FuturePrintSet

V8 Message Definiton

FuturePrintSet records are created for all future prints (outrights and spreads) and published to the SpiderRock elastic cluster when markup detail is complete (F+10M)

METADATA

Attribute	Value
Topic	2580-market-data-futures
MLink Token	SystemData
Product	SRAnalytics
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
fkey_at	enum - AssetType	PRI	'None'
fkey_ts	enum - TickerSrc	PRI	'None'
fkey_tk	VARCHAR(12)	PRI	''
fkey_yr	SMALLINT UNSIGNED	PRI	0
fkey_mn	TINYINT UNSIGNED	PRI	0
fkey_dy	TINYINT UNSIGNED	PRI	0
prtNumber	BIGINT	PRI	0	Unique print set identifier will increment but not guaranteed to be sequential
updateType	enum - PrtUpdateType		'None'
ticker_at	enum - AssetType		'None'	underlying stock key
ticker_ts	enum - TickerSrc		'None'	underlying stock key
ticker_tk	VARCHAR(12)		''	underlying stock key
prtExch	enum - FutExch		'None'	print exchange
prtSize	INT		0	print size contracts
prtPrice	DOUBLE		0	print price
prtType	TINYINT UNSIGNED		0	print type exchange specific
prtOrders	SMALLINT UNSIGNED		0	number of orders participating in this print
prtClusterNum	INT		0	incremental print cluster counter one counter per fkey used to group prints into clusters
prtClusterSize	INT		0	cumulative size of prints in this sequence prints same or more aggressive price with less than 25 ms elapsing since first print can span exchanges
prtVolume	INT		0	cumulative day electronic print volume in contracts
prtSide	enum - PrtSide		'None'	Print side None Mid Bid Ask
prtTimestamp	BIGINT		0	exchange high precision timestamp if available
netTimestamp	BIGINT		0	inbound packet PTP timestamp from SR gateway switchusually syncronized with facility grandfather clock
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'
bidPrice	DOUBLE		0	exch best bid print arrival time
askPrice	DOUBLE		0	exch best ask print arrival time
bidSize	INT		0	bid size print arrival time
askSize	INT		0	ask size print arrival time
bidPrice2	DOUBLE		0	exch 2nd best bid print arrival time
askPrice2	DOUBLE		0	exch 2nd best ask print arrival time
bidSize2	INT		0	2nd best bid print arrival time
askSize2	INT		0	2nd best ask print arrival time
prtProbability	FLOAT		0	M1 probability that buying prtQuan contracts prtPrice will have positive m1 pnl prtPriceM1 prtPrice recorded at time of print
bidPriceM1	DOUBLE		0	bid price 1 minute
askPriceM1	DOUBLE		0	ask price 1 minute
prtPriceM1	DOUBLE		0	market price 1 minute midquote if not intervening printsmost recent print otherwise
pnlM1	FLOAT		0	pnl after 1 minute
pnlM1Err	enum - YesNo		'None'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
fkey_tk	1
fkey_yr	2
fkey_mn	3
fkey_dy	4
fkey_at	5
fkey_ts	6
prtNumber	7

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgFuturePrintSet` (
    `fkey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
    `fkey_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None',
    `fkey_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `fkey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0,
    `fkey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `fkey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `prtNumber` BIGINT NOT NULL DEFAULT 0 COMMENT 'Unique print set identifier; will increment but not guaranteed to be sequential.',
    `updateType` ENUM('None','Print','Markup') 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 'underlying stock key',
    `ticker_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'underlying stock key',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'underlying stock key',
    `prtExch` ENUM('None','CFE','CME','CBOT','COMEX','NYMEX','ICE','EUREX','CEDX','NXAM','NXBR','NXLS','NXML','NXOS','NXP','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'print exchange',
    `prtSize` INT NOT NULL DEFAULT 0 COMMENT 'print size [contracts]',
    `prtPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'print price',
    `prtType` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'print type [exchange specific]',
    `prtOrders` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'number of orders participating in this print',
    `prtClusterNum` INT NOT NULL DEFAULT 0 COMMENT 'incremental print cluster counter (one counter per fkey; used to group prints into clusters)',
    `prtClusterSize` INT NOT NULL DEFAULT 0 COMMENT 'cumulative size of prints in this sequence (prints @ same or more aggressive price with less than 25 ms elapsing since first print; can span exchanges)',
    `prtVolume` INT NOT NULL DEFAULT 0 COMMENT 'cumulative day (electronic) print volume in contracts',
    `prtSide` ENUM('None','Mid','Bid','Ask') NOT NULL DEFAULT 'None' COMMENT 'Print side: None; Mid; Bid; Ask',
    `prtTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'exchange high precision timestamp (if available)',
    `netTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'inbound packet PTP timestamp from SR gateway switch;usually syncronized with facility grandfather clock',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    `bidPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'exch best bid @ print arrival time',
    `askPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'exch best ask @ print arrival time',
    `bidSize` INT NOT NULL DEFAULT 0 COMMENT 'bid size @ print arrival time',
    `askSize` INT NOT NULL DEFAULT 0 COMMENT 'ask size @ print arrival time',
    `bidPrice2` DOUBLE NOT NULL DEFAULT 0 COMMENT 'exch 2nd best bid @ print arrival time',
    `askPrice2` DOUBLE NOT NULL DEFAULT 0 COMMENT 'exch 2nd best ask @ print arrival time',
    `bidSize2` INT NOT NULL DEFAULT 0 COMMENT '2nd best bid @ print arrival time',
    `askSize2` INT NOT NULL DEFAULT 0 COMMENT '2nd best ask @ print arrival time',
    `prtProbability` FLOAT NOT NULL DEFAULT 0 COMMENT '[M1] probability that buying prtQuan contracts @ prtPrice will have positive m1 pnl (prtPriceM1 >= prtPrice) [recorded at time of print]',
    `bidPriceM1` DOUBLE NOT NULL DEFAULT 0 COMMENT 'bid price +1 minute',
    `askPriceM1` DOUBLE NOT NULL DEFAULT 0 COMMENT 'ask price +1 minute',
    `prtPriceM1` DOUBLE NOT NULL DEFAULT 0 COMMENT 'market price +1 minute [mid-quote if not intervening prints;most recent print otherwise]',
    `pnlM1` FLOAT NOT NULL DEFAULT 0 COMMENT 'pnl after 1 minute',
    `pnlM1Err` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    PRIMARY KEY USING HASH (`fkey_tk`,`fkey_yr`,`fkey_mn`,`fkey_dy`,`fkey_at`,`fkey_ts`,`prtNumber`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='FuturePrintSet records are created for all future prints (outrights and spreads) and published to the SpiderRock elastic cluster when markup detail is complete (F+10M)';

SELECT TABLE EXAMPLE QUERY

SELECT
    `fkey_at`,
    `fkey_ts`,
    `fkey_tk`,
    `fkey_yr`,
    `fkey_mn`,
    `fkey_dy`,
    `prtNumber`,
    `updateType`,
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `prtExch`,
    `prtSize`,
    `prtPrice`,
    `prtType`,
    `prtOrders`,
    `prtClusterNum`,
    `prtClusterSize`,
    `prtVolume`,
    `prtSide`,
    `prtTimestamp`,
    `netTimestamp`,
    `timestamp`,
    `bidPrice`,
    `askPrice`,
    `bidSize`,
    `askSize`,
    `bidPrice2`,
    `askPrice2`,
    `bidSize2`,
    `askSize2`,
    `prtProbability`,
    `bidPriceM1`,
    `askPriceM1`,
    `prtPriceM1`,
    `pnlM1`,
    `pnlM1Err`
FROM `SRAnalytics`.`MsgFuturePrintSet`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `fkey_at` = 'None'
  AND
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','NXOS','NXP','EUREX','CEDX','ICEFE') */ 
    `fkey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `fkey_tk` = 'Example_fkey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `fkey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `fkey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `fkey_dy` = 1
  AND
    /* Replace with a BIGINT */ 
    `prtNumber` = 1234567890;

Doc Columns Query

SELECT * FROM SRAnalytics.doccolumns WHERE TABLE_NAME='FuturePrintSet' ORDER BY ordinal_position ASC;