Data Model: YU17-otc-rates
Everything inherited from YU16-cdm-instruments is unchanged. This state adds two command types,
one replicated store, one snapshot record, one cut section and one artifact.
1. The booking command; TYPE_SWAP_BOOK (12)
Rides the inherited InputEventMessage (SBE template 1) on the unchanged 64-byte record.
AeronReplicationCodec copies commandType through without interpreting it.
| Field | Slot | Type | Meaning |
|---|---|---|---|
| booking account | accountId | int | unchanged |
| direction | side | byte | 0 = receive fixed, 1 = pay fixed |
| notional | qty | int | whole currency units, 1..2147483647 |
| fixed rate | limitPx | long | annual decimal fraction × 1e6 (0.042 → 42000) |
| idempotency key | priceTicks | long | clientOrderKey; 0 = no key |
| conventions | securityId | int | index into the convention table, NOT a symbol id |
| effective date | orderRef bits 0-15 | uint16 | epoch day |
| maturity date | orderRef bits 16-31 | uint16 | epoch day |
Epoch day 65535 is 2149-06-06. The gateway refuses a date outside that range before sequencing;
InputEvent.setSwapDates masks, so an out-of-range day would otherwise wrap into a plausible date.
1b. The swaption command; TYPE_SWAPTION_BOOK (13)
Every slot above keeps its meaning, because a swaption's underlying IS a swap: fixedRate is the
strike, side is the direction of the underlying's fixed leg (1 = a payer swaption), qty is the
underlying notional. The option wrapper replaces the plain convention index in securityId:
| Field | Slot | Type | Meaning |
|---|---|---|---|
| conventions | securityId bits 0-7 | uint8 | index into the convention table |
| exercise style | securityId bits 8-15 | uint8 | index into the exercise-style table |
| expiry date | securityId bits 16-31 | uint16 | epoch day, refused past 2149-06-06 |
A swap sets only the low byte, so both products read the convention index the same way and no
branch is needed. Expiry 0 is therefore what a swap carries; which is exactly why the product is
the command type and never "is the expiry set".
2. The convention table
Compiled into the binary, addressed by index, stored nowhere. Append only: an index that has been journaled keeps its meaning permanently.
| Index | Name | Float index | Frequency | Day count | Currency |
|---|---|---|---|---|---|
| 0 | USD-SOFR-1Y-ACT360 | USD-SOFR | 1Y | ACT/360 | USD |
| 1 | USD-SOFR-3M-ACT360 | USD-SOFR | 3M | ACT/360 | USD |
| 2 | EUR-ESTR-1Y-ACT360 | EUR-ESTR | 1Y | ACT/360 | EUR |
| 3 | GBP-SONIA-1Y-ACT365F | GBP-SONIA | 1Y | ACT/365F | GBP |
| 4 | JPY-TONA-1Y-ACT365F | JPY-TONA | 1Y | ACT/365F | JPY |
An index outside the table aborts the render, naming the index and the range this build knows.
Exercise style
The second index-addressed table, under the same append-only rule.
| Index | Style |
|---|---|
| 0 | EUROPEAN |
| 1 | BERMUDAN |
| 2 | AMERICAN |
A style is a TERM, not lifecycle: no exercise event is modelled, but two swaptions identical in every other column are different instruments if their styles differ.
3. The contract store (replicated state)
Held in MatchingEngineClusteredService, beside the symbol table. Capacity MAX_CONTRACTS = 4096;
at capacity a booking is refused with RiskReason.CAPACITY. Nothing removes a contract.
| Column | Type | Meaning |
|---|---|---|
contractId | long | the consensus sequence the booking landed at |
accountId | long | booking account |
payFixed | long | 0 = receives fixed, 1 = pays fixed |
notional | long | whole currency units |
fixedRateTicks | long | annual decimal fraction × 1e6 |
conventionIndex | long | index into the table above |
effectiveEpochDay | long | of the underlying swap |
maturityEpochDay | long | of the underlying swap |
productType | long | 0 = SWAP, 1 = SWAPTION |
expiryEpochDay | long | 0 for a swap |
exerciseStyle | long | 0 for a swap |
Order is booking order, which is ascending contractId. That order is load-bearing twice: the cut
iterates it, and the idempotency table remembers a contract by its INDEX in this list.
4. Snapshot; T_CONTRACT (12), format 6
One record per contract, written after T_IDEMPOTENCY (which stores the index into this list) and
carrying the eleven columns above as longs, in booking order.
Restore fails closed on a contractId that is not a sequence at or below the restored applied
sequence, and on records out of ascending id order.
Width is read from the FORMAT, not the record. onSnapshotRecord receives a buffer and an
offset and no length, so nothing in the record says how wide it is. A format-5 record carries eight
columns and restores as a SWAP with an empty wrapper; reading it at eleven would take the following
record's bytes as an expiry and a style; a silently wrong contract rather than a failure.
SNAPSHOT_FORMAT = 6; MIN_READABLE_SNAPSHOT_FORMAT = 3, unchanged.
5. The cut; schema 3
#cut schema=3 seq=<N> sessionDateEpochDay=<D> priceVersion=<V> rows=<R> contracts=<C>
accountId,security,quantity,avgCostTicks,contractMultiplier,lastTradePxTicks
… R position rows …
#contracts
contractId,accountId,payFixed,notional,fixedRateTicks,conventionIndex,effectiveEpochDay,maturityEpochDay,productType,expiryEpochDay,exerciseStyle
… C contract rows …
The #contracts section is present even at contracts=0. Position rows are sorted
(accountId, securityId); contract rows are in ascending contractId.
6. The contracts artifact; seq-<N>-contracts.csv, schema 2
Preamble lines carry consensusSequence, sessionDate, priceSnapshotVersion, cutSha256,
contracts, and the conventions that state what the file does and does not contain.
| Column | Source |
|---|---|
contractId | SW-<contractId> for a swap, SWPT-<contractId> for a swaption |
accountId | cut |
payReceive | PAY_FIXED / RECEIVE_FIXED from payFixed |
notional | cut, whole currency units |
fixedRate | cut ticks rendered at six decimals |
floatIndex | convention table |
effectiveDate | cut epoch day as ISO date |
maturityDate | cut epoch day as ISO date |
paymentFrequency | convention table |
dayCount | convention table |
currency | convention table; the CONTRACT's currency, not the account's base currency |
counterpartyId | counterparties.csv by account |
nettingSetId | counterparties.csv by account |
productType | SWAP or SWAPTION |
expiryDate | the swaption's expiry; empty for a swap |
exerciseStyle | EUROPEAN / BERMUDAN / AMERICAN; empty for a swap |
Every column left of productType describes the UNDERLYING swap, which is why a swaption row and a
swap row share them: for a swaption, fixedRate is the strike.
No valuation column exists. No NPV, mark, discount factor, curve, par rate or sensitivity.
7. The netted position extract; schema 3, unchanged
Every column keeps its name, position and meaning. The reader stops at the first #-prefixed line
after the position rows, so the contracts section is never parsed as positions and no swap row can
appear in this file.