (vs YU12 schema)
SymbolRegisterMessage ticker field widens char[16] → char[32] (blockLength 24 → 40) so
unpadded OCC symbols (~19 chars) register; template id and message semantics are unchanged.