RFQQuoteBroadcast

V8 Message Definiton

Live spread quotes with SpiderRock markup details for equity and future option spreads. Legs details are included in a packed field. This table contains the most recent market for each spread.

METADATA

Attribute	Value
Topic	6120-tool-rows
MLink Token	ClientLive
Product	SRLive
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
securityID	BIGINT	PRI	0	exchange spread ID eg CME ProductID or ISE SecurityID
exchSource	enum - ExchSource	PRI	'None'
ticker_at	enum - AssetType		'None'	first ticker in leg list
ticker_ts	enum - TickerSrc		'None'	first ticker in leg list
ticker_tk	VARCHAR(12)	SEC	''	first ticker in leg list
securityDesc	TINYTEXT		''	SR constructedblank on broadcast filled by tool or SRSE proxy
rfqSource	VARCHAR(255)		'Any'
rfqStrategy	enum - SpreadStrategy		'None'
isCoveredStrategy	enum - YesNo		'None'
isTradeable	enum - YesNo		'None'
rfqBidPrice	DOUBLE		0	best bid buy price for this RFQSpread book
rfqBidQuan	INT		0	cumulative bid buy quantity
rfqAskPrice	DOUBLE		0	best ask sell price for this RFQSpread book
rfqAskQuan	INT		0	cumulative ask sell quantity
rfqPrtPrice	DOUBLE		0	last print price for this RFQSpread
rfqPrtSize	INT		0	last print size for this RFQSpread
rfqPrtVolume	INT		0	total print volume for session for this RFQSpread
rfqPrtTime	BIGINT		0
bidPrice	DOUBLE		0	best bid buy price for this RFQSpread from individual legs
bidQuan	INT		0	minimum bid buy quantity from individual legs
askPrice	DOUBLE		0	best ask sell price for this RFQSpread from individual legs
askQuan	INT		0	minimum ask sell quantity from individual legs
surfDelta	FLOAT		0	delta of all legs
surfVega	FLOAT		0	vega of all legs
surfPrice	FLOAT		0	surfPrice SR midmarket of all legs
theoPrice	FLOAT		0	theoPrice if applicable of all legs
theoPriceLo	FLOAT		0	theoPrice if applicable of all legs best way
theoPriceHi	FLOAT		0	theoPrice if applicable of all legs worst way
minUPrc	DOUBLE		0	min uPrc of all option legs
maxUPrc	DOUBLE		0	max uPrc of all option legs
minYears	FLOAT		0	min years of all option legs
maxYears	FLOAT		0	max years of all option legs
legSecTypes	VARCHAR(255)		'Any'	multi value
exchange	VARCHAR(8)		''	comma separated list
grpNum	INT		0	industry group number equities only
sector	VARCHAR(16)		''	user defined sector code if any
riskClass	VARCHAR(8)		''	risk class letter code
optStatus	enum - OptStatus		'Hold'
posVega	FLOAT		0
posGamma	FLOAT		0
posTheta	FLOAT		0
posDelta	FLOAT		0
netTimestamp	BIGINT		0	PTP timestamp of most recent message update
filterId	BIGINT		0	used by tooltoolServer session to multiplex filters
numLegs	INT		0
QuoteLegsList	JSON		'JSON_OBJECT()'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
securityID	1
exchSource	2

SECONDARY INDEX (TickerIndex) (Not Unique)

Field	Sequence
ticker_tk	1

JSON Block (QuoteLegsList)

Field	Type	Comment
legKey	enum - legKey
legKeyType	enum - LegKeyType
legSecurityID	enum - legSecurityID	product securityID if available 0 otherwise can be another spread
legParentSecID	enum - legParentSecID	product securityID of parent if unrolled from a compound spread
legSecurityDesc	enum - legSecurityDesc	Security description
legRatio	enum - legRatio	leg ratio 1 2 etc
legSide	enum - BuySell
legBidPrice	enum - legBidPrice	leg market bid
legBidSize	enum - legBidSize
legAskPrice	enum - legAskPrice	leg market ask
legAskSize	enum - legAskSize
legYears	enum - legYears
legUPrc	enum - legUPrc
legOptMult	enum - legOptMult	SPC if equity 1 if optionfuture
legFutMult	enum - legFutMult	1 if equity uMult if optionfuture
legSurfVol	enum - legSurfVol	leg surface volatility
legSurfDe	enum - legSurfDe
legSurfVe	enum - legSurfVe
legSurfPrice	enum - legSurfPrice	surface price as of message arrival
legTheoPrice	enum - legTheoPrice	theo price
legTheoPrcB	enum - legTheoPrcB	theo buy price
legTheoPrcS	enum - legTheoPrcS	theo sell price

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRLive`.`MsgRFQQuoteBroadcast` (
    `securityID` BIGINT NOT NULL DEFAULT 0 COMMENT 'exchange spread ID (eg. CME ProductID or ISE SecurityID)',
    `exchSource` ENUM('None','Broker','CME','ISE','CBOE','PHLX','CBOT','NYMEX','COMEX','NMS','ICE','CFE') NOT NULL DEFAULT 'None',
    `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 'first ticker in leg list',
    `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 'first ticker in leg list',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'first ticker in leg list',
    `securityDesc` TINYTEXT NOT NULL DEFAULT '' COMMENT 'SR constructed;blank on broadcast (filled by tool or SRSE proxy)',
    `rfqSource` VARCHAR(255) NOT NULL DEFAULT 'Any',
    `rfqStrategy` ENUM('None','SingleLeg','CalHoriz','CalDiag','CalSprd','EqCalSprd','ForexCalSprd','TASCalSprd','Straddle','HorizStraddle','Strip','StraddleStrip','StripMnth','EnrgStrip','BalStrip','UnbalStrip','EnrgInterCommStrip','Strangle','Vertical','Box','Bundle','BundleSprd','BFly','PackBFly','IronBFly','DblBFly','CndnlCurve','Double','Condor','IronCondor','Ratio1x2','Ratio1x3','Ratio2x3','RiskRev','XmasTree','JellyRoll','Guts','ThreeWay','ThreeWayStrdVsCall','ThreeWayStrdVsPut','RedTick','InterCommod','Pack','MnthPack','PackSprd','Crack1x1','IntRateIntCmSprd','ImpTreasIntCmSprd','ComIntCmSprd','InvoiceSwpSprd','Conversion','Horizontal','Generic') NOT NULL DEFAULT 'None',
    `isCoveredStrategy` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `isTradeable` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `rfqBidPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best bid (buy) price for this RFQ/Spread book',
    `rfqBidQuan` INT NOT NULL DEFAULT 0 COMMENT 'cumulative bid (buy) quantity',
    `rfqAskPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best ask (sell) price for this RFQ/Spread book',
    `rfqAskQuan` INT NOT NULL DEFAULT 0 COMMENT 'cumulative ask (sell) quantity',
    `rfqPrtPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'last print price for this RFQ/Spread',
    `rfqPrtSize` INT NOT NULL DEFAULT 0 COMMENT 'last print size for this RFQ/Spread',
    `rfqPrtVolume` INT NOT NULL DEFAULT 0 COMMENT 'total print volume (for session) for this RFQ/Spread',
    `rfqPrtTime` BIGINT NOT NULL DEFAULT 0,
    `bidPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best bid (buy) price for this RFQ/Spread from individual legs',
    `bidQuan` INT NOT NULL DEFAULT 0 COMMENT 'minimum bid (buy) quantity from individual legs',
    `askPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best ask (sell) price for this RFQ/Spread from individual legs',
    `askQuan` INT NOT NULL DEFAULT 0 COMMENT 'minimum ask (sell) quantity from individual legs',
    `surfDelta` FLOAT NOT NULL DEFAULT 0 COMMENT 'delta of all legs',
    `surfVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'vega of all legs',
    `surfPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'surfPrice (SR mid-market) of all legs',
    `theoPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'theoPrice (if applicable) of all legs',
    `theoPriceLo` FLOAT NOT NULL DEFAULT 0 COMMENT 'theoPrice (if applicable) of all legs (best way)',
    `theoPriceHi` FLOAT NOT NULL DEFAULT 0 COMMENT 'theoPrice (if applicable) of all legs (worst way)',
    `minUPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'min uPrc of all option legs',
    `maxUPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'max uPrc of all option legs',
    `minYears` FLOAT NOT NULL DEFAULT 0 COMMENT 'min years of all option legs',
    `maxYears` FLOAT NOT NULL DEFAULT 0 COMMENT 'max years of all option legs',
    `legSecTypes` VARCHAR(255) NOT NULL DEFAULT 'Any' COMMENT 'multi value',
    `exchange` VARCHAR(8) NOT NULL DEFAULT '' COMMENT 'comma separated list',
    `grpNum` INT NOT NULL DEFAULT 0 COMMENT 'industry group number (equities only)',
    `sector` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'user defined sector code (if any)',
    `riskClass` VARCHAR(8) NOT NULL DEFAULT '' COMMENT 'risk class letter code',
    `optStatus` ENUM('Hold','TwoWay','BuyOnly','SellOnly','CloseOnly','CloseNow','CloseRisk','BuyCloseOnly','SellCloseOnly') NOT NULL DEFAULT 'Hold',
    `posVega` FLOAT NOT NULL DEFAULT 0,
    `posGamma` FLOAT NOT NULL DEFAULT 0,
    `posTheta` FLOAT NOT NULL DEFAULT 0,
    `posDelta` FLOAT NOT NULL DEFAULT 0,
    `netTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'PTP timestamp of most recent message update',
    `filterId` BIGINT NOT NULL DEFAULT 0 COMMENT 'used by tool/toolServer session to multiplex filters',
    `numLegs` INT NOT NULL DEFAULT 0,
    `QuoteLegsList` JSON NOT NULL DEFAULT JSON_OBJECT() CHECK(JSON_VALID(QuoteLegsList)),
    PRIMARY KEY USING HASH (`securityID`,`exchSource`),
    KEY `TickerIndex` (`ticker_tk`) USING HASH
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='Live spread quotes with SpiderRock markup details for equity and future option spreads.  Legs details are included in a packed field.  This table contains the most recent market for each spread.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `securityID`,
    `exchSource`,
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `securityDesc`,
    `rfqSource`,
    `rfqStrategy`,
    `isCoveredStrategy`,
    `isTradeable`,
    `rfqBidPrice`,
    `rfqBidQuan`,
    `rfqAskPrice`,
    `rfqAskQuan`,
    `rfqPrtPrice`,
    `rfqPrtSize`,
    `rfqPrtVolume`,
    `rfqPrtTime`,
    `bidPrice`,
    `bidQuan`,
    `askPrice`,
    `askQuan`,
    `surfDelta`,
    `surfVega`,
    `surfPrice`,
    `theoPrice`,
    `theoPriceLo`,
    `theoPriceHi`,
    `minUPrc`,
    `maxUPrc`,
    `minYears`,
    `maxYears`,
    `legSecTypes`,
    `exchange`,
    `grpNum`,
    `sector`,
    `riskClass`,
    `optStatus`,
    `posVega`,
    `posGamma`,
    `posTheta`,
    `posDelta`,
    `netTimestamp`,
    `filterId`,
    `numLegs`,
    `QuoteLegsList`
FROM `SRLive`.`MsgRFQQuoteBroadcast`
WHERE 
    /* Replace with a BIGINT */ 
    `securityID` = 1234567890
  AND
    /* Replace with a ENUM('None','Broker','CME','ISE','CBOE','PHLX','CBOT','NYMEX','COMEX','NMS','ICE','CFE') */ 
    `exchSource` = 'None';

Doc Columns Query

SELECT * FROM SRLive.doccolumns WHERE TABLE_NAME='RFQQuoteBroadcast' ORDER BY ordinal_position ASC;