OptionNbboQuote
This table contains live option quote records from OPRA (equities) or the listing exchange (futures). Each record contains up to two price levels and represents a live snapshot of the book for a specific option series. There are typically 1mm+ records in this table if all ticker sources are enabled.
METADATA
Attribute | Value |
---|---|
Topic | 2750-market-data-options |
MLink Token | OptMktData |
Product | SRLive |
accessType | SELECT |
Table Definition
Field | Type | Key | Default Value | Comment |
---|---|---|---|---|
okey_at | enum - AssetType | PRI | 'None' | |
okey_ts | enum - TickerSrc | PRI | 'None' | |
okey_tk | VARCHAR(12) | PRI | '' | |
okey_yr | SMALLINT UNSIGNED | PRI, SEC | 0 | |
okey_mn | TINYINT UNSIGNED | PRI, SEC | 0 | |
okey_dy | TINYINT UNSIGNED | PRI, SEC | 0 | |
okey_xx | DOUBLE | PRI | 0 | |
okey_cp | enum - CallPut | PRI | 'Call' | |
updateType | enum - UpdateType | 'None' | ||
bidPrice | FLOAT | 0 | bid price | |
askPrice | FLOAT | 0 | ask price | |
bidSize | INT | 0 | bid size in contracts largest exch quote | |
askSize | INT | 0 | ask size in contracts largest exch quote | |
cumBidSize | INT | 0 | bid size in contracts total nbbo size | |
cumAskSize | INT | 0 | ask size in contracts total nbbo size | |
bidExch | enum - OptExch | 'None' | first or largest remaining exchange at bid price | |
askExch | enum - OptExch | 'None' | first or largest remaining exchange at ask price | |
bidMask | INT UNSIGNED | 0 | exchange bid bit mask | |
askMask | INT UNSIGNED | 0 | exchange ask bit mask | |
bidMktType | VARCHAR(255) | 'None' | bid side quote flags if any | |
askMktType | VARCHAR(255) | 'None' | ask side quote flags if any | |
bidPrice2 | FLOAT | 0 | 2nd best bid price | |
askPrice2 | FLOAT | 0 | 2nd best ask price | |
cumBidSize2 | INT | 0 | cumulative size at 2nd price | |
cumAskSize2 | INT | 0 | cumulative size at 2nd price | |
bidTime | INT | 0 | last bid price change milliseconds since midnight calculated from the srcTimestamp | |
askTime | INT | 0 | last ask price change milliseconds since midnight calculated from the srcTimestamp | |
srcTimestamp | BIGINT | 0 | source high precision timestamp if available | |
netTimestamp | BIGINT | 0 | inbound packet PTP timestamp from SR gateway switchusually syncronized with facility grandfather clock |
PRIMARY KEY DEFINITION (Unique)
Field | Sequence |
---|---|
okey_tk | 1 |
okey_yr | 2 |
okey_mn | 3 |
okey_dy | 4 |
okey_xx | 5 |
okey_cp | 6 |
okey_at | 7 |
okey_ts | 8 |
SECONDARY INDEX (ExpirationIndex) (Not Unique)
Field | Sequence |
---|---|
okey_yr | 1 |
okey_mn | 2 |
okey_dy | 3 |
CREATE TABLE EXAMPLE QUERY
CREATE TABLE `SRLive`.`MsgOptionNbboQuote` (
`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',
`updateType` ENUM('None','PrcChange','SizeOnly','PrevPeriod') NOT NULL DEFAULT 'None',
`bidPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'bid price',
`askPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'ask price',
`bidSize` INT NOT NULL DEFAULT 0 COMMENT 'bid size in contracts (largest exch quote)',
`askSize` INT NOT NULL DEFAULT 0 COMMENT 'ask size in contracts (largest exch quote)',
`cumBidSize` INT NOT NULL DEFAULT 0 COMMENT 'bid size in contracts (total nbbo size)',
`cumAskSize` INT NOT NULL DEFAULT 0 COMMENT 'ask size in contracts (total nbbo size)',
`bidExch` ENUM('None','AMEX','BOX','CBOE','ISE','NYSE','PHLX','NSDQ','BATS','C2','NQBX','MIAX','GMNI','CME','CBOT','NYMEX','COMEX','ICE','EDGO','MCRY','MPRL','SDRK','DQTE','EMLD','CFE','MEMX','EUREX','CEDX','NXAM','NXBR','NXLS','NXML','NXOS','NXP','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'first (or largest remaining) exchange at bid price',
`askExch` ENUM('None','AMEX','BOX','CBOE','ISE','NYSE','PHLX','NSDQ','BATS','C2','NQBX','MIAX','GMNI','CME','CBOT','NYMEX','COMEX','ICE','EDGO','MCRY','MPRL','SDRK','DQTE','EMLD','CFE','MEMX','EUREX','CEDX','NXAM','NXBR','NXLS','NXML','NXOS','NXP','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'first (or largest remaining) exchange at ask price',
`bidMask` INT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'exchange bid bit mask',
`askMask` INT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'exchange ask bit mask',
`bidMktType` VARCHAR(255) NOT NULL DEFAULT 'None' COMMENT 'bid side quote flags (if any)',
`askMktType` VARCHAR(255) NOT NULL DEFAULT 'None' COMMENT 'ask side quote flags (if any)',
`bidPrice2` FLOAT NOT NULL DEFAULT 0 COMMENT '2nd best bid price',
`askPrice2` FLOAT NOT NULL DEFAULT 0 COMMENT '2nd best ask price',
`cumBidSize2` INT NOT NULL DEFAULT 0 COMMENT 'cumulative size at 2nd price',
`cumAskSize2` INT NOT NULL DEFAULT 0 COMMENT 'cumulative size at 2nd price',
`bidTime` INT NOT NULL DEFAULT 0 COMMENT 'last bid price change (milliseconds since midnight) calculated from the srcTimestamp',
`askTime` INT NOT NULL DEFAULT 0 COMMENT 'last ask price change (milliseconds since midnight) calculated from the srcTimestamp',
`srcTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'source 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',
PRIMARY KEY USING HASH (`okey_tk`,`okey_yr`,`okey_mn`,`okey_dy`,`okey_xx`,`okey_cp`,`okey_at`,`okey_ts`),
KEY `ExpirationIndex` (`okey_yr`,`okey_mn`,`okey_dy`) USING HASH
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='This table contains live option quote records from OPRA (equities) or the listing exchange (futures). Each record contains up to two price levels and represents a live snapshot of the book for a specific option series. There are typically 1mm+ records in this table if all ticker sources are enabled.';
SELECT TABLE EXAMPLE QUERY
SELECT
`okey_at`,
`okey_ts`,
`okey_tk`,
`okey_yr`,
`okey_mn`,
`okey_dy`,
`okey_xx`,
`okey_cp`,
`updateType`,
`bidPrice`,
`askPrice`,
`bidSize`,
`askSize`,
`cumBidSize`,
`cumAskSize`,
`bidExch`,
`askExch`,
`bidMask`,
`askMask`,
`bidMktType`,
`askMktType`,
`bidPrice2`,
`askPrice2`,
`cumBidSize2`,
`cumAskSize2`,
`bidTime`,
`askTime`,
`srcTimestamp`,
`netTimestamp`
FROM `SRLive`.`MsgOptionNbboQuote`
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 SRLive.doccolumns WHERE TABLE_NAME='OptionNbboQuote' ORDER BY ordinal_position ASC;