YU14-listed-equity-options architecture
Listed equity options trade on the inherited crossing limit-order book as ordinary securities: an option contract is its unpadded OCC symbol with a two-sided book, so registration, quoting, crossing, partial fills, and cancels reuse every YU13 path unchanged. Symbol registration derives the contract multiplier (100 for OCC option symbols, 1 otherwise) deterministically from the committed ticker and installs it in the risk state; every notional the risk gate computes multiplies by it, and the format-3 snapshot carries it per security with fail-closed restore. Underlying, strike, expiry, call/put, counterparty, and currency stay out of the consensus log: they are reference data, derived from the identifier or joined by accountId at extract time.
- Inherits architectural baseline from:
YU13-limit-order-book - Generated from:
system/architecture.model.json - Canonical flows:
architecture.md
Architecture Diagram
Node Catalog
| Node | Kind | Label | Notes |
|---|---|---|---|
counterparty | external | FIX + REST counterparties | Two-sided order flow in equities and listed options; option orders name the contract by its unpadded OCC symbol. |
gateway | service | FIX/REST gateway tier | Inherited unchanged: terminates sessions, screens admission, forwards through the cluster client. /seed registers option chains exactly as equity tickers; the SBE ticker field is 32 bytes so OCC symbols fit. |
cluster_client | service | Aeron Cluster client | Forwards SBE ingress (including OCC-symbol registrations) to the current leader and receives committed egress acks. |
consensus | service | Aeron Cluster consensus (leader + followers) | Raft majority replicates one committed input log; the committed SymbolRegister ticker is the sole in-log source of instrument identity. |
registration | service | Symbol registration + OccSymbol | Cold path: assigns the deterministic securityId and derives the contract multiplier as a pure function of the committed ticker; OCC option symbol yields 100, anything else 1; identically on every member and replay. |
risk_gate | service | BlpRiskState (multiplier-aware) | Dense per-security contractMultiplier beside the inherited control rows. Reserve, market-trade, executed-exposure, and concentration math all compute quantity x price x multiplier; overflow rejects ORDER_NOTIONAL. |
matching_engine | service | MatchingEngine + LimitBook (unchanged) | The YU13 crossing book verbatim: an option contract is a securityId with a two-sided book; price-time priority, partial fills, market-cancel, and cancel semantics are instrument-agnostic. |
snapshot_store | store | Cluster snapshots + per-pod log PVC | Format 3: the security record carries the contract multiplier; restore fails closed on multiplier < 1 or a non-3 format. All other records byte-identical to YU13. |
egress | queue | Committed output egress | Inherited unchanged: both-side fills, trades, positions; option fills are ordinary security outputs keyed by OCC ticker. |
reference_data | store | Reference data (instruments + counterparties) | instruments.csv: type/underlying/strike/expiry/callPut/multiplier/currency, every derivable column a pure function of the OCC ticker. counterparties.csv: accountId to counterpartyId/nettingSetId/currency. |
risk_extract | external | Risk-engine positions extract | Joins positions to counterparty by accountId and to instrument attributes by ticker; notional is derived as quantity x last price x multiplier; agreeing with in-cluster accounting by construction. |
nats | queue | NATS + CQRS read model | Inherited distribution: /trades bridge, trade-processor, MariaDB, position/blotter feeds; option rows flow as ordinary securities. |