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Version: 8.4.08.4

OptionOpenMark

V8 Message Definiton

OptionOpenMark records are created during the end-of-day rotation for each product and intended for use the following trading day.

METADATA

AttributeValue
Topic3120-market-marks
MLink TokenOptMarkData
ProductSRLive
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'
opnMarkStateenum - OpnMarkState'None'Preview or Final note preview is not corp action adjusted
uSrClsDOUBLE0SR open uMark SR close uMark C 5m overnight adjusted
uCloseDOUBLE0exchange open uMark exchange close uMark overnight adjusted
srClsPrcDOUBLE0SR open mark SR close mark close 5m overnight adjusted
closePrcDOUBLE0exchange open mark exchange close mark overnight adjusted if available
srPrcFLOAT0SR open surface price SR close surface price overnight adjusted
srVolFLOAT0SR surface volatility
srSrcenum - MarkSource'None'
deFLOAT0greeks from SR surface volatility
gaFLOAT0
thFLOAT0
veFLOAT0
voFLOAT0volga SR surface
vaFLOAT0vanna SR surface
rhFLOAT0
phFLOAT0
srSlopeFLOAT0surface slope SR surface
deDecayFLOAT0
sdivFLOAT0term sdiv stock dividend rate
ddivFLOAT0sum of discrete dividends
ddivPvFLOAT0sum of present value of discrete dividends
rateFLOAT0term discount rate
yearsFLOAT0years to expiration
errorTINYINT UNSIGNED0pricing calc error 0 none
corpActionTINYTEXT''
timestampDATETIME(6)'1900-01-01 00:00:00.000000'

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 `SRLive`.`MsgOptionOpenMark` (
`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',
`opnMarkState` ENUM('None','Preview','Final') NOT NULL DEFAULT 'None' COMMENT 'Preview or Final (note: preview is not corp action adjusted)',
`uSrCls` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SR open uMark; [SR close uMark (C - 5m) overnight adjusted]',
`uClose` DOUBLE NOT NULL DEFAULT 0 COMMENT 'exchange open uMark; [exchange close uMark overnight adjusted]',
`srClsPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SR open mark; [SR close mark (close - 5m) overnight adjusted]',
`closePrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'exchange open mark; [exchange close mark overnight adjusted] [if available]',
`srPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR open surface price; [SR close surface price overnight adjusted]',
`srVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR surface volatility',
`srSrc` ENUM('None','NbboMid','SRVol','LoBound','HiBound','Other') NOT NULL DEFAULT 'None',
`de` FLOAT NOT NULL DEFAULT 0 COMMENT 'greeks from SR surface volatility',
`ga` FLOAT NOT NULL DEFAULT 0,
`th` FLOAT NOT NULL DEFAULT 0,
`ve` FLOAT NOT NULL DEFAULT 0,
`vo` FLOAT NOT NULL DEFAULT 0 COMMENT 'volga (SR surface)',
`va` FLOAT NOT NULL DEFAULT 0 COMMENT 'vanna (SR surface)',
`rh` FLOAT NOT NULL DEFAULT 0,
`ph` FLOAT NOT NULL DEFAULT 0,
`srSlope` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface slope (SR surface)',
`deDecay` FLOAT NOT NULL DEFAULT 0,
`sdiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'term sdiv (stock dividend) rate',
`ddiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of discrete dividends',
`ddivPv` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of present value of discrete dividends',
`rate` FLOAT NOT NULL DEFAULT 0 COMMENT 'term discount rate',
`years` FLOAT NOT NULL DEFAULT 0 COMMENT 'years to expiration',
`error` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'pricing calc error (0 = none)',
`corpAction` TINYTEXT NOT NULL DEFAULT '',
`timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
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='OptionOpenMark records are created during the end-of-day rotation for each product and intended for use the following trading day.';

SELECT TABLE EXAMPLE QUERY

SELECT
`okey_at`,
`okey_ts`,
`okey_tk`,
`okey_yr`,
`okey_mn`,
`okey_dy`,
`okey_xx`,
`okey_cp`,
`tradeDate`,
`opnMarkState`,
`uSrCls`,
`uClose`,
`srClsPrc`,
`closePrc`,
`srPrc`,
`srVol`,
`srSrc`,
`de`,
`ga`,
`th`,
`ve`,
`vo`,
`va`,
`rh`,
`ph`,
`srSlope`,
`deDecay`,
`sdiv`,
`ddiv`,
`ddivPv`,
`rate`,
`years`,
`error`,
`corpAction`,
`timestamp`
FROM `SRLive`.`MsgOptionOpenMark`
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='OptionOpenMark' ORDER BY ordinal_position ASC;