Skip to main content

ADR-054: Counterparty, currency, and derived notional are extract-time reference data

Status​

Accepted (YU14-listed-equity-options)

Context​

The downstream risk extract needs three fields the engine never consumes: a counterparty identifier (with netting-set grouping) per account, a currency per instrument, and a notional per position. Placing them in cluster state would put replication, snapshot, and determinism cost on attributes no in-cluster decision reads.

Decision​

They are reference data in this pack, joined downstream:

  • reference-data/counterparties.csv maps accountId → counterpartyId, nettingSetId, currency. Positions join it by accountId at extract time.
  • reference-data/instruments.csv materializes the instrument view (type, underlying, strike, expiry, call/put, multiplier, currency) for the seeded universe; every derivable column is a pure function of the ticker, and currency is USD across the traded universe.
  • Notional is a derived field, never stored: position quantity x last price x contract multiplier. Because in-cluster reservations and executed exposure are stored already-multiplied, the extract's derivation and the engine's accounting agree by construction.

Consequences​

  • The consensus log and snapshot stay instrument-agnostic beyond the multiplier (ADR-052).
  • The extract joins flat files by key; no cluster round-trip, no new endpoint, no coupling of extract cadence to engine load.
  • Counterparty/netting attributes can change (a re-papered CSA) by editing reference data, with no cluster migration.