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Version: 8.4.08.4

StockCloseMark

V8 Message Definiton

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

METADATA

AttributeValue
Topic3120-market-marks
MLink TokenEqtMarkData
ProductSRLive
accessTypeSELECT

Table Definition

FieldTypeKeyDefault ValueComment
ticker_atenum - AssetTypePRI'None'
ticker_tsenum - TickerSrcPRI'None'
ticker_tkVARCHAR(12)PRI''
tradeDateDATE'1900-01-01'
clsMarkStateenum - ClsMarkState'None'Preview or Final
opnPrcFLOAT0Open price start of regular hours
minPrcFLOAT0Low price during regular hours
maxPrcFLOAT0High price during regular hours
sharesOutstandingBIGINT0Shares outstanding
prtCountINT0Print count entire trading period
prtVolumeBIGINT0Print volume entire trading period
realizedCntINT0number of minute bar segments used in realizedVar calc
realizedVolFLOAT0realizedVol SQRT SUM LOG qteTwapT qteTwapT1 2 realizedCnt 1 minute intervals during market hours
avgMktSizeFLOAT0Average market size
avgMktWidthFLOAT0Average market width
bidPrcFLOAT0bid price close 5 min
askPrcFLOAT0ask price close 5 min
srClsPrcFLOAT0SR close mark close 5 min
closePrcFLOAT0official exchange closing mark or last print
hasSRClsPrcenum - YesNo'None'srClsPrc is valid
hasClosePrcenum - YesNo'None'closePrc is valid otherwise is last print
srCloseMarkDttmDATETIME(6)'1900-01-01 00:00:00.000000'close 5 min datetime
timestampDATETIME(6)'1900-01-01 00:00:00.000000'record publishupdate timestamp

PRIMARY KEY DEFINITION (Unique)

FieldSequence
ticker_tk1
ticker_at2
ticker_ts3

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRLive`.`MsgStockCloseMark` (
`ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
`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',
`ticker_tk` VARCHAR(12) NOT NULL DEFAULT '',
`tradeDate` DATE NOT NULL DEFAULT '1900-01-01',
`clsMarkState` ENUM('None','Preview','Final') NOT NULL DEFAULT 'None' COMMENT 'Preview or Final',
`opnPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'Open price (start of regular hours)',
`minPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'Low price (during regular hours)',
`maxPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'High price (during regular hours)',
`sharesOutstanding` BIGINT NOT NULL DEFAULT 0 COMMENT 'Shares outstanding',
`prtCount` INT NOT NULL DEFAULT 0 COMMENT 'Print count (entire trading period)',
`prtVolume` BIGINT NOT NULL DEFAULT 0 COMMENT 'Print volume (entire trading period)',
`realizedCnt` INT NOT NULL DEFAULT 0 COMMENT 'number of minute bar segments used in realizedVar calc',
`realizedVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'realizedVol = SQRT: SUM[ LOG( qteTwap(T) / qteTwap(T+1) ) ^ 2 ] / realizedCnt @ 1 minute intervals during market hours',
`avgMktSize` FLOAT NOT NULL DEFAULT 0 COMMENT 'Average market size',
`avgMktWidth` FLOAT NOT NULL DEFAULT 0 COMMENT 'Average market width',
`bidPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'bid price (close - 5 min)',
`askPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'ask price (close - 5 min)',
`srClsPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR close mark (close - 5 min)',
`closePrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'official exchange closing mark (or last print)',
`hasSRClsPrc` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'srClsPrc is valid',
`hasClosePrc` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'closePrc is valid; otherwise is last print',
`srCloseMarkDttm` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT '(close - 5 min) date/time',
`timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'record publish/update timestamp',
PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='StockCloseMark records are published immediately after the market close - 5 min and again when exchanges publish official marks.\nStockCloseMark records are published to the SpiderRock elastic cluster when clsMarkState=Final';

SELECT TABLE EXAMPLE QUERY

SELECT
`ticker_at`,
`ticker_ts`,
`ticker_tk`,
`tradeDate`,
`clsMarkState`,
`opnPrc`,
`minPrc`,
`maxPrc`,
`sharesOutstanding`,
`prtCount`,
`prtVolume`,
`realizedCnt`,
`realizedVol`,
`avgMktSize`,
`avgMktWidth`,
`bidPrc`,
`askPrc`,
`srClsPrc`,
`closePrc`,
`hasSRClsPrc`,
`hasClosePrc`,
`srCloseMarkDttm`,
`timestamp`
FROM `SRLive`.`MsgStockCloseMark`
WHERE
/* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */
`ticker_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') */
`ticker_ts` = 'None'
AND
/* Replace with a VARCHAR(12) */
`ticker_tk` = 'Example_ticker_tk';

Doc Columns Query

SELECT * FROM SRLive.doccolumns WHERE TABLE_NAME='StockCloseMark' ORDER BY ordinal_position ASC;