AuctionState

V8 Message Definiton

METADATA

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

Table Definition

Field	Type	Key	Default Value	Comment
noticeNumber	CHAR(19)	PRI	'0000-0000-0000-0000'
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
auctionType	enum - AuctionType		'None'
blockAuctionCounter	INT		0
blockAuctionStatus	enum - BlockAuctionStatus		'None'	ActiveFinalTrialCrossingCrossedCrossFailedClosed
custSide	enum - BuySell		'None'	if available
custQty	INT		0
custPrc	DOUBLE		0	public cust price
hasCustPrc	enum - YesNo		'None'
uBid	FLOAT		0	underlier bid price used to resolve limits during the last auction trial
uAsk	FLOAT		0	underlier ask price used to resolve limits during the last auction trial
nbboBid	FLOAT		0	current option nbbo bid at time of record publish
nbboAsk	FLOAT		0	current option nbbo ask at time of record publish
nbboBidSz	INT		0	current option nbbo cum bid size at time of record publish
nbboAskSz	INT		0	current option nbbo cum ask size at time of record publish
surfacePrc	FLOAT		0	SR surface price record publish uMid
surfaceVol	FLOAT		0	SR surface volatility record publish
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	SR system timestamp record publish
AskSolutionList	JSON		'JSON_OBJECT()'
BidSolutionList	JSON		'JSON_OBJECT()'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
noticeNumber	1

JSON Block (AskSolutionList)

Field	Type	Comment
numResponders	byte
matchPrice	double	current auction cross price in exchange price increments
matchSize	int	current auction size available match price

JSON Block (BidSolutionList)

Field	Type	Comment
numResponders	byte
matchPrice	double	current auction cross price in exchange price increments
matchSize	int	current auction size available match price

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRTrade`.`MsgAuctionState` (
    `noticeNumber` CHAR(19) NOT NULL DEFAULT '0000-0000-0000-0000',
    `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','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','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)',
    `auctionType` ENUM('None','Exposure','Improvement','Facilitation','Solicitation','Opening','Closing','RFQ','Block','Flash') NOT NULL DEFAULT 'None',
    `blockAuctionCounter` INT NOT NULL DEFAULT 0,
    `blockAuctionStatus` ENUM('None','Active','FinalTrial','Crossing','Crossed','CrossFailed','Closed') NOT NULL DEFAULT 'None' COMMENT 'Active,FinalTrial,Crossing,Crossed,CrossFailed,Closed',
    `custSide` ENUM('None','Buy','Sell') NOT NULL DEFAULT 'None' COMMENT 'if available',
    `custQty` INT NOT NULL DEFAULT 0,
    `custPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'public cust price',
    `hasCustPrc` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `uBid` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier bid price (used to resolve limits during the last auction trial)',
    `uAsk` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier ask price (used to resolve limits during the last auction trial)',
    `nbboBid` FLOAT NOT NULL DEFAULT 0 COMMENT 'current option nbbo bid (at time of record publish)',
    `nbboAsk` FLOAT NOT NULL DEFAULT 0 COMMENT 'current option nbbo ask (at time of record publish)',
    `nbboBidSz` INT NOT NULL DEFAULT 0 COMMENT 'current option nbbo cum bid size (at time of record publish)',
    `nbboAskSz` INT NOT NULL DEFAULT 0 COMMENT 'current option nbbo cum ask size (at time of record publish)',
    `surfacePrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR surface price @ record publish (uMid)',
    `surfaceVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR surface volatility @ record publish',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'SR system timestamp (record publish)',
    `AskSolutionList` JSON NOT NULL DEFAULT JSON_OBJECT() CHECK(JSON_VALID(AskSolutionList)),
    `BidSolutionList` JSON NOT NULL DEFAULT JSON_OBJECT() CHECK(JSON_VALID(BidSolutionList)),
    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`,
    `auctionType`,
    `blockAuctionCounter`,
    `blockAuctionStatus`,
    `custSide`,
    `custQty`,
    `custPrc`,
    `hasCustPrc`,
    `uBid`,
    `uAsk`,
    `nbboBid`,
    `nbboAsk`,
    `nbboBidSz`,
    `nbboAskSz`,
    `surfacePrc`,
    `surfaceVol`,
    `timestamp`,
    `AskSolutionList`,
    `BidSolutionList`
FROM `SRTrade`.`MsgAuctionState`
WHERE 
    /* Replace with a CHAR(19) */
    `noticeNumber` = 'Example_noticeNumber';

Doc Columns Query

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