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Messaging Subject Map: YU15-eod-risk-extract

Every inherited NATS subject is carried forward with its existing contract. YU14 changed the instrument model and risk-gate notional math inside the cluster service, not the messaging surface: no subject is added, removed, or re-shaped. The one observable difference is content; option contracts appear on the inherited subjects as ordinary securities whose ticker is the unpadded OCC symbol (e.g. AAPL260918C00240000 in /trades payload security fields and the per-account trade/position subjects). The YU13 volume note carries forward: a crossing books a trade on BOTH sides of every match, two /trades messages per cross, dedup unchanged.

The Aeron Cluster channels and the gateway FIX endpoint are inherited from YU12 unchanged.

Subject Families​

  • /trades

    • producer: trade-service (legacy REST path); YU12 adds the Aeron Cluster leader's trade-egress bridge (TradeNatsPublisher) as the primary producer; every booked trade (KIND_TRADE_BOOKED on the deterministic apply stream) is published here so the cluster's fills reach trade-processor → the SQL DB → the /accounts/*/trades + /positions UI feeds. Not the gateway egress (best-effort, submitting-session-only). Leader-only (no follower dupes); at-least-once, keyed by tradeSeq+side so trade-processor (Trade JPA id) dedups. Enabled by TRADE_BRIDGE_NATS_URL. See ADR-048.
    • consumer: trade-processor
    • delivery: point-to-point
    • wildcard: no
    • scope: global
    • payload: NatsEnvelope<TradeOrder> (type must equal TradeOrder); payload = {id, state, security, quantity, price, accountId, side} with stamped execution price

  • /accounts/<accountId>/trades

    • producer: trade-processor
    • consumer: frontend trade blotter stream, tick-store capture
    • delivery: broadcast
    • wildcard: no (consumed with wildcard /accounts/*/trades)
    • scope: per-account
    • payload: processed trade (includes price)

  • /accounts/<accountId>/positions

    • producer: trade-processor
    • consumer: frontend position blotter stream
    • delivery: broadcast
    • wildcard: no
    • scope: per-account
    • payload: position snapshot (includes averageCostBasis)

  • pricing.<TICKER>

    • producer: price-publisher
    • consumer: frontend valuation streams, trade-processor's EOD closing-price source, tick-store capture, YU12 feed adapter (new; sequences conflated ticks as cluster ingress)
    • delivery: broadcast
    • wildcard: yes (pricing.*)
    • scope: per-ticker
    • payload: market tick (price, openPrice, closePrice, asOf, source)

  • /accounts/<accountId>/orders

    • producer: order-matcher
    • consumer: frontend account order blotter stream, execution-algo-engine fill tracking (subscribes to NATS's catch-all > and filters client-side by subject prefix/suffix, since the literal /-separated subject has no .-token position for a real NATS wildcard)
    • delivery: broadcast
    • wildcard: no (no NATS-native wildcard is possible on this subject shape at all)
    • scope: per-account
    • payload: NatsEnvelope wrapping an order lifecycle event (orderId, status, remainingQuantity, limitPrice, lastExecutionPrice) under payload

  • /orders

    • producer: order-matcher
    • consumer: frontend admin order blotter stream
    • delivery: broadcast
    • wildcard: no
    • scope: global
    • payload: order lifecycle event (orderId, accountId, status, remainingQuantity, limitPrice)

  • eod.prices.ready (JetStream, stream TRADERX_EOD)

    • producer: trade-processor
    • consumer: position-service (durable consumer eod-pnl)
    • delivery: durable point-to-point (JetStream file storage; redelivered until acked)
    • wildcard: no
    • scope: global
    • payload: gate event (sessionDate, version, instrumentCount, publishedAtMillis)

  • eod.pnl.done (JetStream, stream TRADERX_EOD)

    • producer: position-service
    • consumer: none within this state
    • delivery: durable broadcast (JetStream file storage)
    • wildcard: no
    • scope: global
    • payload: completion event (sessionDate, version, accountsMarked, accountsHalted, completedAtMillis)

  • algo.events.> (JetStream, stream TRADERX_ALGO_ENGINE)

    • producer: execution-algo-engine
    • consumer: execution-algo-engine (durable consumer algo-engine-state, itself; no other subscriber in this state)
    • delivery: durable point-to-point (JetStream file storage; explicit ack after applying to in-memory state, so a crash between append and ack redelivers)
    • wildcard: yes (subject per event carries algo.events.<parentOrderId>)
    • scope: global
    • payload: parent-order lifecycle event (type, parentOrderId, plus type-specific fields)

FIX session endpoint (non-NATS)​

EndpointTransportProducer -> ConsumerPayloadScope
gateway FIX portFIX 4.4 / TCP (point-to-point session)FIX initiator <-> fix-gateway acceptorFIX 4.4 messages: A/0/1/2/3/4/5 session-level; D/F/H in; 8/9 outcluster-internal

The acceptor terminates on the gateway tier; the session survives BLP leader changes.

YU12 addition: Aeron Cluster channels (non-NATS)​

EndpointTransportProducer -> ConsumerPayloadScope
cluster ingress UDPAeron Cluster client protocolgateway tier / feed adapter -> leader consensus moduleSBE InputEventMessage ingress commandscluster
cluster egress UDPAeron Cluster client protocolleader -> gateway tier / feed adaptercommitted admission responses and session eventscluster
consensus/log UDPAeron Cluster consensus protocolleader <-> followerslog replication, votes, heartbeats, commit positionsmember pods
catch-up/snapshot UDPAeron Archive + cluster catch-upserving member -> rejoining membersnapshot retrieval and committed-log replaymember pods

The parent state's removed surfaces; $KV.TRADERX_BLP_FAST_WITNESS.> and the peer data/ACK/control replication channels; have no successor here; their roles are internal to the consensus protocol.

YU15 change: pricing.<TICKER> carries listed option contracts​

The subject, payload shape, producer and consumers are unchanged; the universe is wider. An option contract is quoted under its unpadded OCC symbol (pricing.AAPL260918C00240000) exactly as an equity is under its ticker, with source reading black-scholes for a derived contract. The binary companion subject pricing-tick-bin.<TICKER> carries the same contracts.

Without this, options are MISSING in every EOD snapshot and YU06's fail-safe halts any account holding one, so no account with an option position is ever marked.

YU15 addition: EOD risk-extract subjects​

  • eod.pnl.done (JetStream, stream TRADERX_EOD); now consumed

    • producer: position-service (inherited from YU06, unchanged)
    • consumer: risk-extract (durable consumer risk-extract)
    • delivery: durable point-to-point (JetStream file storage; redelivered until acked)
    • wildcard: no
    • scope: global
    • payload: unchanged YU06 completion event (sessionDate, version, accountsMarked, accountsHalted, completedAtMillis)
    • note: the producer ensures the stream idempotently, exactly as position-service does at its end, so neither side has to start first.

  • risk.extract.cut

    • producer: order-matcher-cluster leader only
    • consumer: risk-extract
    • delivery: broadcast (core NATS; one message per extract)
    • wildcard: no
    • scope: global
    • payload: the canonical position cut as US-ASCII text; a #cut header carrying schema, seq, sessionDateEpochDay, priceVersion, rows, then one row per (accountId, security) with quantity, average cost ticks, contract multiplier, and last trade price ticks. The rows count makes a truncated delivery detectable.

  • risk.extract.ready

    • producer: risk-extract
    • consumer: the external pricing/risk engine
    • delivery: broadcast
    • wildcard: no
    • scope: global
    • payload: delivery record; schema, uri, consensusSequence, sessionDate, priceSnapshotVersion, rows, sha256, cutSha256, quiesceWitnessSequence

The risk. prefix is deliberately a family rather than a single subject: an inbound results path (risk.analytics.*, computed metrics returning for a UI or dashboard surface) slots alongside risk.extract.* without renaming anything that exists here.

YU15 addition: cluster ingress template​

EndpointTransportProducer -> ConsumerPayloadScope
cluster ingress UDPAeron Cluster client protocolrisk-extract -> leader consensus moduleSBE RiskExtractMessage (template 8): request id, session date, closing-price versioncluster
cluster egress UDPAeron Cluster client protocolleader -> risk-extractmarker ack carrying the consensus sequence it landed at and the cut's row countcluster