SyntheticExpiryQuote
Live synthetic expiry quotes are SpiderRock option/expiry underlier quotes. These can be from synthetic/implied futures quotes or other sources
METADATA
Attribute | Value |
---|---|
Topic | 2675-market-data-index |
MLink Token | SystemData |
Product | SRLive |
accessType | SELECT |
Table Definition
Field | Type | Key | Default Value | Comment |
---|---|---|---|---|
ekey_at | enum - AssetType | PRI | 'None' | root expiry |
ekey_ts | enum - TickerSrc | PRI | 'None' | root expiry |
ekey_tk | VARCHAR(12) | PRI | '' | root expiry |
ekey_yr | SMALLINT UNSIGNED | PRI | 0 | root expiry |
ekey_mn | TINYINT UNSIGNED | PRI | 0 | root expiry |
ekey_dy | TINYINT UNSIGNED | PRI | 0 | root expiry |
fairPrice | DOUBLE | 0 | ||
bidPrice | DOUBLE | 0 | best implied bid price | |
askPrice | DOUBLE | 0 | best implied ask price | |
bidSize | INT | 0 | best implied bid size | |
askSize | INT | 0 | best implied ask size | |
bidSource | enum - SyntheticSource | 'None' | ||
askSource | enum - SyntheticSource | 'None' | ||
marketStatus | enum - MarketStatus | 'None' | composite market status of all dependent markets | |
netTimestamp | BIGINT | 0 | most recent net timestamp of any market affecting this record |
PRIMARY KEY DEFINITION (Unique)
Field | Sequence |
---|---|
ekey_tk | 1 |
ekey_yr | 2 |
ekey_mn | 3 |
ekey_dy | 4 |
ekey_at | 5 |
ekey_ts | 6 |
CREATE TABLE EXAMPLE QUERY
CREATE TABLE `SRLive`.`MsgSyntheticExpiryQuote` (
`ekey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'root + expiry',
`ekey_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 'root + expiry',
`ekey_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'root + expiry',
`ekey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'root + expiry',
`ekey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'root + expiry',
`ekey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'root + expiry',
`fairPrice` DOUBLE NOT NULL DEFAULT 0,
`bidPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best implied bid price',
`askPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best implied ask price',
`bidSize` INT NOT NULL DEFAULT 0 COMMENT 'best implied bid size',
`askSize` INT NOT NULL DEFAULT 0 COMMENT 'best implied ask size',
`bidSource` ENUM('None','Future','FutureRoll','Stock') NOT NULL DEFAULT 'None',
`askSource` ENUM('None','Future','FutureRoll','Stock') NOT NULL DEFAULT 'None',
`marketStatus` ENUM('None','PreOpen','PreCross','Cross','Open','Closed','Halted','AfterHours') NOT NULL DEFAULT 'None' COMMENT 'composite market status of all dependent markets',
`netTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'most recent net timestamp of any market affecting this record',
PRIMARY KEY USING HASH (`ekey_tk`,`ekey_yr`,`ekey_mn`,`ekey_dy`,`ekey_at`,`ekey_ts`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='Live synthetic expiry quotes are SpiderRock option/expiry underlier quotes. These can be from synthetic/implied futures quotes or other sources';
SELECT TABLE EXAMPLE QUERY
SELECT
`ekey_at`,
`ekey_ts`,
`ekey_tk`,
`ekey_yr`,
`ekey_mn`,
`ekey_dy`,
`fairPrice`,
`bidPrice`,
`askPrice`,
`bidSize`,
`askSize`,
`bidSource`,
`askSource`,
`marketStatus`,
`netTimestamp`
FROM `SRLive`.`MsgSyntheticExpiryQuote`
WHERE
/* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */
`ekey_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') */
`ekey_ts` = 'None'
AND
/* Replace with a VARCHAR(12) */
`ekey_tk` = 'Example_ekey_tk'
AND
/* Replace with a SMALLINT UNSIGNED */
`ekey_yr` = 123
AND
/* Replace with a TINYINT UNSIGNED */
`ekey_mn` = 1
AND
/* Replace with a TINYINT UNSIGNED */
`ekey_dy` = 1;
Doc Columns Query
SELECT * FROM SRLive.doccolumns WHERE TABLE_NAME='SyntheticExpiryQuote' ORDER BY ordinal_position ASC;