AuctionPrintRC

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'	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
containsFlex	enum - YesNo		'None'	Flex European
root_at	enum - AssetType		'None'	option root
root_ts	enum - TickerSrc		'None'	option root
root_tk	VARCHAR(12)		''	option root
expiry	DATE		'1900-01-01'
strike	DOUBLE		0	revcon strike
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
noticeUBid	DOUBLE		0
noticeUAsk	DOUBLE		0
netSurfPrc	FLOAT		0	SR Surface Price entire package
iDays	DOUBLE		0	iDays effective interest days SR supplied
iYears	DOUBLE		0	iYears iDays 3600
moneyRate	DOUBLE		0	effective rate to borrowlend money to expiry 360 day convention compares to globalRate 360 365 SR Supplied Estimate
ddivPv	DOUBLE		0	present value of any expected dividends to expiry SR Supplied Estimate
hasEstDDivs	enum - YesNo		'None'	Yes if one or more expected ddiv is an estimate not yet announced SR Supplied
sVol	DOUBLE		0	surface volatility for revcon strike SR Supplied Estimate
rcEExPrem	DOUBLE		0	rcEExPrem pRvprice pRvEprice cRvprice cRvEprice american price european price same model parameters SR supplied parameters including DDivs is zero for flex revcons
strikePv	DOUBLE		0	strikePv strike 10 moneyRate iYears moneyRate supplied above
effStockLendPv	DOUBLE		0	effStockLendPv custPrice strikePv ddivPv rcEExPrem if cust price is visible
effStockRate	DOUBLE		0	effStockRate effStockLendPv uMid iYears if cust price is visible
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
prtSurfPrc	FLOAT		0	surface prc auction print time uMid pkgSurfPrc if MLeg
prtStockLendPv	DOUBLE		0	prtStockLendPv prtPrice strikePv ddivPv rcEExPrem
prtStockRate	DOUBLE		0	prtStockRate prtStockLendPv prtUPrc iYears
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
surfPrc1m	FLOAT		0	surface prc auction print time 1m uMid
prtStockLendPv1m	DOUBLE		0	prtStockLendPv1m surfPrc1m strikePv ddivPv rcEExPrem
prtStockRate1m	DOUBLE		0	prtStockRate1m prtStockLendPv1m uPrc1m iYears
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
surfPrc10m	FLOAT		0	surface prc auction print time 10m uMid
prtStockLendPv10m	DOUBLE		0	prtStockLendPv10m surfPrc10m strikePv ddivPv rcEExPrem
prtStockRate10m	DOUBLE		0	prtStockRate10m prtStockLendPv10m uPrc10m iYears
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
noticeNumber	1

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRTrade`.`MsgAuctionPrintRC` (
    `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','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)',
    `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.)',
    `containsFlex` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'Flex = European',
    `root_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'option root',
    `root_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 'option root',
    `root_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'option root',
    `expiry` DATE NOT NULL DEFAULT '1900-01-01',
    `strike` DOUBLE NOT NULL DEFAULT 0 COMMENT 'rev/con strike',
    `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',
    `noticeUBid` DOUBLE NOT NULL DEFAULT 0,
    `noticeUAsk` DOUBLE NOT NULL DEFAULT 0,
    `netSurfPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR Surface Price (entire package)',
    `iDays` DOUBLE NOT NULL DEFAULT 0 COMMENT 'iDays = effective interest days [SR supplied]',
    `iYears` DOUBLE NOT NULL DEFAULT 0 COMMENT 'iYears = iDays / 360.0',
    `moneyRate` DOUBLE NOT NULL DEFAULT 0 COMMENT 'effective rate to borrow/lend money to expiry (360 day convention) [compares to globalRate * 360 / 365] [SR Supplied Estimate]',
    `ddivPv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'present value of any expected dividends to expiry [SR Supplied Estimate]',
    `hasEstDDivs` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'Yes if one or more expected ddiv is an estimate (not yet announced) [SR Supplied]',
    `sVol` DOUBLE NOT NULL DEFAULT 0 COMMENT 'surface volatility for rev/con strike [SR Supplied Estimate]',
    `rcEExPrem` DOUBLE NOT NULL DEFAULT 0 COMMENT 'rcEExPrem = (pRv.price - pRvE.price) - (cRv.price - cRvE.price) [american price - european price] [same model parameters; SR supplied parameters including DDivs; is zero for flex revcons]',
    `strikePv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'strikePv = strike * (1.0 - moneyRate * iYears) [moneyRate supplied above]',
    `effStockLendPv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'effStockLendPv = custPrice - strikePv - ddivPv - rcEExPrem  [if cust price is visible]',
    `effStockRate` DOUBLE NOT NULL DEFAULT 0 COMMENT 'effStockRate = effStockLendPv / (uMid * iYears) [if cust price is visible]',
    `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',
    `prtSurfPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface prc @ auction print time (@ uMid) (pkgSurfPrc if MLeg)',
    `prtStockLendPv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'prtStockLendPv = prtPrice - strikePv - ddivPv - rcEExPrem',
    `prtStockRate` DOUBLE NOT NULL DEFAULT 0 COMMENT 'prtStockRate = prtStockLendPv / (prtUPrc * iYears)',
    `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',
    `surfPrc1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface prc @ auction print time + 1m (@ uMid)',
    `prtStockLendPv1m` DOUBLE NOT NULL DEFAULT 0 COMMENT 'prtStockLendPv1m = surfPrc1m - strikePv - ddivPv - rcEExPrem',
    `prtStockRate1m` DOUBLE NOT NULL DEFAULT 0 COMMENT 'prtStockRate1m = prtStockLendPv1m / (uPrc1m * iYears)',
    `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',
    `surfPrc10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface prc @ auction print time + 10m (@ uMid)',
    `prtStockLendPv10m` DOUBLE NOT NULL DEFAULT 0 COMMENT 'prtStockLendPv10m = surfPrc10m - strikePv - ddivPv - rcEExPrem',
    `prtStockRate10m` DOUBLE NOT NULL DEFAULT 0 COMMENT 'prtStockRate10m = prtStockLendPv10m / (uPrc10m * iYears)',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    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`,
    `containsFlex`,
    `root_at`,
    `root_ts`,
    `root_tk`,
    `expiry`,
    `strike`,
    `industry`,
    `symbolType`,
    `uAvgDailyVlm`,
    `custSide`,
    `custQty`,
    `custPrc`,
    `hasCustPrc`,
    `custFirmType`,
    `custAgentMPID`,
    `commEnhancement`,
    `noticeUBid`,
    `noticeUAsk`,
    `netSurfPrc`,
    `iDays`,
    `iYears`,
    `moneyRate`,
    `ddivPv`,
    `hasEstDDivs`,
    `sVol`,
    `rcEExPrem`,
    `strikePv`,
    `effStockLendPv`,
    `effStockRate`,
    `prtPrice`,
    `prtPrice2`,
    `prtSize`,
    `prtSize2`,
    `prtTime`,
    `prtType`,
    `prtUBid`,
    `prtUAsk`,
    `prtUPrc`,
    `prtSurfPrc`,
    `prtStockLendPv`,
    `prtStockRate`,
    `uPrc1m`,
    `bidPrc1m`,
    `askPrc1m`,
    `surfPrc1m`,
    `prtStockLendPv1m`,
    `prtStockRate1m`,
    `uPrc10m`,
    `bidPrc10m`,
    `askPrc10m`,
    `surfPrc10m`,
    `prtStockLendPv10m`,
    `prtStockRate10m`,
    `timestamp`
FROM `SRTrade`.`MsgAuctionPrintRC`
WHERE 
    /* Replace with a CHAR(19) */
    `noticeNumber` = 'Example_noticeNumber';

Doc Columns Query

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