Risk Report

Risk Report

Risk Report Request

The RiskRequest message will provide the client with detailed risk and position information for the requested instrument. For APO (Asian Model) instruments, multiple underlying prices may be necessary to generate correct Theoretical Values; in that case, successive InstrumentID:UnderlyingPrice pairs can be used instead of the single underlying (strike) price used in most cases.

Syntax (most instruments)

RiskRequest <InstrumentID> <CalculationType> <UnderlyingPrice> <VolatilityOffset> <DayOffset>

Syntax (APO instruments)

RiskRequest <InstrumentID> <CalculationType> <UnderlyingInstrumentID 1:Price 1> <UnderlyingInstrumentID 2:Price 2> ... <VolatilityOffset> <DayOffset>

The values for calculation type can be one of the following:

Calculation Type Comment
THEOVSTHEO THEOVSTHEO will calculate risk based on the live theoretical value of the instrument compared to an older theoretical value (one that has been saved using the End Of Day Wizard).
EDGE An EDGE report compares the live theoretical values to the market values saved using the End Of Day Wizard.
MARKETVSMARKET MARKETVSMARKET will compare market values at the current and previous market prices (stored using the End Of Day Wizard).

UnderlyingPrice is the price of the underlying instrument that will be used to generate the risk variables for this report. VolatilityOffset and DayOffset are set for the month (that this report is for) and will simply add volatility to the risk calculation without changing the curve.

The DayOffset allows the trader to perform the same calculation for a different day without having to roll the day over using the End Of Day Wizard.

PositionRiskReply

The PositionRiskReply notification provides details about each instrument and its risk variables and position information. The server will send this to a client upon successful receipt of a RiskRequest message.

Syntax

PositionRiskReply <InstrumentID> <UnderlyingPrice> <TV PL> <TV L Committed> <TV PL DayTrade> <DeltaN> <GammaN> <VegaN> <ThetaN> <EpsilonN> <ZetaN> <DayTradePosition> <CommittedPosition> <CallSlopeRisk> <PutSlopeRisk> <CallCurveRisk> <PutCurveRisk> <Volatility> <FirstPricePresent> <SecondPricePresent> <FirstPrice> <SecondPrice>

PositionRiskReply Notification Structure

Field Value(s) Repeating Comment
UnderlyingPrice Double No The underlying price for this calculation
TV – PL Double No P&L Theoretical Value
TV – PL Committed Double No Committed P&L Theoretical Value
TV – PL DayTrade Double No Day Trade P&L Theoretical Value
DeltaN Double No Delta of Position
GammaN Double No Gamma of Position
VegaN Double No (raw Vega tickSize tickValue)/100 \u1d47
ThetaN Double No (raw Theta tickSize tickValue)/# days in year \u1d9c
EpsilonN Double No Epsilon of Position
ZetaN Double No Zeta of Position
DayTradePosition Integer No (in # of shares)
CommittedPosition Integer No (in # of shares)
CallTiltRisk Double No (in $)
PutTiltRisk Double No (in $)
CallKurtosisRisk Double No (in $)
PutKurtosisRisk Double No (in $)
Volatility Double No  
FirstPricePresent Boolean No True if 1st Price value will follow (see below)
SecondPricePresent Boolean No True if 2nd Price value will follow (see below)
FirstPrice Double No First underlying price
SecondPrice Double No Second underlying price