Messaging Subject Map: YU16-cdm-instruments

Every inherited NATS subject is carried forward with its existing contract. YU16 adds no subject, removes none, and renames none (NFR-CDM06); the observable differences are content: ETF and Treasury instrument keys appear on the inherited subjects as ordinary securities, Treasury pricing.* payloads carry additive bond fields, and the /trades family may carry a Rejected trade. The durable control feed keeps its SECURITY names while the REST routes gained a general /instruments name; recorded as TD-CDM02, deliberately not fixed here.

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
  • note (YU16): Treasury rows carry face in quantity and fraction-of-par in 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)
  • note (YU16): may carry state: Rejected with rejectionReason/sourceOrderId; a rejected trade is never followed by a position message.

• /accounts/<accountId>/positions

  • producer: trade-processor
  • consumer: frontend position blotter stream
  • delivery: broadcast
  • wildcard: no
  • scope: per-account
  • payload: position snapshot (includes averageCostBasis)
  • note (YU16): Treasury rows carry face in quantity and a fraction-of-par average at 6 dp.

• pricing.<TICKER>

  • producer: price-publisher
  • consumer: frontend valuation streams, trade-processor's EOD closing-price source, tick-store capture, YU12 feed adapter (sequences conflated ticks as cluster ingress)
  • delivery: broadcast
  • wildcard: yes (pricing.*)
  • scope: per-ticker
  • payload: market tick (price, openPrice, closePrice, asOf, source)
  • note (YU16): see "YU16 change" below for Treasury payload extension.

• /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: risk-extract (durable consumer risk-extract, inherited from YU15)
  • delivery: durable point-to-point (JetStream file storage; redelivered until acked)
  • 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)

• traderx.control.security.deltas (JetStream, stream TRADERX_CONTROL_SECURITY)

  • producer: reference-data (outbox publisher, inherited from YU04)
  • consumer: order-matcher risk replica bootstrap (ControlFeedSubscriber)
  • delivery: durable broadcast (JetStream file storage)
  • wildcard: no
  • scope: global
  • payload: security delta (ticker, companyName)
  • note (YU16): content only; the ten new instrument keys flow as ordinary rows; the snapshot bootstrap URL defaults to /instruments/control-snapshot at this state's layer. Stream and subject names unchanged (TD-CDM02).

• 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. Unchanged in YU16 (#cut schema=1); the cut is engine state.

• risk.extract.ready

  • producer: risk-extract
  • consumer: the external pricing/risk engine
  • delivery: broadcast
  • wildcard: no
  • scope: global
  • payload: delivery record; schema (2 from this state), uri, consensusSequence, sessionDate, priceSnapshotVersion, rows, sha256, cutSha256, quiesceWitnessSequence

FIX session endpoint (non-NATS)

Endpoint	Transport	Producer -> Consumer	Payload	Scope
gateway FIX port	FIX 4.4 / TCP (point-to-point session)	FIX initiator <-> fix-gateway acceptor	FIX 4.4 messages: A/0/1/2/3/4/5 session-level; D/F/H in; 8/9 out	cluster-internal

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

Aeron Cluster channels (non-NATS, inherited from YU12/YU15)

Endpoint	Transport	Producer -> Consumer	Payload	Scope
cluster ingress UDP	Aeron Cluster client protocol	gateway tier / feed adapter / risk-extract -> leader consensus module	SBE InputEventMessage ingress commands; SBE RiskExtractMessage (template 8)	cluster
cluster egress UDP	Aeron Cluster client protocol	leader -> gateway tier / feed adapter / risk-extract	committed admission responses, session events, marker acks	cluster
consensus/log UDP	Aeron Cluster consensus protocol	leader <-> followers	log replication, votes, heartbeats, commit positions	member pods
catch-up/snapshot UDP	Aeron Archive + cluster catch-up	serving member -> rejoining member	snapshot retrieval and committed-log replay	member pods

YU16 change: pricing.<instrumentKey> carries Treasury payload extensions

The subject, producer, consumers and every inherited field are unchanged; Treasury payloads add assetClass, cleanPrice (fraction of par, equal to price), priceSemantics: "CLEAN_FRACTION_OF_PAR", ytmPercent, quoteTimestamp (= asOf), maturityDate, matured, simulated, officialSeedCleanPrice. The binary companion pricing-tick-bin.<instrumentKey> carries round(fraction × 1e6) for a Treasury; six-decimal precision; the inherited 3-dp rounding remains the equity/option contract. A matured Treasury's payloads are suppressed. UST-* keys contain no ., so each remains one NATS token.