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Version: 8.4.08.4

FutureQuoteProbability

V8 Message Definiton

METADATA

AttributeValue
Topic4255-probabilities
MLink TokenFutProbModel
ProductSRAnalytics
accessTypeSELECT

Table Definition

FieldTypeKeyDefault ValueComment
fkey_atenum - AssetTypePRI'None'
fkey_tsenum - TickerSrcPRI'None'
fkey_tkVARCHAR(12)PRI''
fkey_yrSMALLINT UNSIGNEDPRI0
fkey_mnTINYINT UNSIGNEDPRI0
fkey_dyTINYINT UNSIGNEDPRI0
stateModelenum - StateModelPRI'None'
bidPriceDOUBLE0best bid price
askPriceDOUBLE0best ask price
bidSizeINT0cumulative size bid price
askSizeINT0cumulative size ask price
bidTakeProbFLOAT0bid take probability of current nbbo market zero exchange fee average size print
askTakeProbFLOAT0ask take probability of current nbbo market zero exchange fee average size print
bidTakeRvenum - PredictResult'None'model result code
askTakeRvenum - PredictResult'None'model result code
bidImprPriceFLOAT0trial improvement price usually 1 tick or 12 spread inside bidPrice
askImprPriceFLOAT0trial improvement price usually 1 tick or 12 spread inside askPrice
bidTkImProbFLOAT0bid take imprv probability of current nbbo market zero exchange fee prob to sell take bid imprIncrement
askTkImProbFLOAT0ask take imprv probability of current nbbo market zero exchange fee prob to buy take ask imprIncrement
bidTkImRvenum - PredictResult'None'model result code
askTkImRvenum - PredictResult'None'model result code
midPriceDOUBLE0price corresponding to 050 probability
avgBidLink1mFLOAT0average bid link value 1 min
maeBidLink1mFLOAT0bid link value mean abs err 10 min
avgAskLink1mFLOAT0average ask link value 1 min
maeAskLink1mFLOAT0ask link value mean abs err 1 min
avgBidLink10mFLOAT0average bid link value 10 min
maeBidLink10mFLOAT0bid link value mean abs err 10 min
avgAskLink10mFLOAT0average ask link value 10 min
maeAskLink10mFLOAT0ask link value mean abs err 10 min
avgMktWidth1mFLOAT0askPrice bidPrice 1 min
avgMktWidth10mFLOAT0askPrice bidPrice 10 min
counterINT0record update counter zero start of periodper fkey
qpSourceenum - QPSource'None'
srcTimestampBIGINT0feed timestamp from the packet
netTimestampBIGINT0inbound packet PTP timestamp from SR gateway switch from FutureBookQuotezero size only change
smsTimestampBIGINT0state model server timestamp just before publish

PRIMARY KEY DEFINITION (Unique)

FieldSequence
fkey_tk1
fkey_yr2
fkey_mn3
fkey_dy4
fkey_at5
fkey_ts6
stateModel7

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgFutureQuoteProbability` (
`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,
`stateModel` ENUM('None','M1','M2','M3','M4') NOT NULL DEFAULT 'None',
`bidPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best bid price',
`askPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best ask price',
`bidSize` INT NOT NULL DEFAULT 0 COMMENT 'cumulative size @ bid price',
`askSize` INT NOT NULL DEFAULT 0 COMMENT 'cumulative size @ ask price',
`bidTakeProb` FLOAT NOT NULL DEFAULT 0 COMMENT 'bid take probability of current nbbo market (zero exchange fee) [average size print]',
`askTakeProb` FLOAT NOT NULL DEFAULT 0 COMMENT 'ask take probability of current nbbo market (zero exchange fee) [average size print]',
`bidTakeRv` ENUM('None','OK','Skip','CalcErr','LowVol','NoSurfVol','WideOptMkt','Exception','NoOptObj','NoStkObj','NoOptNbbo','NoStkNbbo','NoGbmObj','NoOptMkt','NoOptSummary','NoOptQuoteModel','NoSymExpModel','QuoteModelNotInit','SymExpNotInit','RiskHold','ExchCheck','BrokerCheck','NoBrokers','NoDataChange','PostFlowCheck','SendHold','SendFail','SurfHold','ReduceSize','PendCxl','NoSize','NoExchQte','NoBroker','NoSurface','NoExchDef','NewOrder','NbboHold','PostPxRng','LimitPx','IWait','IHold','FailHold','FadeQuote','ExchRte','ExchHold','TwapState','CreateErr','ChangePx','BrkrNotVld','BadLimit','OffMkt','BhndMkt','NoAuction','Join','Imprv','PredMiss','WithMkt','LockFail','NoGrpModel','NoSpyModel','NoStkModel','NoStkPrt','NoFutNbbo','BadUPrc','BrkrEvent','Done','NoActSize','NoBorrow','NoChange','NoExch','NoFirmPos','NoOrdSize','NotActive','NoTakeLvl','OrderSent','OutLoudHold','PostClear','PredPass','ProbNotVld','RFQ','SpdrOptState','SpdrStkState','SpdrFutState','ExchCnt','ImprMkt','NoPostSz','NoInputs','PendNew','NoFutObj','NoImprRm','NoBid','NoAsk','CThreadErr','CModelNotInit','CDevNotInit','CXCopyErr','CRvMemSet','CCalcErr','CRvCopyErr','CDevFail','CError','NoFutModel','NoOptExpMap','NoImplQte','UPrcRng','BadUPrcAdj') NOT NULL DEFAULT 'None' COMMENT 'model result code',
`askTakeRv` ENUM('None','OK','Skip','CalcErr','LowVol','NoSurfVol','WideOptMkt','Exception','NoOptObj','NoStkObj','NoOptNbbo','NoStkNbbo','NoGbmObj','NoOptMkt','NoOptSummary','NoOptQuoteModel','NoSymExpModel','QuoteModelNotInit','SymExpNotInit','RiskHold','ExchCheck','BrokerCheck','NoBrokers','NoDataChange','PostFlowCheck','SendHold','SendFail','SurfHold','ReduceSize','PendCxl','NoSize','NoExchQte','NoBroker','NoSurface','NoExchDef','NewOrder','NbboHold','PostPxRng','LimitPx','IWait','IHold','FailHold','FadeQuote','ExchRte','ExchHold','TwapState','CreateErr','ChangePx','BrkrNotVld','BadLimit','OffMkt','BhndMkt','NoAuction','Join','Imprv','PredMiss','WithMkt','LockFail','NoGrpModel','NoSpyModel','NoStkModel','NoStkPrt','NoFutNbbo','BadUPrc','BrkrEvent','Done','NoActSize','NoBorrow','NoChange','NoExch','NoFirmPos','NoOrdSize','NotActive','NoTakeLvl','OrderSent','OutLoudHold','PostClear','PredPass','ProbNotVld','RFQ','SpdrOptState','SpdrStkState','SpdrFutState','ExchCnt','ImprMkt','NoPostSz','NoInputs','PendNew','NoFutObj','NoImprRm','NoBid','NoAsk','CThreadErr','CModelNotInit','CDevNotInit','CXCopyErr','CRvMemSet','CCalcErr','CRvCopyErr','CDevFail','CError','NoFutModel','NoOptExpMap','NoImplQte','UPrcRng','BadUPrcAdj') NOT NULL DEFAULT 'None' COMMENT 'model result code',
`bidImprPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'trial improvement price (usually 1 tick or 1/2 spread inside bidPrice)',
`askImprPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'trial improvement price (usually 1 tick or 1/2 spread inside askPrice)',
`bidTkImProb` FLOAT NOT NULL DEFAULT 0 COMMENT 'bid take imprv probability of current nbbo market (zero exchange fee) [prob to sell (take) @ bid + imprIncrement]',
`askTkImProb` FLOAT NOT NULL DEFAULT 0 COMMENT 'ask take imprv probability of current nbbo market (zero exchange fee) [prob to buy (take) @ ask - imprIncrement]',
`bidTkImRv` ENUM('None','OK','Skip','CalcErr','LowVol','NoSurfVol','WideOptMkt','Exception','NoOptObj','NoStkObj','NoOptNbbo','NoStkNbbo','NoGbmObj','NoOptMkt','NoOptSummary','NoOptQuoteModel','NoSymExpModel','QuoteModelNotInit','SymExpNotInit','RiskHold','ExchCheck','BrokerCheck','NoBrokers','NoDataChange','PostFlowCheck','SendHold','SendFail','SurfHold','ReduceSize','PendCxl','NoSize','NoExchQte','NoBroker','NoSurface','NoExchDef','NewOrder','NbboHold','PostPxRng','LimitPx','IWait','IHold','FailHold','FadeQuote','ExchRte','ExchHold','TwapState','CreateErr','ChangePx','BrkrNotVld','BadLimit','OffMkt','BhndMkt','NoAuction','Join','Imprv','PredMiss','WithMkt','LockFail','NoGrpModel','NoSpyModel','NoStkModel','NoStkPrt','NoFutNbbo','BadUPrc','BrkrEvent','Done','NoActSize','NoBorrow','NoChange','NoExch','NoFirmPos','NoOrdSize','NotActive','NoTakeLvl','OrderSent','OutLoudHold','PostClear','PredPass','ProbNotVld','RFQ','SpdrOptState','SpdrStkState','SpdrFutState','ExchCnt','ImprMkt','NoPostSz','NoInputs','PendNew','NoFutObj','NoImprRm','NoBid','NoAsk','CThreadErr','CModelNotInit','CDevNotInit','CXCopyErr','CRvMemSet','CCalcErr','CRvCopyErr','CDevFail','CError','NoFutModel','NoOptExpMap','NoImplQte','UPrcRng','BadUPrcAdj') NOT NULL DEFAULT 'None' COMMENT 'model result code',
`askTkImRv` ENUM('None','OK','Skip','CalcErr','LowVol','NoSurfVol','WideOptMkt','Exception','NoOptObj','NoStkObj','NoOptNbbo','NoStkNbbo','NoGbmObj','NoOptMkt','NoOptSummary','NoOptQuoteModel','NoSymExpModel','QuoteModelNotInit','SymExpNotInit','RiskHold','ExchCheck','BrokerCheck','NoBrokers','NoDataChange','PostFlowCheck','SendHold','SendFail','SurfHold','ReduceSize','PendCxl','NoSize','NoExchQte','NoBroker','NoSurface','NoExchDef','NewOrder','NbboHold','PostPxRng','LimitPx','IWait','IHold','FailHold','FadeQuote','ExchRte','ExchHold','TwapState','CreateErr','ChangePx','BrkrNotVld','BadLimit','OffMkt','BhndMkt','NoAuction','Join','Imprv','PredMiss','WithMkt','LockFail','NoGrpModel','NoSpyModel','NoStkModel','NoStkPrt','NoFutNbbo','BadUPrc','BrkrEvent','Done','NoActSize','NoBorrow','NoChange','NoExch','NoFirmPos','NoOrdSize','NotActive','NoTakeLvl','OrderSent','OutLoudHold','PostClear','PredPass','ProbNotVld','RFQ','SpdrOptState','SpdrStkState','SpdrFutState','ExchCnt','ImprMkt','NoPostSz','NoInputs','PendNew','NoFutObj','NoImprRm','NoBid','NoAsk','CThreadErr','CModelNotInit','CDevNotInit','CXCopyErr','CRvMemSet','CCalcErr','CRvCopyErr','CDevFail','CError','NoFutModel','NoOptExpMap','NoImplQte','UPrcRng','BadUPrcAdj') NOT NULL DEFAULT 'None' COMMENT 'model result code',
`midPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'price corresponding to 0.50 probability',
`avgBidLink1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'average bid link value (~1 min)',
`maeBidLink1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'bid link value mean abs err (~10 min)',
`avgAskLink1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'average ask link value (~1 min)',
`maeAskLink1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'ask link value mean abs err (~1 min)',
`avgBidLink10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'average bid link value (~10 min)',
`maeBidLink10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'bid link value mean abs err (~10 min)',
`avgAskLink10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'average ask link value (~10 min)',
`maeAskLink10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'ask link value mean abs err (~10 min)',
`avgMktWidth1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'askPrice - bidPrice (~1 min)',
`avgMktWidth10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'askPrice - bidPrice (~10 min)',
`counter` INT NOT NULL DEFAULT 0 COMMENT 'record update counter (zero @ start of period;per fkey)',
`qpSource` ENUM('None','Loop','QteChg') NOT NULL DEFAULT 'None',
`srcTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'feed timestamp from the packet',
`netTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'inbound packet PTP timestamp from SR gateway switch (from FutureBookQuote);zero = size only change',
`smsTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'state model server timestamp (just before publish)',
PRIMARY KEY USING HASH (`fkey_tk`,`fkey_yr`,`fkey_mn`,`fkey_dy`,`fkey_at`,`fkey_ts`,`stateModel`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='';

SELECT TABLE EXAMPLE QUERY

SELECT
`fkey_at`,
`fkey_ts`,
`fkey_tk`,
`fkey_yr`,
`fkey_mn`,
`fkey_dy`,
`stateModel`,
`bidPrice`,
`askPrice`,
`bidSize`,
`askSize`,
`bidTakeProb`,
`askTakeProb`,
`bidTakeRv`,
`askTakeRv`,
`bidImprPrice`,
`askImprPrice`,
`bidTkImProb`,
`askTkImProb`,
`bidTkImRv`,
`askTkImRv`,
`midPrice`,
`avgBidLink1m`,
`maeBidLink1m`,
`avgAskLink1m`,
`maeAskLink1m`,
`avgBidLink10m`,
`maeBidLink10m`,
`avgAskLink10m`,
`maeAskLink10m`,
`avgMktWidth1m`,
`avgMktWidth10m`,
`counter`,
`qpSource`,
`srcTimestamp`,
`netTimestamp`,
`smsTimestamp`
FROM `SRAnalytics`.`MsgFutureQuoteProbability`
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 ENUM('None','M1','M2','M3','M4') */
`stateModel` = 'None';

Doc Columns Query

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