Skip to main content

ADR-060: A Treasury's book grid is one Px tick, derived from the committed ticker

Status: Accepted

Context​

The YU13 crossing book prices levels on a fixed grid; BOOK_TICK_PX = 1_000, the exact 3-decimal granularity every edge historically rounded to; and rejects off-grid limit prices (limitPx % tickTicks == 0 is a placement precondition). A bond price stored as a fraction of par (ADR-057) needs six decimals: 0.998860 is 998,860 Px ticks, which is not a multiple of 1,000. Under the decided convention, every bond order was rejected by the book before matching; discovered when the first end-to-end bond cross produced no position. The plan's premise that the deterministic core needed no change did not survive contact with the book's grid; among the alternatives (re-quantizing bond prices to 0.1% of par, or redefining quantity as $100-face units with percent prices and unit/face conversions at two trust boundaries), the smallest honest change is in the core.

Decision​

Per-security book-grid derivation, exactly the ADR-052 contract-multiplier pattern: at symbol registration and at T_SYMBOL snapshot restore, the service derives ticker.startsWith("UST-") ? 1 : 0 and installs it on the engine (MatchingEngine.overrideBookTickPx); book creation uses the per-security grid when one is set, the global grid otherwise. The value is a pure function of the committed ticker, stored nowhere; SNAPSHOT_FORMAT stays 4, no record changes shape, and T_SYMBOL restores ahead of T_BOOK, so a restored member rebuilds a bond book on the identical grid it was cut on.

Grid 1 admits the full six-decimal fraction (no bond price is ever off-grid), and the band at that grid still spans ±6.5 points of par around the anchor; six times the widest configured Treasury walk (±1.0 for the 30Y).

Consequences​

  • The deterministic core changes by exactly one derived function consulted on the cold book-creation path. The apply hot path is untouched: noGcTest and all three allocation gates stay green, and the added lookup sits inside the book-creation branch that runs once per security.
  • Roll order matters, once: old and new code behave identically for every input that does not reference a UST- symbol, and no such symbol exists on a standing rig until this state seeds one; so the image rolls member by member with PVCs and epoch intact, and Treasury securities are registered only after all members run the new image. A UST order landing inside the mixed window would diverge members; the bring-up seeds fixtures after the roll, which makes the window benign by construction.
  • Replay and restore identity are proven in-suite: a member restored from a snapshot holding a bond book re-derives the grid and renders a byte-identical cut.
  • The single-BLP tier's LmaxEngine path installs no derivation (nothing registers UST- tickers with the legacy engine), so that tier's behavior is byte-identical; bonds are a cluster-tier feature in this state.