StockPrintSet

V8 Message Definiton

StockPrintSet records are created for each print and published to the SpiderRock elastic cluster 10 minutes later, when T+10M markup detail is available.

METADATA

Attribute	Value
Topic	2990-market-data-stock
MLink Token	EqtAnalytics
Product	SRAnalytics
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
ticker_at	enum - AssetType	PRI	'None'
ticker_ts	enum - TickerSrc	PRI	'None'
ticker_tk	VARCHAR(12)	PRI	''
prtNumber	BIGINT	PRI	0	Unique print set identifier will increment but not guaranteed to be sequential
updateType	enum - PrtUpdateType		'None'
prtExch	enum - StkExch		'None'	print exch
prtSize	INT		0	print size
prtPrice	FLOAT		0	print price level
prtClusterNum	INT		0	incremental print cluster counter one counter per ticker used to group prints into clusters
prtClusterSize	INT		0	cumulative size of prints in this sequence prints same or more aggressive price with less than 25 ms elapsing since first print can span exchanges
prtVolume	INT		0	cumulative print size today
mrkPrice	FLOAT		0	last regular market print price
prtType	enum - StkPrintType		'None'
prtCond1	TINYINT UNSIGNED		0	print condition from SIP feed
prtCond2	TINYINT UNSIGNED		0
prtCond3	TINYINT UNSIGNED		0
prtCond4	TINYINT UNSIGNED		0
prtSide	enum - PrtSide		'None'	Print side None Mid Bid Ask
prtTimestamp	BIGINT		0	exchange high precision timestamp if available
netTimestamp	BIGINT		0	inbound print packet PTP timestamp from SR gateway switchusually syncronized with facility grandfather clock
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'
bidPrice	FLOAT		0	nbbo bid print arrival time
askPrice	FLOAT		0	nbbo ask print arrival time
bidSize	INT		0
askSize	INT		0
bidPrice2	FLOAT		0	nbbo 2nd best bid print arrival time
askPrice2	FLOAT		0	nbbo 2nd best ask print arrival time
bidSize2	INT		0	nbbo 2nd best bid size
askSize2	INT		0	nbbo 2nd best ask size
prtProbability	FLOAT		0	probability that buying prtSize shares prtPrice will have positive m1 pnl prtPriceM1 prtPrice recorded at time of print
bidPriceM1	FLOAT		0	Bid price 1 minute
askPriceM1	FLOAT		0	Ask price 1 minute
prtPriceM1	FLOAT		0	market price 1 minute midquote if not intervening printsmost recent print otherwise
pnlM1	FLOAT		0	pnl after 1 minute
pnlM1Err	enum - YesNo		'None'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
ticker_tk	1
ticker_at	2
ticker_ts	3
prtNumber	4

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgStockPrintSet` (
    `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','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `prtNumber` BIGINT NOT NULL DEFAULT 0 COMMENT 'Unique print set identifier, will increment but not guaranteed to be sequential',
    `updateType` ENUM('None','Print','Markup') NOT NULL DEFAULT 'None',
    `prtExch` ENUM('None','AMEX','NQBX','NSX','FNRA','ISE','EDGA','EDGX','CHX','NYSE','ARCA','NSDQ','CBSX','PSX','BTSY','BATS','CBIDX','IEX','OTC','MPRL','LTSE','MEMX','MXIDX','DJIDX','BXE','CXE','DXE','XETRA','NXAM','NXBR','NXLS','NXML','NXOS','NXP') NOT NULL DEFAULT 'None' COMMENT 'print exch',
    `prtSize` INT NOT NULL DEFAULT 0 COMMENT 'print size',
    `prtPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'print price level',
    `prtClusterNum` INT NOT NULL DEFAULT 0 COMMENT 'incremental print cluster counter (one counter per ticker; used to group prints into clusters)',
    `prtClusterSize` INT NOT NULL DEFAULT 0 COMMENT 'cumulative size of prints in this sequence (prints @ same or more aggressive price with less than 25 ms elapsing since first print; can span exchanges)',
    `prtVolume` INT NOT NULL DEFAULT 0 COMMENT 'cumulative print size today',
    `mrkPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'last regular market print price',
    `prtType` ENUM('None','RegularSequence','OutOfSequence','VolumeOnly','ExtendedHours','OddLot','OddLotExtendedHours') NOT NULL DEFAULT 'None',
    `prtCond1` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'print condition (from SIP feed)',
    `prtCond2` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `prtCond3` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `prtCond4` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `prtSide` ENUM('None','Mid','Bid','Ask') NOT NULL DEFAULT 'None' COMMENT 'Print side: None; Mid; Bid; Ask',
    `prtTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'exchange high precision timestamp (if available)',
    `netTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'inbound print packet PTP timestamp from SR gateway switch;usually syncronized with facility grandfather clock',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    `bidPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'nbbo bid @ print arrival time',
    `askPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'nbbo ask @ print arrival time',
    `bidSize` INT NOT NULL DEFAULT 0,
    `askSize` INT NOT NULL DEFAULT 0,
    `bidPrice2` FLOAT NOT NULL DEFAULT 0 COMMENT 'nbbo 2nd best bid @ print arrival time',
    `askPrice2` FLOAT NOT NULL DEFAULT 0 COMMENT 'nbbo 2nd best ask @ print arrival time',
    `bidSize2` INT NOT NULL DEFAULT 0 COMMENT 'nbbo 2nd best bid size',
    `askSize2` INT NOT NULL DEFAULT 0 COMMENT 'nbbo 2nd best ask size',
    `prtProbability` FLOAT NOT NULL DEFAULT 0 COMMENT 'probability that buying prtSize shares @ prtPrice will have positive m1 pnl (prtPriceM1 >= prtPrice) [recorded at time of print]',
    `bidPriceM1` FLOAT NOT NULL DEFAULT 0 COMMENT 'Bid price +1 minute',
    `askPriceM1` FLOAT NOT NULL DEFAULT 0 COMMENT 'Ask price +1 minute',
    `prtPriceM1` FLOAT NOT NULL DEFAULT 0 COMMENT 'market price +1 minute [mid-quote if not intervening prints;most recent print otherwise]',
    `pnlM1` FLOAT NOT NULL DEFAULT 0 COMMENT 'pnl after 1 minute',
    `pnlM1Err` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`,`prtNumber`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='StockPrintSet records are created for each print and published to the SpiderRock elastic cluster 10 minutes later, when T+10M markup detail is available.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `prtNumber`,
    `updateType`,
    `prtExch`,
    `prtSize`,
    `prtPrice`,
    `prtClusterNum`,
    `prtClusterSize`,
    `prtVolume`,
    `mrkPrice`,
    `prtType`,
    `prtCond1`,
    `prtCond2`,
    `prtCond3`,
    `prtCond4`,
    `prtSide`,
    `prtTimestamp`,
    `netTimestamp`,
    `timestamp`,
    `bidPrice`,
    `askPrice`,
    `bidSize`,
    `askSize`,
    `bidPrice2`,
    `askPrice2`,
    `bidSize2`,
    `askSize2`,
    `prtProbability`,
    `bidPriceM1`,
    `askPriceM1`,
    `prtPriceM1`,
    `pnlM1`,
    `pnlM1Err`
FROM `SRAnalytics`.`MsgStockPrintSet`
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','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') */ 
    `ticker_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ticker_tk` = 'Example_ticker_tk'
  AND
    /* Replace with a BIGINT */ 
    `prtNumber` = 1234567890;

Doc Columns Query

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