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ADR-052: OCC symbol as instrument identity; multiplier is the only new cluster state

Status​

Accepted (YU14-listed-equity-options)

Context​

Listed options must trade on the inherited crossing book, and the risk gate must know each contract's multiplier. The cluster's consensus log and snapshot are the system's most expensive surfaces: everything in them must be deterministic, replicated, snapshotted, and carried by every future state. Option contracts carry five descriptive attributes (underlying, strike, expiry, call/put, multiplier), a counterparty join lives on the account, and a currency lives on the instrument; but the matching engine consumes none of them, and the risk gate consumes exactly one: the multiplier.

Decision​

An option contract's security ticker IS its unpadded OCC symbol: <root><yymmdd><C|P><8-digit strike x 1000>, e.g. AAPL260918C00240000. A ticker whose fixed-width 15-character tail parses as expiry + call/put + strike, with a non-empty leading root, is an option; anything else is not.

The contract multiplier is derived from the committed ticker inside MatchingEngineClusteredService.onSymbolRegister; a pure function evaluated identically on every member and replay; and installed in BlpRiskState beside the security's control row. It is the only option attribute that enters cluster state, and it rides the format-3 snapshot's security record with fail-closed restore (multiplier < 1 aborts recovery).

Underlying, strike, expiry, and call/put are never stored: they are re-derivable from the identifier at the reference-data layer. No message schema gains an option field; the only wire change is widening the SBE ticker field 16 → 32 bytes so OCC symbols fit.

Consequences​

  • One registration path, one identifier namespace, zero gateway changes: /seed and order entry handle option tickers as ordinary strings.
  • The consensus log and snapshot grow by one long per security; not five attributes; and the hot decision path gains one dense-array read.
  • The multiplier survives restarts on its own snapshot column rather than by re-derivation, so recovery does not depend on the parser's version.
  • Instruments whose real-world multiplier differs from 100 (non-standard deliverables after corporate actions) are outside the registered symbology: they would need an explicit multiplier source before such a contract could be listed here.