FuturePrintProbability

V8 Message Definiton

METADATA

Attribute	Value
Topic	4255-probabilities
MLink Token	FutProbModel
Product	SRAnalytics
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
fkey_at	enum - AssetType	PRI	'None'
fkey_ts	enum - TickerSrc	PRI	'None'
fkey_tk	VARCHAR(12)	PRI	''
fkey_yr	SMALLINT UNSIGNED	PRI	0
fkey_mn	TINYINT UNSIGNED	PRI	0
fkey_dy	TINYINT UNSIGNED	PRI	0
stateModel	enum - StateModel	PRI	'None'
prtPrice	DOUBLE		0
prtSize	INT		0
prtProb	FLOAT		0	probability that this print will result in positive PnL
prtSide	enum - BuySell		'None'
bidPrice	DOUBLE		0	nbbo bid price
askPrice	DOUBLE		0	nbbo ask price
bidSize	INT		0	cumulative size bid price
askSize	INT		0	cumulative size ask price
avgBLink1m	FLOAT		0	average buy link value trailing 10
maeBLink1m	FLOAT		0	buy link value mean abs err trailing 1000
avgSLink1m	FLOAT		0	average sell link value trailing 10
maeSLink1m	FLOAT		0	sell link value mean abs err trailing 1000
avgBLink10m	FLOAT		0	average buy link value trailing 100
maeBLink10m	FLOAT		0	bid link value mean abs err trailing 1000
avgSLink10m	FLOAT		0	average ask link value trailing 100
maeSLink10m	FLOAT		0	ask link value mean abs err trailing 1000
bCounter	INT		0	buy counter
sCounter	INT		0	sell counter
prtTimestamp	BIGINT		0	feed timestamp from the packet
netTimestamp	BIGINT		0	inbound packet PTP timestamp from SR gateway switch from FuturePrint
smsTimestamp	BIGINT		0	state model server timestamp just before publish

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
fkey_tk	1
fkey_yr	2
fkey_mn	3
fkey_dy	4
fkey_at	5
fkey_ts	6
stateModel	7

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgFuturePrintProbability` (
    `fkey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
    `fkey_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None',
    `fkey_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `fkey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0,
    `fkey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `fkey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `stateModel` ENUM('None','M1','M2','M3','M4') NOT NULL DEFAULT 'None',
    `prtPrice` DOUBLE NOT NULL DEFAULT 0,
    `prtSize` INT NOT NULL DEFAULT 0,
    `prtProb` FLOAT NOT NULL DEFAULT 0 COMMENT 'probability that this print will result in positive PnL',
    `prtSide` ENUM('None','Buy','Sell') NOT NULL DEFAULT 'None',
    `bidPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'nbbo bid price',
    `askPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'nbbo ask price',
    `bidSize` INT NOT NULL DEFAULT 0 COMMENT 'cumulative size @ bid price',
    `askSize` INT NOT NULL DEFAULT 0 COMMENT 'cumulative size @ ask price',
    `avgBLink1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'average buy link value (trailing 10)',
    `maeBLink1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'buy link value mean abs err (trailing 1000)',
    `avgSLink1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'average sell link value (trailing 10)',
    `maeSLink1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'sell link value mean abs err (trailing 1000)',
    `avgBLink10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'average buy link value (trailing 100)',
    `maeBLink10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'bid link value mean abs err (trailing 1000)',
    `avgSLink10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'average ask link value (trailing 100)',
    `maeSLink10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'ask link value mean abs err (trailing 1000)',
    `bCounter` INT NOT NULL DEFAULT 0 COMMENT 'buy counter',
    `sCounter` INT NOT NULL DEFAULT 0 COMMENT 'sell counter',
    `prtTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'feed timestamp from the packet',
    `netTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'inbound packet PTP timestamp from SR gateway switch (from FuturePrint)',
    `smsTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'state model server timestamp (just before publish)',
    PRIMARY KEY USING HASH (`fkey_tk`,`fkey_yr`,`fkey_mn`,`fkey_dy`,`fkey_at`,`fkey_ts`,`stateModel`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='';

SELECT TABLE EXAMPLE QUERY

SELECT
    `fkey_at`,
    `fkey_ts`,
    `fkey_tk`,
    `fkey_yr`,
    `fkey_mn`,
    `fkey_dy`,
    `stateModel`,
    `prtPrice`,
    `prtSize`,
    `prtProb`,
    `prtSide`,
    `bidPrice`,
    `askPrice`,
    `bidSize`,
    `askSize`,
    `avgBLink1m`,
    `maeBLink1m`,
    `avgSLink1m`,
    `maeSLink1m`,
    `avgBLink10m`,
    `maeBLink10m`,
    `avgSLink10m`,
    `maeSLink10m`,
    `bCounter`,
    `sCounter`,
    `prtTimestamp`,
    `netTimestamp`,
    `smsTimestamp`
FROM `SRAnalytics`.`MsgFuturePrintProbability`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `fkey_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','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') */ 
    `fkey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `fkey_tk` = 'Example_fkey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `fkey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `fkey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `fkey_dy` = 1
  AND
    /* Replace with a ENUM('None','M1','M2','M3','M4') */ 
    `stateModel` = 'None';

Doc Columns Query

SELECT * FROM SRAnalytics.doccolumns WHERE TABLE_NAME='FuturePrintProbability' ORDER BY ordinal_position ASC;