AuctionPrint

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'	AuctionNoticenoticeNumber
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
noticeTime	DATETIME(6)		'1900-01-01 00:00:00.000000'	notice create timestamp high precision
auctionType	enum - AuctionType		'None'	eg Block Flash Improvement Facilitation etc
auctionSource	enum - AuctionSource		'None'	source of the auction notice eg SRC MIAX etc
industry	TINYTEXT		''	industry string
symbolType	enum - SymbolType		'None'
uAvgDailyVlm	FLOAT		0	underlier average daily trading volume
custSide	enum - BuySell		'None'	from AuctionNotice if known
custQty	INT		0	from AuctionNotice if known
custPrc	DOUBLE		0	from AuctionNotice if known
hasCustPrc	enum - YesNo		'None'	from AuctionNotice if known
custFirmType	enum - FirmType		'None'	cust firm type if disclosed
custAgentMPID	VARCHAR(6)		''	cust agent exchange member initiating the auction if disclosed
commEnhancement	FLOAT		0	additional commission if any paid by responder
numOptLegs	TINYINT UNSIGNED		0	MLEG Only
spreadClass	enum - ToolSpreadClass		'None'
spreadFlavor	enum - SpreadFlavor		'None'	MLEG Only
containsHedge	enum - YesNo		'None'	MLEG Only
containsFlex	enum - YesNo		'None'	contains FLEX options not regular listed options
containsMultiHedge	enum - YesNo		'None'	contains MultiHedge corp action adjusted options
uBid	DOUBLE		0
uAsk	DOUBLE		0
netDe	FLOAT		0
netGa	FLOAT		0
netTh	FLOAT		0
netVe	FLOAT		0
pkgSurfPrc	FLOAT		0	SR Surface Price entire package
pkgBidPrc	FLOAT		0	pkg bid price best way price entire package
pkgAskPrc	FLOAT		0	pkg ask price best way price entire package
prtPrice	DOUBLE		0	reported OPRA print price pkgPrice if MLeg
prtPrice2	DOUBLE		0	if reported as 2 separate prints at different prices ie partial size improvement
prtSize	INT		0	reported OPRA print size pgkSize if MLeg
prtSize2	INT		0	reported OPRA print size pgkSize if MLeg
prtTime	DATETIME(6)		'1900-01-01 00:00:00.000000'	reported OPRA print time 1st print if MLeg high precision
prtType	enum - PrtType		'None'	reported OPRA print type
prtUBid	DOUBLE		0	best estimate of uBid auction print time
prtUAsk	DOUBLE		0	best estimate of uAsk auction print time
prtUPrc	DOUBLE		0	best estimate of uPrc auction print time
prtSurfVol	FLOAT		0	surface vol auction print time single option auction only
prtSurfPrc	FLOAT		0	surface prc auction print time uMid pkgSurfPrc if MLeg
bidPrc	FLOAT		0	option nbbo bid auction print time
bidSz	INT		0	nbbo bid cum size
bidMask	INT UNSIGNED		0	nbbo bid exch mask
askPrc	FLOAT		0	option nbbo ask auction print time
askSz	INT		0	nbbo ask cum size
askMask	INT UNSIGNED		0	nbbo ask exch mask
exchBidPrc	FLOAT		0	exch bid auction print time
exchBidSz	INT		0	exch bid size
exchAskPrc	FLOAT		0	exch ask auction print time
exchAskSz	INT		0	exch ask size
uPrc1m	FLOAT		0	uPrc mid market auction print time 1m
bidPrc1m	FLOAT		0	option nbbo bid auction print time 1m
askPrc1m	FLOAT		0	option nbbo ask auction print time 1m
surfVol1m	FLOAT		0	surface vol auction print time 1m single option auction only
surfPrc1m	FLOAT		0	surface prc auction print time 1m uMid
uPrc10m	FLOAT		0	uPrc mid market auction print time 10m
bidPrc10m	FLOAT		0	option nbbo bid auction print time 10m
askPrc10m	FLOAT		0	option nbbo ask auction print time 10m
surfVol10m	FLOAT		0	surface vol auction print time 10m single option auction only
surfPrc10m	FLOAT		0	surface prc auction print time 10m uMid
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'
OrderLegsList	JSON		'JSON_OBJECT()'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
noticeNumber	1

JSON Block (OrderLegsList)

Field	Type	Comment
secKey	OptionKey
secType	enum - secType
side	enum - side
ratio	ushort
undPerCn	int
pointValue	float
expType	enum - expType	ZDteDailyWeeklyRegularQuarterlyLongTermOtherExp
years	float	SR volatility years to expiry
rate	float	SR global discount rate to expiry
atmVol	float	ATM fwd uPrc SR surface volatility
ddivPv	float	SR present value of ddiv stream
tVol	float	client theo surface volatility if client surfaces uploaded to SR
sVol	float	SR Surface Volatility
sDiv	float	SR Surface SDiv
sPrc	float	SR Surface Price
de	float
ga	float
th	float
ve	float
sVolOk	enum - sVolOk	Yes if live market and sVol are tracking as expected
oBid	float	NBBO bid price
oBidSz	int	cumulative NBBO bid size
oBidMask	uint	bitmask of participating NBBO exchanges
oAsk	float	NBBO ask price
oAskSz	int	cumulative NBBO ask size
oAskMask	uint	bitmask of participating NBBO exchanges

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRTrade`.`MsgAuctionPrint` (
    `noticeNumber` CHAR(19) NOT NULL DEFAULT '0000-0000-0000-0000' COMMENT 'AuctionNotice.noticeNumber',
    `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)',
    `noticeTime` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'notice create timestamp (high precision)',
    `auctionType` ENUM('None','Exposure','Improvement','Facilitation','Solicitation','Opening','Closing','RFQ','Block','Flash') NOT NULL DEFAULT 'None' COMMENT '(eg. Block, Flash, Improvement, Facilitation, etc.)',
    `auctionSource` ENUM('None','SRC','AMEX','BOX','CBOE','ISE','NYSE','PHLX','NSDQ','BATS','C2','NQBX','MIAX','GMNI','EDGO','MCRY','MPRL','EMLD','MEMX','CME','CBOT','NYMEX','COMEX','ICE','EUREX') NOT NULL DEFAULT 'None' COMMENT 'source of the auction notice (eg. SRC, MIAX, etc.)',
    `industry` TINYTEXT NOT NULL DEFAULT '' COMMENT 'industry string',
    `symbolType` ENUM('None','Equity','ADR','ETF','CashIndex','MutualFund','ShortETF','Future','Bond','DepReceipts','PreferredSec','PreferenceShare','StructuredProd','StapledSec','TradeableRights','Unit','Warrant','WhenIssued','ForeignIssue') NOT NULL DEFAULT 'None',
    `uAvgDailyVlm` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier average daily trading volume',
    `custSide` ENUM('None','Buy','Sell') NOT NULL DEFAULT 'None' COMMENT 'from AuctionNotice (if known)',
    `custQty` INT NOT NULL DEFAULT 0 COMMENT 'from AuctionNotice (if known)',
    `custPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'from AuctionNotice (if known)',
    `hasCustPrc` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'from AuctionNotice (if known)',
    `custFirmType` ENUM('None','Customer','Firm','MarketMaker','ProCustomer','BrokerDealer','AwayMM','FirmJBO','BrkrDlrCust') NOT NULL DEFAULT 'None' COMMENT 'cust firm type (if disclosed)',
    `custAgentMPID` VARCHAR(6) NOT NULL DEFAULT '' COMMENT 'cust agent exchange member initiating the auction (if disclosed)',
    `commEnhancement` FLOAT NOT NULL DEFAULT 0 COMMENT 'additional commission (if any) paid by responder',
    `numOptLegs` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'MLEG Only',
    `spreadClass` ENUM('None','Stk','Fut','Call','Put','Synth','RevCon','Box','JRoll','Roll','Straddle','Strangle','CSpread','PSpread','VStrip','VSpread','HStrip','HSpread','BFly','RiskRev','Mixed','VarSwap') NOT NULL DEFAULT 'None',
    `spreadFlavor` ENUM('None','Normal','Flipped') NOT NULL DEFAULT 'None' COMMENT 'MLEG Only',
    `containsHedge` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'MLEG Only',
    `containsFlex` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'contains FLEX options (not regular listed options)',
    `containsMultiHedge` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'contains MultiHedge (corp action adjusted) options',
    `uBid` DOUBLE NOT NULL DEFAULT 0,
    `uAsk` DOUBLE NOT NULL DEFAULT 0,
    `netDe` FLOAT NOT NULL DEFAULT 0,
    `netGa` FLOAT NOT NULL DEFAULT 0,
    `netTh` FLOAT NOT NULL DEFAULT 0,
    `netVe` FLOAT NOT NULL DEFAULT 0,
    `pkgSurfPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR Surface Price (entire package)',
    `pkgBidPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'pkg bid price (best way price) (entire package)',
    `pkgAskPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'pkg ask price (best way price) (entire package)',
    `prtPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'reported OPRA print price (pkgPrice if MLeg)',
    `prtPrice2` DOUBLE NOT NULL DEFAULT 0 COMMENT 'if reported as 2 separate prints at different prices (ie, partial size improvement)',
    `prtSize` INT NOT NULL DEFAULT 0 COMMENT 'reported OPRA print size (pgkSize if MLeg)',
    `prtSize2` INT NOT NULL DEFAULT 0 COMMENT 'reported OPRA print size (pgkSize if MLeg)',
    `prtTime` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'reported OPRA print time (1st print if MLeg) (high precision)',
    `prtType` ENUM('None','CANC','OSEQ','CNCL','LATE','CNCO','OPEN','CNOL','OPNL','AUTO','REOP','ISOI','SLAN','SLAI','SLCN','SCLI','SLFT','MLET','MLAT','MLCT','MLFT','MESL','TLAT','MASL','MFSL','TLET','TLCT','TLFT','TESL','TASL','TFSL','CBMO','MCTP','EXHT') NOT NULL DEFAULT 'None' COMMENT 'reported OPRA print type',
    `prtUBid` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best estimate of uBid @ auction print time',
    `prtUAsk` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best estimate of uAsk @ auction print time',
    `prtUPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best estimate of uPrc @ auction print time',
    `prtSurfVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface vol @ auction print time (single option auction only)',
    `prtSurfPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface prc @ auction print time (@ uMid) (pkgSurfPrc if MLeg)',
    `bidPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo bid @ auction print time',
    `bidSz` INT NOT NULL DEFAULT 0 COMMENT 'nbbo bid cum size',
    `bidMask` INT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'nbbo bid exch mask',
    `askPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo ask @ auction print time',
    `askSz` INT NOT NULL DEFAULT 0 COMMENT 'nbbo ask cum size',
    `askMask` INT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'nbbo ask exch mask',
    `exchBidPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'exch bid @ auction print time',
    `exchBidSz` INT NOT NULL DEFAULT 0 COMMENT 'exch bid size',
    `exchAskPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'exch ask @ auction print time',
    `exchAskSz` INT NOT NULL DEFAULT 0 COMMENT 'exch ask size',
    `uPrc1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'uPrc (mid market) @ auction print time + 1m',
    `bidPrc1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo bid @ auction print time + 1m',
    `askPrc1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo ask @ auction print time + 1m',
    `surfVol1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface vol @ auction print time + 1m (single option auction only)',
    `surfPrc1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface prc @ auction print time + 1m (@ uMid)',
    `uPrc10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'uPrc (mid market) @ auction print time + 10m',
    `bidPrc10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo bid @ auction print time + 10m',
    `askPrc10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo ask @ auction print time + 10m',
    `surfVol10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface vol @ auction print time + 10m (single option auction only)',
    `surfPrc10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface prc @ auction print time + 10m (@ uMid)',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    `OrderLegsList` JSON NOT NULL DEFAULT JSON_OBJECT() CHECK(JSON_VALID(OrderLegsList)),
    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`,
    `noticeTime`,
    `auctionType`,
    `auctionSource`,
    `industry`,
    `symbolType`,
    `uAvgDailyVlm`,
    `custSide`,
    `custQty`,
    `custPrc`,
    `hasCustPrc`,
    `custFirmType`,
    `custAgentMPID`,
    `commEnhancement`,
    `numOptLegs`,
    `spreadClass`,
    `spreadFlavor`,
    `containsHedge`,
    `containsFlex`,
    `containsMultiHedge`,
    `uBid`,
    `uAsk`,
    `netDe`,
    `netGa`,
    `netTh`,
    `netVe`,
    `pkgSurfPrc`,
    `pkgBidPrc`,
    `pkgAskPrc`,
    `prtPrice`,
    `prtPrice2`,
    `prtSize`,
    `prtSize2`,
    `prtTime`,
    `prtType`,
    `prtUBid`,
    `prtUAsk`,
    `prtUPrc`,
    `prtSurfVol`,
    `prtSurfPrc`,
    `bidPrc`,
    `bidSz`,
    `bidMask`,
    `askPrc`,
    `askSz`,
    `askMask`,
    `exchBidPrc`,
    `exchBidSz`,
    `exchAskPrc`,
    `exchAskSz`,
    `uPrc1m`,
    `bidPrc1m`,
    `askPrc1m`,
    `surfVol1m`,
    `surfPrc1m`,
    `uPrc10m`,
    `bidPrc10m`,
    `askPrc10m`,
    `surfVol10m`,
    `surfPrc10m`,
    `timestamp`,
    `OrderLegsList`
FROM `SRTrade`.`MsgAuctionPrint`
WHERE 
    /* Replace with a CHAR(19) */
    `noticeNumber` = 'Example_noticeNumber';

Doc Columns Query

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