Skip to main content

Sample EOD risk extract

A real extract, taken from a live run; not hand-written. It is here so the delivered contract can be read, loaded against, and verified without standing a cluster up.

FileWhat
risk-extract.csvThe fixture as delivered: # metadata preamble, then one un-netted row per (accountId, security)
risk-extract.cutThe position cut it was built from; the leader's render at consensus sequence 1544719

Taken at sessionDate=2026-07-22, priceSnapshotVersion=8, consensusSequence=1544719, 18 rows. Delivered as seq-1544719.csv alongside seq-1544719.cut.

It verifies itself​

The fixture's preamble records the SHA-256 of the cut it was built from, so the pair can be checked with nothing but a hash:

grep '^# cutSha256=' risk-extract.csv          # 9ceeed3652486b71c919ed532e06f01a81a468dd2d23dc122bfcf30b56e3274d
sha256sum risk-extract.cut                     # ...the same value

And the fixture is a pure function of that cut, so it rebuilds byte-identically from it with no cluster involved (FR-RXT10):

java -cp '/opt/app/classes:/opt/app/lib/*' \
  finos.traderx.ordermatcher.cluster.RiskExtractMain --rebuild risk-extract.cut /tmp/rebuild.csv
cmp risk-extract.csv /tmp/rebuild.csv

Loading it​

The preamble is #-prefixed, so every mainstream CSV reader skips it with one argument:

import pandas as pd
df = pd.read_csv("risk-extract.csv", comment="#")

Read the preamble separately for the stamp and the conventions; it states the market-value and cost-basis formulas, the netting position, and what each markSource means, so a tie-out discrepancy starts from a written convention rather than a guess.

What to notice​

  • Every row is markSource=EOD_SNAPSHOT, markQuality=OK; equities and options alike are marked from the same published closing-price version.
  • Rows are un-netted. Accounts 22214 and 42422 hold the two sides of the same crosses and both appear in full; counterpartyId and nettingSetId are attributes, never an applied aggregation.
  • marketValue is multiplier-aware. 22214,AAPL260918C00240000 is 10 contracts × $10.025 × 100 = $10,025; not $100.25. It equals eod_position_pnl.market_value for the same row exactly.
  • Flat positions are emitted, not dropped (AAPL261218C00240000, quantity 0), so a consumer sees the whole (account, security) universe rather than only what happens to be non-zero.
  • Prices are exact decimals at scale 6 throughout, carried from integer ticks; no float rounding can differ between runs or architectures.
  • Every row is state at one consensus sequence, so this is a portfolio the firm genuinely held simultaneously, which is what makes a VaR computed from it meaningful.