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Version: 8.4.08.4

OptionCloseMark

V8 Message Definiton

OptionCloseMark records are published immediately after the market close - 5 min and again when exchanges publish official marks.\nOptionCloseMark records are published to the SpiderRock elastic cluster when clsMarkState=Final

METADATA

AttributeValue
Topic3120-market-marks
MLink TokenOptMarkData
ProductSRAnalytics
accessTypeSELECT

Table Definition

FieldTypeKeyDefault ValueComment
okey_atenum - AssetTypePRI'None'
okey_tsenum - TickerSrcPRI'None'
okey_tkVARCHAR(12)PRI''
okey_yrSMALLINT UNSIGNEDPRI0
okey_mnTINYINT UNSIGNEDPRI0
okey_dyTINYINT UNSIGNEDPRI0
okey_xxDOUBLEPRI0
okey_cpenum - CallPutPRI'Call'
tradeDateDATE'1900-01-01'
clsMarkStateenum - ClsMarkState'None'Preview or Final
uBidDOUBLE0SpiderRock closing underlier bid C 5m
uAskDOUBLE0SpiderRock closing underlier ask C 5m
uSrClsDOUBLE0SpiderRock underlier closing mark C 5m
uCloseDOUBLE0exchange underlier closing mark
bidPrcFLOAT0SpiderRock closing option bid C 5m
askPrcFLOAT0SpiderRock closing option ask C 5m
srClsPrcDOUBLE0SpiderRock close mark close 5min NBBO midmarket
closePrcDOUBLE0official exchange closing mark last printthen official close
hasSRClsPrcenum - YesNo'None'
hasClosePrcenum - YesNo'None'
hasUClsPrcenum - YesNo'None'
bidIVFLOAT0implied vol of SpiderRock closing bid price C 5m
askIVFLOAT0implied vol of SpiderRock closing ask price C 5m
srPrcFLOAT0sr close mark price always within bidPxaskPx C 5m
srVolFLOAT0sr close mark volatility C 5m
srSrcenum - MarkSource'None'sr close mark source SRVol is SurfaceVol
deFLOAT0delta
gaFLOAT0gamma
thFLOAT0theta
veFLOAT0vega
voFLOAT0volga
vaFLOAT0vanna
rhFLOAT0rho
phFLOAT0phi
srSlopeFLOAT0surface slope SR surface
deDecayFLOAT0delta decay
sdivFLOAT0sdiv rate
ddivFLOAT0ddiv amount sum of discrete dividend amounts
ddivPvFLOAT0ddiv present value amount sum of discrete dividend pv amounts
rateFLOAT0discount rate
iDaysINT0interest days today to expiry T1
yearsFLOAT0years to expiration
errorTINYINT UNSIGNED0calculation error code
openInterestINT0option open Interest
prtCountINT0print count
prtVolumeINT0total printed volume all prt types
srCloseMarkDttmDATETIME(6)'1900-01-01 00:00:00.000000'from MarketCloseQuotesrCloseMarkDttm
timestampDATETIME(6)'1900-01-01 00:00:00.000000'record timestamp

PRIMARY KEY DEFINITION (Unique)

FieldSequence
okey_tk1
okey_yr2
okey_mn3
okey_dy4
okey_xx5
okey_cp6
okey_at7
okey_ts8

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgOptionCloseMark` (
`okey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
`okey_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',
`okey_tk` VARCHAR(12) NOT NULL DEFAULT '',
`okey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0,
`okey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0,
`okey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0,
`okey_xx` DOUBLE NOT NULL DEFAULT 0,
`okey_cp` ENUM('Call','Put','Pair') NOT NULL DEFAULT 'Call',
`tradeDate` DATE NOT NULL DEFAULT '1900-01-01',
`clsMarkState` ENUM('None','Preview','Final') NOT NULL DEFAULT 'None' COMMENT 'Preview or Final',
`uBid` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SpiderRock closing underlier bid (C - 5m)',
`uAsk` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SpiderRock closing underlier ask (C - 5m)',
`uSrCls` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SpiderRock underlier closing mark (C - 5m)',
`uClose` DOUBLE NOT NULL DEFAULT 0 COMMENT 'exchange underlier closing mark',
`bidPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'SpiderRock closing option bid (C - 5m)',
`askPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'SpiderRock closing option ask (C - 5m)',
`srClsPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SpiderRock close mark (close - 5min) [NBBO mid-market]',
`closePrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'official exchange closing mark (last print;then official close)',
`hasSRClsPrc` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
`hasClosePrc` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
`hasUClsPrc` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
`bidIV` FLOAT NOT NULL DEFAULT 0 COMMENT 'implied vol of SpiderRock closing bid price (C - 5m)',
`askIV` FLOAT NOT NULL DEFAULT 0 COMMENT 'implied vol of SpiderRock closing ask price (C - 5m)',
`srPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'sr close mark price (always within bidPx/askPx) (C - 5m)',
`srVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'sr close mark volatility (C - 5m)',
`srSrc` ENUM('None','NbboMid','SRVol','LoBound','HiBound','Other') NOT NULL DEFAULT 'None' COMMENT 'sr close mark source (SRVol is SurfaceVol)',
`de` FLOAT NOT NULL DEFAULT 0 COMMENT 'delta',
`ga` FLOAT NOT NULL DEFAULT 0 COMMENT 'gamma',
`th` FLOAT NOT NULL DEFAULT 0 COMMENT 'theta',
`ve` FLOAT NOT NULL DEFAULT 0 COMMENT 'vega',
`vo` FLOAT NOT NULL DEFAULT 0 COMMENT 'volga',
`va` FLOAT NOT NULL DEFAULT 0 COMMENT 'vanna',
`rh` FLOAT NOT NULL DEFAULT 0 COMMENT 'rho',
`ph` FLOAT NOT NULL DEFAULT 0 COMMENT 'phi',
`srSlope` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface slope (SR surface)',
`deDecay` FLOAT NOT NULL DEFAULT 0 COMMENT 'delta decay',
`sdiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'sdiv rate',
`ddiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'ddiv amount (sum of discrete dividend amounts)',
`ddivPv` FLOAT NOT NULL DEFAULT 0 COMMENT 'ddiv (present value) amount (sum of discrete dividend pv amounts)',
`rate` FLOAT NOT NULL DEFAULT 0 COMMENT 'discount rate',
`iDays` INT NOT NULL DEFAULT 0 COMMENT 'interest days (today to expiry) (T+1)',
`years` FLOAT NOT NULL DEFAULT 0 COMMENT 'years to expiration',
`error` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'calculation error code',
`openInterest` INT NOT NULL DEFAULT 0 COMMENT 'option open Interest',
`prtCount` INT NOT NULL DEFAULT 0 COMMENT 'print count',
`prtVolume` INT NOT NULL DEFAULT 0 COMMENT 'total printed volume (all prt types)',
`srCloseMarkDttm` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'from MarketCloseQuote.srCloseMarkDttm',
`timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'record timestamp',
PRIMARY KEY USING HASH (`okey_tk`,`okey_yr`,`okey_mn`,`okey_dy`,`okey_xx`,`okey_cp`,`okey_at`,`okey_ts`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='OptionCloseMark records are published immediately after the market close - 5 min and again when exchanges publish official marks.\nOptionCloseMark records are published to the SpiderRock elastic cluster when clsMarkState=Final';

SELECT TABLE EXAMPLE QUERY

SELECT
`okey_at`,
`okey_ts`,
`okey_tk`,
`okey_yr`,
`okey_mn`,
`okey_dy`,
`okey_xx`,
`okey_cp`,
`tradeDate`,
`clsMarkState`,
`uBid`,
`uAsk`,
`uSrCls`,
`uClose`,
`bidPrc`,
`askPrc`,
`srClsPrc`,
`closePrc`,
`hasSRClsPrc`,
`hasClosePrc`,
`hasUClsPrc`,
`bidIV`,
`askIV`,
`srPrc`,
`srVol`,
`srSrc`,
`de`,
`ga`,
`th`,
`ve`,
`vo`,
`va`,
`rh`,
`ph`,
`srSlope`,
`deDecay`,
`sdiv`,
`ddiv`,
`ddivPv`,
`rate`,
`iDays`,
`years`,
`error`,
`openInterest`,
`prtCount`,
`prtVolume`,
`srCloseMarkDttm`,
`timestamp`
FROM `SRAnalytics`.`MsgOptionCloseMark`
WHERE
/* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */
`okey_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') */
`okey_ts` = 'None'
AND
/* Replace with a VARCHAR(12) */
`okey_tk` = 'Example_okey_tk'
AND
/* Replace with a SMALLINT UNSIGNED */
`okey_yr` = 123
AND
/* Replace with a TINYINT UNSIGNED */
`okey_mn` = 1
AND
/* Replace with a TINYINT UNSIGNED */
`okey_dy` = 1
AND
/* Replace with a DOUBLE */
`okey_xx` = 4.56
AND
/* Replace with a ENUM('Call','Put','Pair') */
`okey_cp` = 'Call';

Doc Columns Query

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