Skip to main content

Tasks: YU15-eod-risk-extract

  • T-RXT01; Scaffold the state: spec pack, pipeline hook/render pair, catalog entry, runtime-harness + CI-assets registration, runtime wrapper scripts. The render script also renders the reference data into order-matcher resources so the producer reads it from the image.
  • T-RXT02; SBE RiskExtractMessage (template 8) plus codec encode/decode, mirroring the symbol-registration precedent; the marker carries only the extract's stamp.
  • T-RXT03; RiskExtractCut: canonical cut rendering; explicit (accountId, securityId) sort, fixed columns, integer ticks, no clock; and its SHA-256.
  • T-RXT04; Marker branch in MatchingEngineClusteredService: routed by template id ahead of the order-flow branch, advances the consensus position, renders and hashes on every member, stamps the hash to stdout, leader-only publish.
  • T-RXT05; RiskExtractCutPublisher: leader-side SPSC queue plus daemon thread on the ADR-048 shape, so the apply thread never blocks on NATS.
  • T-RXT06; RiskExtractCsv: the fixture as a pure function of the cut, published marks, and counterparty reference data; multiplier-aware exact decimal valuation; conventions in the preamble; fail-closed on an unmarkable row, an unmapped account, a truncated cut, and a cut from the wrong sequence.
  • T-RXT07; Readiness reports the consensus-log position rather than the engine's blpSeq, so a member restored from a snapshot into an idle cluster rejoins the Service. Found by this state's own proof; an EOD window is exactly when the cluster is idle.
  • T-RXT08; RiskExtractMain: durable trigger on eod.pnl.done, fresh cluster session per batch, marker → cut → join → witness marker → write-once delivery → announcement, plus the --rebuild path that reconstructs a fixture from a stored cut alone.
  • T-RXT09; RiskExtractGcsSink: immutable object delivery over the S3-over-GCS transport YU09's journal archiver established, with server-side write-once.
  • T-RXT10; kind tier: NATS with JetStream, a database holding the two YU06 price tables, the producer Deployment, and the NetworkPolicy allowlist entry without which the producer cannot reach the members.
  • T-RXT11; Unit proofs: cut identity across a snapshot-restored member, fixture byte-identity across rebuilds and across members, marker mutates nothing and advances by exactly one, mark sourcing, multiplier-aware valuation, un-netted counterparty attributes, and every fail-closed path.
  • T-RXT12; Live acceptance proof scripts/proofs/yu15-risk-extract.sh: trigger, cross-member hash agreement, quiescence witness, byte-identical rebuild, immutable object, and a deleted member replaying to the stamped sequence and re-rendering the identical cut.
  • T-RXT13; Widen every instrument-identifier column to VARCHAR(32) in both the fresh-volume and migrations blocks, with explicit ALTER TABLE ... MODIFY COLUMN statements; the migrations block's CREATE TABLE IF NOT EXISTS cannot widen a table that already exists, the same reason YU05's settlementdate needed an explicit ADD COLUMN. The JPA entities already declared @Column(length = 50), so only the schema was ever the constraint.
  • T-RXT14; Prove it on the real chain: scripts/proofs/yu15-option-persistence.sh narrows the columns back to an older state's widths, shows the option fill rejected with Data too long while the cluster books it regardless, applies the shipped migration to the populated volume, and shows the next cross persisting with the symbol intact.
  • T-RXT17; Quote the listed option chain in price-publisher: OCC parsing and Black-Scholes at a flat implied vol in src/option-quotes.js, derived from the underlying's tick on every publish (never walked independently), with the model inputs reported on /health and eleven node:test cases covering parsing, put-call parity, intrinsic floors, and monotonicity.
  • T-RXT18; Instrument-aware spike threshold in EodQualityChecker, so an option's ordinary day-over-day move does not flag and block publication of the whole session. Staleness and missing checks unchanged.
  • T-RXT19; Multiplier-aware market value in EodPnlConsumer, so an option row in eod_position_pnl states its real exposure and agrees with the extract exactly.
  • T-RXT20; Align the feed's bootstrap spots for AAPL/MSFT with the strikes the seeded chain and instruments.csv were designed around, so the listed contracts are not all deep out of the money the moment they are quoted.
  • T-RXT21; Rewrite the acceptance proof to drive the real chain end to end: session close → published prices → P&L → eod.pnl.done → extract. Nothing hand-seeded, nothing hand-published.
  • T-RXT15; Full regression: test, noGcTest, riskNoGcTest, all four allocation gates.
  • T-RXT16; generation/implementation-status.md written with verification evidence; state docs synced.