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Feature Pack: YU16-cdm-instruments

linux/mac support windows support

Status: In implementation; see generation/implementation-status.md Track: functional Lineage role: optional Previous state: YU15-eod-risk-extract

The FINOS CDM instrument model folded onto this line: reference-data serves CDM-shaped instruments; Equity, Fund and Debt with FIGI identifiers; covering five ETFs and five fixed-rate U.S. Treasuries with real auction provenance, while /stocks and the YU04 durable control feed keep serving unchanged. Bond prices are stored as a fraction of par on every internal surface, so a Treasury's arithmetic is an equity's arithmetic, the contract multiplier stays 1, and the deterministic core does not change: no snapshot field, no format bump, no fresh epoch. The state folds two source packs (016-cdm-generic-instruments, 017-us-treasury-trading) and declares its divergences from them by source id.

Primary intent:

  • CDM securityType + sub-type discriminators + AssetIdentifier lists (BBGTICKER, FIGI, Other) on a flat instrument record, asserted at seed load.
  • Five ETFs (SPY, QQQ, IWM, VTI, GLD) and five Treasuries (UST-20280630 … UST-20560515) tradable through the inherited paths.
  • /stocks retained; /instruments/control-snapshot added over the same store and watermark; the risk bootstrap repointed by configuration (ADR-058).
  • Fraction-of-par bond prices at six-decimal precision, publisher → engine → read model → extract (ADR-057).
  • Treasury pricing: term-profiled correlated walk, solved YTM, maturity handling.
  • Face-weighted average cost and a fail-closed Rejected trade landing in post-trade.
  • Extract schema 2: TREASURY classification, coupon and maturity by join (ADR-059).
  • Extract schema 3: lastCouponDate and accruedInterestFraction by derivation (ADR-061).

Core artifacts:

  • generation/runtime-overrides/reference-data/...; the instruments module beside the retained stocks module
  • generation/runtime-overrides/price-publisher/...; treasury-pricing.js + seeds + hooks
  • generation/runtime-overrides/trade-processor|position-service|trade-service/...; the post-trade merge onto the operative ancestor copies
  • generation/runtime-overrides/order-matcher/...; gateway face validation, application.properties bootstrap repoint, extract join, and the ADR-060 derived bond book grid (the state's one deterministic-core change; nothing stored, format 4 intact)
  • generation/runtime-overrides/kubernetes-runtime/manifests/base/database-init-configmap.yaml; the MariaDB schema at this layer
  • reference-data/instruments.csv; seed + extract-join static
  • system/adr-057 … adr-061, system/architecture.model.json

Target runtime behavior:

  • GET /instruments/UST-20360515 returns Debt with coupon 4.375, maturity 2036-05-15 and its FIGI; GET /stocks still returns 200.
  • A face-100,000 Treasury order at limit 0.998860 books through the unchanged cluster and shows as 99.886% in the blotter.
  • pricing.UST-* carries cleanPrice as a fraction with CLEAN_FRACTION_OF_PAR semantics and a publisher-computed YTM; the binary tick preserves all six decimals.
  • The extract classifies the bond row TREASURY with coupon, maturity, last coupon date and accrued interest as a fraction of par, at schema=3, byte-reproducible as before.
  • The full inherited proof suite stays green on a rig rolled without an epoch change or a PVC wipe.