AuctionPrint

V8 Message Definiton

METADATA

Attribute	Value
Topic	2450-liquidity-notice
MLink Token	SRATS
Product	SRTrade
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
noticeNumber	CHAR(19)	PRI	'0000-0000-0000-0000'	AuctionNoticenoticeNumber
ticker_at	enum - AssetType		'None'	underlier ticker
ticker_ts	enum - TickerSrc		'None'	underlier ticker
ticker_tk	VARCHAR(12)		''	underlier ticker
tradeDate	DATE		'1900-01-01'
isTestAuction	enum - YesNo		'None'	if yes auction is a test auction not a prodlive auction
noticeTime	DATETIME(6)		'1900-01-01 00:00:00.000000'	notice create timestamp high precision
auctionType	enum - AuctionType		'None'	eg Block Flash Improvement Facilitation etc
auctionSource	enum - AuctionSource		'None'	source of the auction notice eg SRC MIAX etc
industry	TINYTEXT		''	industry string
symbolType	enum - SymbolType		'None'
uAvgDailyVlm	FLOAT		0	underlier average daily trading volume
custSide	enum - BuySell		'None'	from AuctionNotice if known
custQty	INT		0	from AuctionNotice if known
custPrc	DOUBLE		0	from AuctionNotice if known
hasCustPrc	enum - YesNo		'None'	from AuctionNotice if known
custFirmType	enum - FirmType		'None'	cust firm type if disclosed
custAgentMPID	VARCHAR(6)		''	cust agent exchange member initiating the auction if disclosed
commEnhancement	FLOAT		0	additional commission if any paid by responder
numOptLegs	TINYINT UNSIGNED		0	MLEG Only
spreadClass	enum - ToolSpreadClass		'None'
spreadFlavor	enum - SpreadFlavor		'None'	MLEG Only
containsHedge	enum - YesNo		'None'	MLEG Only
containsFlex	enum - YesNo		'None'	contains FLEX options not regular listed options
containsMultiHedge	enum - YesNo		'None'	contains MultiHedge corp action adjusted options
uBid	DOUBLE		0
uAsk	DOUBLE		0
netDe	FLOAT		0
netGa	FLOAT		0
netTh	FLOAT		0
netVe	FLOAT		0
pkgSurfPrc	FLOAT		0	SR Surface Price entire package
pkgBidPrc	FLOAT		0	pkg bid price best way price entire package
pkgAskPrc	FLOAT		0	pkg ask price best way price entire package
prtPrice	DOUBLE		0	reported OPRA print price pkgPrice if MLeg
prtPrice2	DOUBLE		0	if reported as 2 separate prints at different prices ie partial size improvement
prtSize	INT		0	reported OPRA print size pgkSize if MLeg
prtSize2	INT		0	reported OPRA print size pgkSize if MLeg
prtTime	DATETIME(6)		'1900-01-01 00:00:00.000000'	reported OPRA print time 1st print if MLeg high precision
prtType	enum - PrtType		'None'	reported OPRA print type
prtUBid	DOUBLE		0	best estimate of uBid auction print time
prtUAsk	DOUBLE		0	best estimate of uAsk auction print time
prtUPrc	DOUBLE		0	best estimate of uPrc auction print time
prtSurfVol	FLOAT		0	surface vol auction print time single option auction only
prtSurfPrc	FLOAT		0	surface prc auction print time uMid pkgSurfPrc if MLeg
bidPrc	FLOAT		0	option nbbo bid auction print time
bidSz	INT		0	nbbo bid cum size
bidMask	INT UNSIGNED		0	nbbo bid exch mask
askPrc	FLOAT		0	option nbbo ask auction print time
askSz	INT		0	nbbo ask cum size
askMask	INT UNSIGNED		0	nbbo ask exch mask
exchBidPrc	FLOAT		0	exch bid auction print time
exchBidSz	INT		0	exch bid size
exchAskPrc	FLOAT		0	exch ask auction print time
exchAskSz	INT		0	exch ask size
uPrc1m	FLOAT		0	uPrc mid market auction print time 1m
bidPrc1m	FLOAT		0	option nbbo bid auction print time 1m
askPrc1m	FLOAT		0	option nbbo ask auction print time 1m
surfVol1m	FLOAT		0	surface vol auction print time 1m single option auction only
surfPrc1m	FLOAT		0	surface prc auction print time 1m uMid
uPrc10m	FLOAT		0	uPrc mid market auction print time 10m
bidPrc10m	FLOAT		0	option nbbo bid auction print time 10m
askPrc10m	FLOAT		0	option nbbo ask auction print time 10m
surfVol10m	FLOAT		0	surface vol auction print time 10m single option auction only
surfPrc10m	FLOAT		0	surface prc auction print time 10m uMid
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'
OrderLegsList	JSON		'JSON_OBJECT()'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
noticeNumber	1

JSON Block (OrderLegsList)

Field	Type	Comment
secKey	enum - secKey
secType	enum - SpdrKeyType
side	enum - BuySell
ratio	enum - ratio
undPerCn	enum - undPerCn
pointValue	enum - pointValue
pointCurrency	enum - Currency
expType	enum - ExpiryType	ZDteDailyWeeklyRegularQuarterlyLongTermOtherExp
years	enum - years	SR volatility years to expiry
rate	enum - rate	SR global discount rate to expiry
atmVol	enum - atmVol	ATM fwd uPrc SR surface volatility
ddivPv	enum - ddivPv	SR present value of ddiv stream
tVol	enum - tVol	client theo surface volatility if client surfaces uploaded to SR
sVol	enum - sVol	SR Surface Volatility
sDiv	enum - sDiv	SR Surface SDiv
sPrc	enum - sPrc	SR Surface Price
de	enum - de
ga	enum - ga
th	enum - th
ve	enum - ve
sVolOk	enum - YesNo	Yes if live market and sVol are tracking as expected
oBid	enum - oBid	NBBO bid price
oBidSz	enum - oBidSz	cumulative NBBO bid size
oBidMask	enum - oBidMask	bitmask of participating NBBO exchanges
oAsk	enum - oAsk	NBBO ask price
oAskSz	enum - oAskSz	cumulative NBBO ask size
oAskMask	enum - oAskMask	bitmask of participating NBBO exchanges

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRTrade`.`MsgAuctionPrint` (
    `noticeNumber` CHAR(19) NOT NULL DEFAULT '0000-0000-0000-0000' COMMENT 'AuctionNotice.noticeNumber',
    `ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'underlier ticker',
    `ticker_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'underlier ticker',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'underlier ticker',
    `tradeDate` DATE NOT NULL DEFAULT '1900-01-01',
    `isTestAuction` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'if yes, auction is a test auction (not a prod/live auction)',
    `noticeTime` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'notice create timestamp (high precision)',
    `auctionType` ENUM('None','Exposure','Improvement','Facilitation','Solicitation','Opening','Closing','RFQ','Block','Flash') NOT NULL DEFAULT 'None' COMMENT '(eg. Block, Flash, Improvement, Facilitation, etc.)',
    `auctionSource` ENUM('None','SRC','AMEX','BOX','CBOE','ISE','NYSE','PHLX','NSDQ','BATS','C2','NQBX','MIAX','GMNI','EDGO','MCRY','MPRL','EMLD','MEMX','CME','CBOT','NYMEX','COMEX','ICE','EUREX') NOT NULL DEFAULT 'None' COMMENT 'source of the auction notice (eg. SRC, MIAX, etc.)',
    `industry` TINYTEXT NOT NULL DEFAULT '' COMMENT 'industry string',
    `symbolType` ENUM('None','Equity','ADR','ETF','CashIndex','MutualFund','ShortETF','Future','Bond','DepReceipts','PreferredSec','PreferenceShare','StructuredProd','StapledSec','TradeableRights','Unit','Warrant','WhenIssued','ForeignIssue') NOT NULL DEFAULT 'None',
    `uAvgDailyVlm` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier average daily trading volume',
    `custSide` ENUM('None','Buy','Sell') NOT NULL DEFAULT 'None' COMMENT 'from AuctionNotice (if known)',
    `custQty` INT NOT NULL DEFAULT 0 COMMENT 'from AuctionNotice (if known)',
    `custPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'from AuctionNotice (if known)',
    `hasCustPrc` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'from AuctionNotice (if known)',
    `custFirmType` ENUM('None','Customer','Firm','MarketMaker','ProCustomer','BrokerDealer','AwayMM','FirmJBO','BrkrDlrCust') NOT NULL DEFAULT 'None' COMMENT 'cust firm type (if disclosed)',
    `custAgentMPID` VARCHAR(6) NOT NULL DEFAULT '' COMMENT 'cust agent exchange member initiating the auction (if disclosed)',
    `commEnhancement` FLOAT NOT NULL DEFAULT 0 COMMENT 'additional commission (if any) paid by responder',
    `numOptLegs` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'MLEG Only',
    `spreadClass` ENUM('None','Stk','Fut','Call','Put','Synth','RevCon','Box','JRoll','Roll','Straddle','Strangle','CSpread','PSpread','VStrip','VSpread','HStrip','HSpread','BFly','RiskRev','Mixed','VarSwap') NOT NULL DEFAULT 'None',
    `spreadFlavor` ENUM('None','Normal','Flipped') NOT NULL DEFAULT 'None' COMMENT 'MLEG Only',
    `containsHedge` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'MLEG Only',
    `containsFlex` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'contains FLEX options (not regular listed options)',
    `containsMultiHedge` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'contains MultiHedge (corp action adjusted) options',
    `uBid` DOUBLE NOT NULL DEFAULT 0,
    `uAsk` DOUBLE NOT NULL DEFAULT 0,
    `netDe` FLOAT NOT NULL DEFAULT 0,
    `netGa` FLOAT NOT NULL DEFAULT 0,
    `netTh` FLOAT NOT NULL DEFAULT 0,
    `netVe` FLOAT NOT NULL DEFAULT 0,
    `pkgSurfPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR Surface Price (entire package)',
    `pkgBidPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'pkg bid price (best way price) (entire package)',
    `pkgAskPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'pkg ask price (best way price) (entire package)',
    `prtPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'reported OPRA print price (pkgPrice if MLeg)',
    `prtPrice2` DOUBLE NOT NULL DEFAULT 0 COMMENT 'if reported as 2 separate prints at different prices (ie, partial size improvement)',
    `prtSize` INT NOT NULL DEFAULT 0 COMMENT 'reported OPRA print size (pgkSize if MLeg)',
    `prtSize2` INT NOT NULL DEFAULT 0 COMMENT 'reported OPRA print size (pgkSize if MLeg)',
    `prtTime` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'reported OPRA print time (1st print if MLeg) (high precision)',
    `prtType` ENUM('None','CANC','OSEQ','CNCL','LATE','CNCO','OPEN','CNOL','OPNL','AUTO','REOP','ISOI','SLAN','SLAI','SLCN','SCLI','SLFT','MLET','MLAT','MLCT','MLFT','MESL','TLAT','MASL','MFSL','TLET','TLCT','TLFT','TESL','TASL','TFSL','CBMO','MCTP','EXHT') NOT NULL DEFAULT 'None' COMMENT 'reported OPRA print type',
    `prtUBid` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best estimate of uBid @ auction print time',
    `prtUAsk` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best estimate of uAsk @ auction print time',
    `prtUPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best estimate of uPrc @ auction print time',
    `prtSurfVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface vol @ auction print time (single option auction only)',
    `prtSurfPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface prc @ auction print time (@ uMid) (pkgSurfPrc if MLeg)',
    `bidPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo bid @ auction print time',
    `bidSz` INT NOT NULL DEFAULT 0 COMMENT 'nbbo bid cum size',
    `bidMask` INT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'nbbo bid exch mask',
    `askPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo ask @ auction print time',
    `askSz` INT NOT NULL DEFAULT 0 COMMENT 'nbbo ask cum size',
    `askMask` INT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'nbbo ask exch mask',
    `exchBidPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'exch bid @ auction print time',
    `exchBidSz` INT NOT NULL DEFAULT 0 COMMENT 'exch bid size',
    `exchAskPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'exch ask @ auction print time',
    `exchAskSz` INT NOT NULL DEFAULT 0 COMMENT 'exch ask size',
    `uPrc1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'uPrc (mid market) @ auction print time + 1m',
    `bidPrc1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo bid @ auction print time + 1m',
    `askPrc1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo ask @ auction print time + 1m',
    `surfVol1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface vol @ auction print time + 1m (single option auction only)',
    `surfPrc1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface prc @ auction print time + 1m (@ uMid)',
    `uPrc10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'uPrc (mid market) @ auction print time + 10m',
    `bidPrc10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo bid @ auction print time + 10m',
    `askPrc10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo ask @ auction print time + 10m',
    `surfVol10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface vol @ auction print time + 10m (single option auction only)',
    `surfPrc10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface prc @ auction print time + 10m (@ uMid)',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    `OrderLegsList` JSON NOT NULL DEFAULT JSON_OBJECT() CHECK(JSON_VALID(OrderLegsList)),
    CONSTRAINT nonnegative_noticeNumber CHECK(ASCII(noticeNumber) < 56),
    PRIMARY KEY USING HASH (`noticeNumber`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='';

SELECT TABLE EXAMPLE QUERY

SELECT
    `noticeNumber`,
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `tradeDate`,
    `isTestAuction`,
    `noticeTime`,
    `auctionType`,
    `auctionSource`,
    `industry`,
    `symbolType`,
    `uAvgDailyVlm`,
    `custSide`,
    `custQty`,
    `custPrc`,
    `hasCustPrc`,
    `custFirmType`,
    `custAgentMPID`,
    `commEnhancement`,
    `numOptLegs`,
    `spreadClass`,
    `spreadFlavor`,
    `containsHedge`,
    `containsFlex`,
    `containsMultiHedge`,
    `uBid`,
    `uAsk`,
    `netDe`,
    `netGa`,
    `netTh`,
    `netVe`,
    `pkgSurfPrc`,
    `pkgBidPrc`,
    `pkgAskPrc`,
    `prtPrice`,
    `prtPrice2`,
    `prtSize`,
    `prtSize2`,
    `prtTime`,
    `prtType`,
    `prtUBid`,
    `prtUAsk`,
    `prtUPrc`,
    `prtSurfVol`,
    `prtSurfPrc`,
    `bidPrc`,
    `bidSz`,
    `bidMask`,
    `askPrc`,
    `askSz`,
    `askMask`,
    `exchBidPrc`,
    `exchBidSz`,
    `exchAskPrc`,
    `exchAskSz`,
    `uPrc1m`,
    `bidPrc1m`,
    `askPrc1m`,
    `surfVol1m`,
    `surfPrc1m`,
    `uPrc10m`,
    `bidPrc10m`,
    `askPrc10m`,
    `surfVol10m`,
    `surfPrc10m`,
    `timestamp`,
    `OrderLegsList`
FROM `SRTrade`.`MsgAuctionPrint`
WHERE 
    /* Replace with a CHAR(19) */
    `noticeNumber` = 'Example_noticeNumber';

Doc Columns Query

SELECT * FROM SRTrade.doccolumns WHERE TABLE_NAME='AuctionPrint' ORDER BY ordinal_position ASC;