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Implementation Plan: YU14-listed-equity-options

Goal​

Trade listed equity options on the unchanged crossing limit-order book by treating an option contract as a security identifier (its OCC symbol), and make the risk gate's notional math contract-multiplier-aware. The state is reference-data and notional-math: the matching engine, book structure, gateway, and run harness are inherited from YU13 untouched.

Workstreams​

  1. Instrument identity; OccSymbol: deterministic parser for unpadded OCC option symbols (root + yymmdd + C|P + 8-digit strike), yielding type, underlying, strike, expiry, call/put, and multiplier (100 for options, 1 otherwise). Widen the SBE symbol-registration ticker field 16 → 32 bytes so OCC symbols flow through the unchanged gateway paths.
  2. Multiplier as cluster state; MatchingEngineClusteredService.onSymbolRegister derives the multiplier from the committed ticker and installs it in BlpRiskState; snapshot format 3 carries it in the security record; restore fails closed on multiplier < 1.
  3. Multiplier-aware risk math; BlpRiskState: a dense per-security multiplier array read in decideAndReserve, decideMarketTrade, consume, and the concentration projection; overflow of the multiplied notional rejects ORDER_NOTIONAL.
  4. Reference data; reference-data/instruments.csv (the seeded option chain with derived fields and currency) and reference-data/counterparties.csv (accountId → counterparty ID, netting set, currency); notional documented as the derived field quantity x price x multiplier.
  5. Proof surface; OCC parser tests, multiplied-notional-cap risk tests, format-3 snapshot round-trip and fail-closed tests, an option-cross smoke path (seed chain → one cross books), the inherited suite, allocation gates, and a short no-regression bench.

Key decisions​

  • The consensus log carries only what matching and risk need: the multiplier (via the committed registration's ticker); not strike, expiry, call/put, counterparty, or currency (ADR-052).
  • Multiplier derivation happens once, at registration, in-cluster from the committed ticker; no message-schema field, no gateway change, no second registration path (ADR-052).
  • Notional math multiplies inside the existing overflow-checked path; concentration applies the multiplier on the projected-quantity side, bounded by construction (ADR-053).
  • Counterparty, netting set, and currency are extract-time reference data keyed by accountId and instrument; positions join them downstream (ADR-054).

Exit Criteria​

  • All spec-pack success criteria SC-LEO01..06 hold with recorded evidence in generation/implementation-status.md.
  • bash pipeline/generate-state.sh YU14-listed-equity-options exits 0 and the generated tree carries every ancestor marker on shared files.
  • A seeded option chain crosses on a live kind cluster; the multiplied notional cap is observed firing through the REST path.