Data Model: CDM Instruments

Instrument record (served by reference-data)

Flat record; the CDM Asset → Instrument → Security choice tree is taxonomy documentation, not a runtime discriminated union.

Field	Type	Notes
instrumentKey	string	The transactional key everywhere; engine symbol, DB Security columns, subjects. Equities/funds: the ticker. Treasuries: UST-<yyyymmdd> maturity-keyed. No surrogate ids.
displayName	string	Human name on the CDM view. The same attribute travels as companyName on /stocks and both control snapshots (TD-CDM01).
shortDisplayName	string?	Treasuries only (UST 2Y … UST 30Y).
assetClass	Stock | ETF | US_TREASURY	Coarse display/filter classification.
currency	string	USD throughout this state.
securityType	SecurityTypeEnum	Equity, Fund or Debt here.
equityType	EquityType?	Present iff securityType = Equity. Wrapping type: { equityType: EquityTypeEnum, depositaryReceipt?: DepositaryReceiptTypeEnum }.
fundType	FundProductTypeEnum?	Present iff securityType = Fund. Enum directly; the CDM asymmetry is preserved.
debtEconomics	DebtEconomics?	Present iff securityType = Debt.
matured	boolean	Treasuries: maturityDate ≤ now (UTC midnight, inclusive; honors TRADERX_FIXED_UTC_INSTANT). Always false for equities/funds.
observedAt	ISO instant	When the record was assembled.
identifiers	AssetIdentifier[]	Min 1. See identifier rules below.

CDM enums (literals quoted from finos/common-domain-model rosetta source): AssetIdTypeEnum: BBGID, BBGTICKER, CUSIP, FIGI, ISDACRP, ISIN, Name, REDID, RIC, Other, Sicovam, SEDOL, UPI, Valoren, Wertpapier, CurrencyCode, ExchangeCode, ClearingCode. SecurityTypeEnum: Debt, Equity, Fund, Warrant, Certificate. EquityTypeEnum: Ordinary, NonConvertiblePreference, DepositaryReceipt, ConvertiblePreference. DepositaryReceiptTypeEnum: ADR, GDR, IDR, EDR. FundProductTypeEnum: MoneyMarketFund, ExchangeTradedFund, MutualFund, OtherFund. There is no TICKER member; Bloomberg ticker symbology is BBGTICKER.

Identifier rules (asserted at seed load; violation throws):

• Equity/Fund: BBGTICKER equal to instrumentKey, plus FIGI where baked; a row with no resolvable FIGI keeps BBGTICKER only and logs a warning.
• Debt: FIGI plus Other equal to instrumentKey; a Debt record claiming BBGTICKER throws.
• Exactly one sub-type discriminator, agreeing with securityType.

Seed classification map (OpenFIGI securityType → CDM): Common Stock → Equity/Ordinary; REIT → Equity/Ordinary (logged); ETP → Fund/ExchangeTradedFund; ADR → Equity/DepositaryReceipt/ADR; Preference → Equity/NonConvertiblePreference; unknown → default Equity/Ordinary with a warning, never silently dropped. Classification keys off securityType, not securityType2 (which reports "Mutual Fund" for SPY).

DebtEconomics

Field	Type	Notes
debtType	US_TREASURY_NOTE | US_TREASURY_BOND
issuer	string	United States Department of the Treasury
fixedInterest	object	{ rateType: 'Fixed', couponRatePercent, couponFrequency: 'Semiannual' }
principalRepayment	object	{ style: 'Bullet', parAmount: 100 }
issueDate, maturityDate	ISO date
originalTermYears	2 | 5 | 10 | 20 | 30
priceProvenance	object	{ sourceType: 'US_TREASURY_AUCTION_RESULT', sourceUrl, officialCleanPrice, runtimeSeedCleanPrice, simulated: true }; clean prices in provenance are quoted percent-of-par, as the auction PDFs state them; everything the runtime stores is fraction of par.

Seed universe additions

Five ETFs (Fund / ExchangeTradedFund):

instrumentKey	displayName	FIGI
SPY	SPDR S&P 500 ETF Trust	BBG000BDTBL9
QQQ	Invesco QQQ Trust	BBG000BSWKH7
IWM	iShares Russell 2000 ETF	BBG000CGC9C4
VTI	Vanguard Total Stock Market ETF	BBG000HR9779
GLD	SPDR Gold Shares	BBG000CRF6Q8

Five Treasuries (Debt; quoted clean % of par from the TreasuryDirect auction results, and the fraction the runtime stores):

instrumentKey	short	coupon %	maturity	term	quoted clean %	stored fraction	FIGI
UST-20280630	UST 2Y	4.125	2028-06-30	2	99.878	0.998780	BBG022ZR1Z79
UST-20310630	UST 5Y	4.125	2031-06-30	5	99.665	0.996650	BBG022ZR1Z51
UST-20360515	UST 10Y	4.375	2036-05-15	10	99.257	0.992570	BBG0221YLR31
UST-20460515	UST 20Y	5.000	2046-05-15	20	98.481	0.984810	BBG0226BZH97
UST-20560515	UST 30Y	5.000	2056-05-15	30	99.293	0.992930	BBG0221YLR40

Issue dates: 2026-06-30, 2026-06-30, 2026-05-15, 2026-06-01, 2026-05-15 respectively. Official (unrounded) auction prices are carried in priceProvenance.officialCleanPrice (99.878432 / 99.664909 / 99.256552 / 98.481099 / 99.292811).

Price representation; the fraction-of-par convention

Surface	Representation	Example (UST-20280630)
TreasuryDirect auction PDF / provenance	percent of par	99.878
price-publisher walk state + payload cleanPrice/price	fraction of par, 6 dp	0.998780
binary tick (pricing-tick-bin.*) and engine ticks	round(fraction × 1e6)	998,780
SQL Trades.Price, Positions.AverageCostBasis	fraction of par, DECIMAL(18,6)	0.998780
extract costBasis/closingMark	fraction of par, 6 dp	0.998780
UI display	fraction × 100, % sign, no $	99.878%

Contract multiplier for a Treasury is 1; notional is face × fraction-ticks × 1 through the unchanged risk gate. Valuation identities: costValue = face × avgFraction, marketValue = face × currentFraction, pnl = marketValue − costValue. Face-weighted average on a buy: (oldAvg × oldFace + price × buyFace) ÷ newFace; a sell preserves the average; a flat position resets it to zero.

Treasury pricing model (price-publisher)

Term profiles (per-step ceiling and total band, in percent-of-par space; the walk runs in percent space and converts to fraction at emission):

term	maxStep	maxDistance
2	0.005	0.15
5	0.010	0.30
10	0.020	0.50
20	0.035	0.75
30	0.050	1.00

Step: change = maxStep × (0.8 × sharedRoll + 0.2 × localRoll) + 0.02 × (seed − current), then clamp to seed ± maxDistance, round to 3 dp in percent space (= 5 dp in fraction space, inside the 6-dp budget). One shared roll per publish batch correlates the curve; the local roll breaks lockstep. Approximate YTM (percent space, per 100 par): ((coupon + (100 − clean)/years) / ((100 + clean)/2)) × 100, years = (maturity − quote) / 365.25d, null at or after maturity.

SQL schema delta (MariaDB database-init-configmap.yaml, this state's layer)

• Trades: state check gains 'Rejected'; + RejectionReason VARCHAR(255), + SourceOrderId VARCHAR(50); Price widens DECIMAL(18,3) → DECIMAL(18,6).
• Positions: AverageCostBasis widens DECIMAL(18,3) → DECIMAL(18,6).
• Seeds: account 17017 ("U.S. Treasury Trading Account"), users user02/user08/user10, five settled trades SEED-17017-<maturity> and five positions at face 100,000; prices stored as fractions (0.998780 …), never percentages.
• No new tables. No OrderBook Pending* columns (dropped machinery). Security columns already hold OCC-width strings (YU15 FR-RXT16), which covers UST-<yyyymmdd> at 12 chars.

Extract fixture (schema 3)

Header comment gains the bond and accrual conventions; column list becomes:

accountId,security,instrumentType,quantity,contractMultiplier,costBasis,closingMark,markSource,
markQuality,marketValue,unrealizedPnl,currency,counterpartyId,nettingSetId,coupon,maturityDate,
lastCouponDate,accruedInterestFraction

• instrumentType: EQUITY | OPTION | TREASURY; options by OCC shape as before; TREASURY by join against the instrument static (never by prefix-parsing inside the cut).
• coupon, maturityDate (schema 2): populated for Treasury rows from the joined static; empty for equities and options.
• lastCouponDate, accruedInterestFraction (schema 3, ADR-061): Treasury rows only, derived from the joined static plus sessionDate rather than joined; the static is unchanged by this bump. Schedule is generated backwards from maturityDate in 6-month steps measured from the maturity anchor (so no issue date is needed, and no short/long first coupon is modelled); day count is ACT/ACT (ICMA); accrual runs to sessionDate, not to a settlement date.
• Bond costBasis/closingMark/marketValue are fractions of par at 6 dp; quantity is face. accruedInterestFraction is in that same unit, so closingMark + accruedInterestFraction is the dirty price. marketValue/unrealizedPnl remain clean.
• accruedInterestFraction is the only value in the fixture that rounds (HALF_EVEN at 6 dp); elapsed/period does not terminate, so the exact-or-abort rule cannot cover it. Deterministic, so byte-identical-across-members is unaffected.
• The .cut sidecar is unchanged at #cut schema=1; the cut is engine state and the engine did not change; only the rendered CSV (a join product) bumps.

Instrument static (reference-data/instruments.csv, rendered into order-matcher resources)

Base columns unchanged from YU15; gains securityType, figi, couponRatePercent, maturityDate so the extract join can classify and decorate without a service call. Rows added for the five ETFs and five Treasuries.

Read, not written

• The engine's snapshot records: format 4, untouched; no instrument-type field exists or is added (instrumentType stays derived/joined downstream).
• The control-feed delta payload: {ticker, companyName}; Treasuries flow through it unchanged in shape.
• counterparties.csv: inherited from YU15 verbatim.