Skip to main content

Messaging Subject Map: YU17-otc-rates

Every inherited NATS subject is carried forward with its existing contract, including the YU16 entries below. YU17 adds no subject, removes none and renames none (NFR-OTC06). A swap booking travels the Aeron cluster ingress, not NATS, and produces no trade, no order-lifecycle transition and no position; so the /trades, /orders and per-account families carry nothing new.

The one observable difference is content, on risk.extract.ready: the announcement gains four fields naming the second artifact.

The Aeron Cluster channels and the gateway FIX endpoint are inherited from YU12 unchanged, with one added commandType and one added egress ack kind on the existing templates.

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)​

EndpointTransportProducer -> ConsumerPayloadScope
gateway FIX portFIX 4.4 / TCP (point-to-point session)FIX initiator <-> fix-gateway acceptorFIX 4.4 messages: A/0/1/2/3/4/5 session-level; D/F/H in; 8/9 outcluster-internal

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

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

EndpointTransportProducer -> ConsumerPayloadScope
cluster ingress UDPAeron Cluster client protocolgateway tier / feed adapter / risk-extract -> leader consensus moduleSBE InputEventMessage ingress commands; SBE RiskExtractMessage (template 8)cluster
cluster egress UDPAeron Cluster client protocolleader -> gateway tier / feed adapter / risk-extractcommitted admission responses, session events, marker ackscluster
consensus/log UDPAeron Cluster consensus protocolleader <-> followerslog replication, votes, heartbeats, commit positionsmember pods
catch-up/snapshot UDPAeron Archive + cluster catch-upserving member -> rejoining membersnapshot retrieval and committed-log replaymember 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, yieldConvention, dayCount, 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.

YU17 change: risk.extract.ready announces two artifacts​

The subject, producer, consumer, delivery and every inherited field are unchanged. The payload gains contractsSchema, contractsUri, contracts (the row count) and contractsSha256. Both artifacts share the existing consensusSequence, sessionDate and cutSha256: one cut, one instant, two files (ADR-064).

YU17 change: risk.extract.cut carries a second section​

The subject and its single-message delivery are unchanged. The cut moves to schema 2 and appends a #contracts section after the position rows; every line above the marker is byte-identical to what schema 1 rendered for the same state. The section is present even when the portfolio holds no swaps, so a consumer can never read an absent section as an empty one.

YU17: the swap path uses no subject at all​

POST /swaps → Aeron cluster ingress (TYPE_SWAP_BOOK, template 1) → egress ack (KIND_SWAP_BOOKED, kind 102). No NATS subject is involved in booking a swap, because a swap produces nothing the read model carries: no trade to bridge, no order lifecycle to publish, no position to project.

YU18 local bundle component​

YU18 adds no messaging subjects. Its CLI consumes completed files explicitly and does not subscribe to risk.extract.ready. The inherited entries above are preserved verbatim as lineage documentation; their historical descriptions are not delivery guarantees made by the bundle CLI.

The optional local .ready.json receipt contains the unchanged risk.extract.ready payload and precedes the notification. The bridge consumes receipt files, not the NATS subject; missed notifications therefore do not prevent local receipt discovery.

Optional GCS staging adds no messaging subject. It accepts a locally captured completion event or explicitly selected archive URI. Archive mode never emits a ready receipt from object presence alone.