AuctionNotice

V8 Message Definiton

METADATA

Attribute	Value
Topic	2450-liquidity-notice
MLink Token	SRATS
Product	SRTrade
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
noticeNumber	CHAR(19)	PRI	'0000-0000-0000-0000'
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
shortCode	VARCHAR(8)		''	8 letter auction short code unique per day block auctions only can be used to find auctions on SR tools
auctionType	enum - AuctionType		'None'
auctionEvent	enum - AuctionEvent		'None'
srcAuctionID	VARCHAR(20)		''	auction ID as known by the auction source empty for SRC
srcAuctionType	VARCHAR(4)		''
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'	if available
custQty	INT		0
custPrc	DOUBLE		0	public cust price
hasCustPrc	enum - YesNo		'None'
custFirmType	enum - FirmType		'None'	cust firm type if disclosed
custAgentMPID	VARCHAR(6)		''	cust agent exchange member initiating the auction if disclosed
custClientFirm	VARCHAR(16)		''	cust client firm if disclosed
commEnhancement	FLOAT		0	additional commission if any paid by responder
custCommPaying	enum - YesNo		'None'	client is commission paying to the responder
custQtyCond	enum - CustQtyCond		'None'	UpToQty AllOrNone QtyOrMore
auctionDuration	INT		0	expected auction duration in milliseconds
numOptLegs	TINYINT UNSIGNED		0	MLEG Only
spreadClass	enum - ToolSpreadClass		'None'
limitType	enum - SpdrLimitType		'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
refUPrc	DOUBLE		0
netDe	FLOAT		0
netGa	FLOAT		0
netTh	FLOAT		0
netVe	FLOAT		0
pkgSurfPrc	FLOAT		0	SR Surface Price entire package
pkgTheoPrc	FLOAT		0	Client Theo Price entire package if client surfaces uploaded to SR
pkgBidPrc	FLOAT		0	leg market best way price pkg bid
pkgAskPrc	FLOAT		0	leg market worst way price pkg ask
pointValue	DOUBLE		0	money settlement value of one 10 point of option premiumstrike
pointCurrency	enum - Currency		'None'
srcTimestamp	BIGINT		0
netTimestamp	BIGINT		0
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	from ats exchange net timestamp if possible
includeSRNetwork	enum - InclExclDisclose		'None'
DirectedCounterPartyList	JSON		'JSON_OBJECT()'
OrderLegsList	JSON		'JSON_OBJECT()'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
noticeNumber	1

JSON Block (DirectedCounterPartyList)

Field	Type	Comment
clientFirm	string
inclExcl	enum - inclExcl
isCommPaying	enum - isCommPaying

JSON Block (OrderLegsList)

Field	Type	Comment
secKey	OptionKey
secType	enum - secType
side	enum - side
ratio	ushort
undPerCn	int
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
tPrc	float	client theo price 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`.`MsgAuctionNotice` (
    `noticeNumber` CHAR(19) NOT NULL DEFAULT '0000-0000-0000-0000',
    `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','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','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)',
    `shortCode` VARCHAR(8) NOT NULL DEFAULT '' COMMENT '8 letter auction short code (unique per day) (block auctions only) (can be used to find auctions on SR tools)',
    `auctionType` ENUM('None','Exposure','Improvement','Facilitation','Solicitation','Opening','Closing','RFQ','Block','Flash') NOT NULL DEFAULT 'None',
    `auctionEvent` ENUM('None','Start','Update','End') NOT NULL DEFAULT 'None',
    `srcAuctionID` VARCHAR(20) NOT NULL DEFAULT '' COMMENT 'auction ID as known by the auction source (empty for SRC)',
    `srcAuctionType` VARCHAR(4) NOT NULL DEFAULT '',
    `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 'if available',
    `custQty` INT NOT NULL DEFAULT 0,
    `custPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'public cust price',
    `hasCustPrc` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `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)',
    `custClientFirm` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'cust client firm (if disclosed)',
    `commEnhancement` FLOAT NOT NULL DEFAULT 0 COMMENT 'additional commission (if any) paid by responder',
    `custCommPaying` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'client is commission paying (to the responder)',
    `custQtyCond` ENUM('None','UpToQty','AllOrNone','QtyOrMore') NOT NULL DEFAULT 'None' COMMENT 'UpToQty, AllOrNone, QtyOrMore',
    `auctionDuration` INT NOT NULL DEFAULT 0 COMMENT '[expected] auction duration (in milliseconds)',
    `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',
    `limitType` ENUM('None','Market','MarketArrival','Prc','PrcDe','PrcDeX','PrcDeT','PrcDeP','PrcDeXT','PrcDeXP','Vol','VolX','PrcV','PrcVX','NoLimit','RelMid','RelJoin','RelCross','SmrtFast','SmrtNorm','RelTurn','PrcDeEm','VolEm','Aux','UPrcPct','PkgNeutral','RcPrem','SynthLimitMM','SynthLimitBW','SynthLimitWW') 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,
    `refUPrc` 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)',
    `pkgTheoPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'Client Theo Price (entire package) (if client surfaces uploaded to SR)',
    `pkgBidPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'leg market best way price (pkg bid)',
    `pkgAskPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'leg market worst way price (pkg ask)',
    `pointValue` DOUBLE NOT NULL DEFAULT 0 COMMENT 'money settlement value of one (1.0) point of option premium/strike',
    `pointCurrency` ENUM('None','AUD','BRL','CAD','CHF','CNH','CNY','EUR','GBP','JPY','KRW','MXN','MYR','NOK','NZD','SEK','TRY','USD','USDCents','CZK','ZAR','HUF','USX','GBX') NOT NULL DEFAULT 'None',
    `srcTimestamp` BIGINT NOT NULL DEFAULT 0,
    `netTimestamp` BIGINT NOT NULL DEFAULT 0,
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'from ats / exchange net timestamp if possible',
    `includeSRNetwork` ENUM('None','Include','Exclude','Disclose') NOT NULL DEFAULT 'None',
    `DirectedCounterPartyList` JSON NOT NULL DEFAULT JSON_OBJECT() CHECK(JSON_VALID(DirectedCounterPartyList)),
    `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`,
    `shortCode`,
    `auctionType`,
    `auctionEvent`,
    `srcAuctionID`,
    `srcAuctionType`,
    `auctionSource`,
    `industry`,
    `symbolType`,
    `uAvgDailyVlm`,
    `custSide`,
    `custQty`,
    `custPrc`,
    `hasCustPrc`,
    `custFirmType`,
    `custAgentMPID`,
    `custClientFirm`,
    `commEnhancement`,
    `custCommPaying`,
    `custQtyCond`,
    `auctionDuration`,
    `numOptLegs`,
    `spreadClass`,
    `limitType`,
    `spreadFlavor`,
    `containsHedge`,
    `containsFlex`,
    `containsMultiHedge`,
    `uBid`,
    `uAsk`,
    `refUPrc`,
    `netDe`,
    `netGa`,
    `netTh`,
    `netVe`,
    `pkgSurfPrc`,
    `pkgTheoPrc`,
    `pkgBidPrc`,
    `pkgAskPrc`,
    `pointValue`,
    `pointCurrency`,
    `srcTimestamp`,
    `netTimestamp`,
    `timestamp`,
    `includeSRNetwork`,
    `DirectedCounterPartyList`,
    `OrderLegsList`
FROM `SRTrade`.`MsgAuctionNotice`
WHERE 
    /* Replace with a CHAR(19) */
    `noticeNumber` = 'Example_noticeNumber';

Doc Columns Query

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