OptionQuoteProbability

V8 Message Definiton

METADATA

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

Table Definition

Field	Type	Key	Default Value	Comment
okey_at	enum - AssetType	PRI	'None'
okey_ts	enum - TickerSrc	PRI	'None'
okey_tk	VARCHAR(12)	PRI	''
okey_yr	SMALLINT UNSIGNED	PRI, SEC	0
okey_mn	TINYINT UNSIGNED	PRI, SEC	0
okey_dy	TINYINT UNSIGNED	PRI, SEC	0
okey_xx	DOUBLE	PRI	0
okey_cp	enum - CallPut	PRI	'Call'
stateModel	enum - StateModel	PRI	'None'
uMid	DOUBLE		0	reference underlier midPrice 05 prob price
uPrc	DOUBLE		0	reference underlier price midquote
bidPrice	FLOAT		0	nbbo bid price
askPrice	FLOAT		0	nbbo ask price
bidSize	INT		0	cumulative size bid price
askSize	INT		0	cumulative size ask price
bidTakeProb	FLOAT		0	bid take probability of current nbbo market zero exchange fee average size print
askTakeProb	FLOAT		0	ask take probability of current nbbo market zero exchange fee average size print
bidTakeRv	enum - PredictResult		'None'	model result code
askTakeRv	enum - PredictResult		'None'	model result code
bidImprPrice	FLOAT		0	trial improvement price usually 1 tick or 12 spread inside bidPrice
askImprPrice	FLOAT		0	trial improvement price usually 1 tick or 12 spread inside askPrice
bidTkImProb	FLOAT		0	bid take imprv probability of current nbbo market zero exchange fee prob to sell take bid imprIncrement
askTkImProb	FLOAT		0	ask take imprv probability of current nbbo market zero exchange fee prob to buy take ask imprIncrement
bidTkImRv	enum - PredictResult		'None'	model result code
askTkImRv	enum - PredictResult		'None'	model result code
surfPrice	DOUBLE		0	surface price
surfVol	DOUBLE		0	surface volatility
sdiv	DOUBLE		0	expiry sdiv
surfBuyProb	FLOAT		0	surface buy take probability zero exchange fee average size print
surfSellProb	FLOAT		0	surface sell take probability zero exchange fee average size print
bSurfRv	enum - PredictResult		'None'	model result code
sSurfRv	enum - PredictResult		'None'	model result code
vega	FLOAT		0	option vega
delta	FLOAT		0	option delta
midPrice	FLOAT		0	price corresponding to 050 probability
avgBidLink10m	FLOAT		0	average bid take prob link value 10 min
maeBidLink10m	FLOAT		0	bid link value mean abs err 10 min
avgAskLink10m	FLOAT		0	average ask take prob link value 10 min
maeAskLink10m	FLOAT		0	ask link value mean abs err 10 min
avgMktWidth10m	FLOAT		0	askPrice bidPrice 10 min
counter	INT		0	record update counter zero start of periodper okey
qpSource	enum - QPSource		'None'
srcTimestamp	BIGINT		0	feed timestamp from the packet
netTimestamp	BIGINT		0	inbound packet PTP timestamp from SR gateway switch from OptionNbboQuote
smsTimestamp	BIGINT		0	state model server timestamp just before publish

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
okey_tk	1
okey_yr	2
okey_mn	3
okey_dy	4
okey_xx	5
okey_cp	6
okey_at	7
okey_ts	8
stateModel	9

SECONDARY INDEX (ExpirationIndex) (Not Unique)

Field	Sequence
okey_yr	1
okey_mn	2
okey_dy	3

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgOptionQuoteProbability` (
    `okey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
    `okey_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',
    `okey_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `okey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_xx` DOUBLE NOT NULL DEFAULT 0,
    `okey_cp` ENUM('Call','Put','Pair') NOT NULL DEFAULT 'Call',
    `stateModel` ENUM('None','M1','M2','M3','M4') NOT NULL DEFAULT 'None',
    `uMid` DOUBLE NOT NULL DEFAULT 0 COMMENT 'reference underlier midPrice (0.5 prob price)',
    `uPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'reference underlier price (mid-quote)',
    `bidPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'nbbo bid price',
    `askPrice` FLOAT 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',
    `bidTakeProb` FLOAT NOT NULL DEFAULT 0 COMMENT 'bid take probability of current nbbo market (zero exchange fee) [average size print]',
    `askTakeProb` FLOAT NOT NULL DEFAULT 0 COMMENT 'ask take probability of current nbbo market (zero exchange fee) [average size print]',
    `bidTakeRv` ENUM('None','OK','Skip','CalcErr','LowVol','NoSurfVol','WideOptMkt','Exception','NoOptObj','NoStkObj','NoOptNbbo','NoStkNbbo','NoGbmObj','NoOptMkt','NoOptSummary','NoOptQuoteModel','NoSymExpModel','QuoteModelNotInit','SymExpNotInit','RiskHold','ExchCheck','BrokerCheck','NoBrokers','NoDataChange','PostFlowCheck','SendHold','SendFail','SurfHold','ReduceSize','PendCxl','NoSize','NoExchQte','NoBroker','NoSurface','NoExchDef','NewOrder','NbboHold','PostPxRng','LimitPx','IWait','IHold','FailHold','FadeQuote','ExchRte','ExchHold','TwapState','CreateErr','ChangePx','BrkrNotVld','BadLimit','OffMkt','BhndMkt','NoAuction','Join','Imprv','PredMiss','WithMkt','LockFail','NoGrpModel','NoSpyModel','NoStkModel','NoStkPrt','NoFutNbbo','BadUPrc','BrkrEvent','Done','NoActSize','NoBorrow','NoChange','NoExch','NoFirmPos','NoOrdSize','NotActive','NoTakeLvl','OrderSent','OutLoudHold','PostClear','PredPass','ProbNotVld','RFQ','SpdrOptState','SpdrStkState','SpdrFutState','ExchCnt','ImprMkt','NoPostSz','NoInputs','PendNew','NoFutObj','NoImprRm','NoBid','NoAsk','CThreadErr','CModelNotInit','CDevNotInit','CXCopyErr','CRvMemSet','CCalcErr','CRvCopyErr','CDevFail','CError','NoFutModel','NoOptExpMap','NoImplQte','UPrcRng','BadUPrcAdj') NOT NULL DEFAULT 'None' COMMENT 'model result code',
    `askTakeRv` ENUM('None','OK','Skip','CalcErr','LowVol','NoSurfVol','WideOptMkt','Exception','NoOptObj','NoStkObj','NoOptNbbo','NoStkNbbo','NoGbmObj','NoOptMkt','NoOptSummary','NoOptQuoteModel','NoSymExpModel','QuoteModelNotInit','SymExpNotInit','RiskHold','ExchCheck','BrokerCheck','NoBrokers','NoDataChange','PostFlowCheck','SendHold','SendFail','SurfHold','ReduceSize','PendCxl','NoSize','NoExchQte','NoBroker','NoSurface','NoExchDef','NewOrder','NbboHold','PostPxRng','LimitPx','IWait','IHold','FailHold','FadeQuote','ExchRte','ExchHold','TwapState','CreateErr','ChangePx','BrkrNotVld','BadLimit','OffMkt','BhndMkt','NoAuction','Join','Imprv','PredMiss','WithMkt','LockFail','NoGrpModel','NoSpyModel','NoStkModel','NoStkPrt','NoFutNbbo','BadUPrc','BrkrEvent','Done','NoActSize','NoBorrow','NoChange','NoExch','NoFirmPos','NoOrdSize','NotActive','NoTakeLvl','OrderSent','OutLoudHold','PostClear','PredPass','ProbNotVld','RFQ','SpdrOptState','SpdrStkState','SpdrFutState','ExchCnt','ImprMkt','NoPostSz','NoInputs','PendNew','NoFutObj','NoImprRm','NoBid','NoAsk','CThreadErr','CModelNotInit','CDevNotInit','CXCopyErr','CRvMemSet','CCalcErr','CRvCopyErr','CDevFail','CError','NoFutModel','NoOptExpMap','NoImplQte','UPrcRng','BadUPrcAdj') NOT NULL DEFAULT 'None' COMMENT 'model result code',
    `bidImprPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'trial improvement price (usually 1 tick or 1/2 spread inside bidPrice)',
    `askImprPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'trial improvement price (usually 1 tick or 1/2 spread inside askPrice)',
    `bidTkImProb` FLOAT NOT NULL DEFAULT 0 COMMENT 'bid take imprv probability of current nbbo market (zero exchange fee) [prob to sell (take) @ bid + imprIncrement]',
    `askTkImProb` FLOAT NOT NULL DEFAULT 0 COMMENT 'ask take imprv probability of current nbbo market (zero exchange fee) [prob to buy (take) @ ask - imprIncrement]',
    `bidTkImRv` ENUM('None','OK','Skip','CalcErr','LowVol','NoSurfVol','WideOptMkt','Exception','NoOptObj','NoStkObj','NoOptNbbo','NoStkNbbo','NoGbmObj','NoOptMkt','NoOptSummary','NoOptQuoteModel','NoSymExpModel','QuoteModelNotInit','SymExpNotInit','RiskHold','ExchCheck','BrokerCheck','NoBrokers','NoDataChange','PostFlowCheck','SendHold','SendFail','SurfHold','ReduceSize','PendCxl','NoSize','NoExchQte','NoBroker','NoSurface','NoExchDef','NewOrder','NbboHold','PostPxRng','LimitPx','IWait','IHold','FailHold','FadeQuote','ExchRte','ExchHold','TwapState','CreateErr','ChangePx','BrkrNotVld','BadLimit','OffMkt','BhndMkt','NoAuction','Join','Imprv','PredMiss','WithMkt','LockFail','NoGrpModel','NoSpyModel','NoStkModel','NoStkPrt','NoFutNbbo','BadUPrc','BrkrEvent','Done','NoActSize','NoBorrow','NoChange','NoExch','NoFirmPos','NoOrdSize','NotActive','NoTakeLvl','OrderSent','OutLoudHold','PostClear','PredPass','ProbNotVld','RFQ','SpdrOptState','SpdrStkState','SpdrFutState','ExchCnt','ImprMkt','NoPostSz','NoInputs','PendNew','NoFutObj','NoImprRm','NoBid','NoAsk','CThreadErr','CModelNotInit','CDevNotInit','CXCopyErr','CRvMemSet','CCalcErr','CRvCopyErr','CDevFail','CError','NoFutModel','NoOptExpMap','NoImplQte','UPrcRng','BadUPrcAdj') NOT NULL DEFAULT 'None' COMMENT 'model result code',
    `askTkImRv` ENUM('None','OK','Skip','CalcErr','LowVol','NoSurfVol','WideOptMkt','Exception','NoOptObj','NoStkObj','NoOptNbbo','NoStkNbbo','NoGbmObj','NoOptMkt','NoOptSummary','NoOptQuoteModel','NoSymExpModel','QuoteModelNotInit','SymExpNotInit','RiskHold','ExchCheck','BrokerCheck','NoBrokers','NoDataChange','PostFlowCheck','SendHold','SendFail','SurfHold','ReduceSize','PendCxl','NoSize','NoExchQte','NoBroker','NoSurface','NoExchDef','NewOrder','NbboHold','PostPxRng','LimitPx','IWait','IHold','FailHold','FadeQuote','ExchRte','ExchHold','TwapState','CreateErr','ChangePx','BrkrNotVld','BadLimit','OffMkt','BhndMkt','NoAuction','Join','Imprv','PredMiss','WithMkt','LockFail','NoGrpModel','NoSpyModel','NoStkModel','NoStkPrt','NoFutNbbo','BadUPrc','BrkrEvent','Done','NoActSize','NoBorrow','NoChange','NoExch','NoFirmPos','NoOrdSize','NotActive','NoTakeLvl','OrderSent','OutLoudHold','PostClear','PredPass','ProbNotVld','RFQ','SpdrOptState','SpdrStkState','SpdrFutState','ExchCnt','ImprMkt','NoPostSz','NoInputs','PendNew','NoFutObj','NoImprRm','NoBid','NoAsk','CThreadErr','CModelNotInit','CDevNotInit','CXCopyErr','CRvMemSet','CCalcErr','CRvCopyErr','CDevFail','CError','NoFutModel','NoOptExpMap','NoImplQte','UPrcRng','BadUPrcAdj') NOT NULL DEFAULT 'None' COMMENT 'model result code',
    `surfPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'surface price',
    `surfVol` DOUBLE NOT NULL DEFAULT 0 COMMENT 'surface volatility',
    `sdiv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'expiry sdiv',
    `surfBuyProb` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface buy take probability (zero exchange fee) [average size print]',
    `surfSellProb` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface sell take probability (zero exchange fee) [average size print]',
    `bSurfRv` ENUM('None','OK','Skip','CalcErr','LowVol','NoSurfVol','WideOptMkt','Exception','NoOptObj','NoStkObj','NoOptNbbo','NoStkNbbo','NoGbmObj','NoOptMkt','NoOptSummary','NoOptQuoteModel','NoSymExpModel','QuoteModelNotInit','SymExpNotInit','RiskHold','ExchCheck','BrokerCheck','NoBrokers','NoDataChange','PostFlowCheck','SendHold','SendFail','SurfHold','ReduceSize','PendCxl','NoSize','NoExchQte','NoBroker','NoSurface','NoExchDef','NewOrder','NbboHold','PostPxRng','LimitPx','IWait','IHold','FailHold','FadeQuote','ExchRte','ExchHold','TwapState','CreateErr','ChangePx','BrkrNotVld','BadLimit','OffMkt','BhndMkt','NoAuction','Join','Imprv','PredMiss','WithMkt','LockFail','NoGrpModel','NoSpyModel','NoStkModel','NoStkPrt','NoFutNbbo','BadUPrc','BrkrEvent','Done','NoActSize','NoBorrow','NoChange','NoExch','NoFirmPos','NoOrdSize','NotActive','NoTakeLvl','OrderSent','OutLoudHold','PostClear','PredPass','ProbNotVld','RFQ','SpdrOptState','SpdrStkState','SpdrFutState','ExchCnt','ImprMkt','NoPostSz','NoInputs','PendNew','NoFutObj','NoImprRm','NoBid','NoAsk','CThreadErr','CModelNotInit','CDevNotInit','CXCopyErr','CRvMemSet','CCalcErr','CRvCopyErr','CDevFail','CError','NoFutModel','NoOptExpMap','NoImplQte','UPrcRng','BadUPrcAdj') NOT NULL DEFAULT 'None' COMMENT 'model result code',
    `sSurfRv` ENUM('None','OK','Skip','CalcErr','LowVol','NoSurfVol','WideOptMkt','Exception','NoOptObj','NoStkObj','NoOptNbbo','NoStkNbbo','NoGbmObj','NoOptMkt','NoOptSummary','NoOptQuoteModel','NoSymExpModel','QuoteModelNotInit','SymExpNotInit','RiskHold','ExchCheck','BrokerCheck','NoBrokers','NoDataChange','PostFlowCheck','SendHold','SendFail','SurfHold','ReduceSize','PendCxl','NoSize','NoExchQte','NoBroker','NoSurface','NoExchDef','NewOrder','NbboHold','PostPxRng','LimitPx','IWait','IHold','FailHold','FadeQuote','ExchRte','ExchHold','TwapState','CreateErr','ChangePx','BrkrNotVld','BadLimit','OffMkt','BhndMkt','NoAuction','Join','Imprv','PredMiss','WithMkt','LockFail','NoGrpModel','NoSpyModel','NoStkModel','NoStkPrt','NoFutNbbo','BadUPrc','BrkrEvent','Done','NoActSize','NoBorrow','NoChange','NoExch','NoFirmPos','NoOrdSize','NotActive','NoTakeLvl','OrderSent','OutLoudHold','PostClear','PredPass','ProbNotVld','RFQ','SpdrOptState','SpdrStkState','SpdrFutState','ExchCnt','ImprMkt','NoPostSz','NoInputs','PendNew','NoFutObj','NoImprRm','NoBid','NoAsk','CThreadErr','CModelNotInit','CDevNotInit','CXCopyErr','CRvMemSet','CCalcErr','CRvCopyErr','CDevFail','CError','NoFutModel','NoOptExpMap','NoImplQte','UPrcRng','BadUPrcAdj') NOT NULL DEFAULT 'None' COMMENT 'model result code',
    `vega` FLOAT NOT NULL DEFAULT 0 COMMENT 'option vega',
    `delta` FLOAT NOT NULL DEFAULT 0 COMMENT 'option delta',
    `midPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'price corresponding to 0.50 probability',
    `avgBidLink10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'average bid take prob link value (~10 min)',
    `maeBidLink10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'bid link value mean abs err (~10 min)',
    `avgAskLink10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'average ask take prob link value (~10 min)',
    `maeAskLink10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'ask link value mean abs err (~10 min)',
    `avgMktWidth10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'askPrice - bidPrice (~10 min)',
    `counter` INT NOT NULL DEFAULT 0 COMMENT 'record update counter (zero @ start of period;per okey)',
    `qpSource` ENUM('None','Loop','QteChg') NOT NULL DEFAULT 'None',
    `srcTimestamp` 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 OptionNbboQuote)',
    `smsTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'state model server timestamp (just before publish)',
    PRIMARY KEY USING HASH (`okey_tk`,`okey_yr`,`okey_mn`,`okey_dy`,`okey_xx`,`okey_cp`,`okey_at`,`okey_ts`,`stateModel`),
    KEY `ExpirationIndex` (`okey_yr`,`okey_mn`,`okey_dy`) USING HASH
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='';

SELECT TABLE EXAMPLE QUERY

SELECT
    `okey_at`,
    `okey_ts`,
    `okey_tk`,
    `okey_yr`,
    `okey_mn`,
    `okey_dy`,
    `okey_xx`,
    `okey_cp`,
    `stateModel`,
    `uMid`,
    `uPrc`,
    `bidPrice`,
    `askPrice`,
    `bidSize`,
    `askSize`,
    `bidTakeProb`,
    `askTakeProb`,
    `bidTakeRv`,
    `askTakeRv`,
    `bidImprPrice`,
    `askImprPrice`,
    `bidTkImProb`,
    `askTkImProb`,
    `bidTkImRv`,
    `askTkImRv`,
    `surfPrice`,
    `surfVol`,
    `sdiv`,
    `surfBuyProb`,
    `surfSellProb`,
    `bSurfRv`,
    `sSurfRv`,
    `vega`,
    `delta`,
    `midPrice`,
    `avgBidLink10m`,
    `maeBidLink10m`,
    `avgAskLink10m`,
    `maeAskLink10m`,
    `avgMktWidth10m`,
    `counter`,
    `qpSource`,
    `srcTimestamp`,
    `netTimestamp`,
    `smsTimestamp`
FROM `SRAnalytics`.`MsgOptionQuoteProbability`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `okey_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') */ 
    `okey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `okey_tk` = 'Example_okey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `okey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_dy` = 1
  AND
    /* Replace with a DOUBLE */ 
    `okey_xx` = 4.56
  AND
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `okey_cp` = 'Call'
  AND
    /* Replace with a ENUM('None','M1','M2','M3','M4') */ 
    `stateModel` = 'None';

Doc Columns Query

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