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Version: 8.4.12.1

SRSE Product: SRLive

#Message NameDescription
4335CCodeDefinitionCommodity code (product code) definitions for all futures. Also maps future ccodes to SpiderRock tickers. Information is sourced from listing exchange product definitions.
2540CurrencyConversion
2580FutureBookQuoteThis table contains live future quote records from the listing exchange. Each record contains up to four price levels and represents a live snapshot of the book for a specific future.
3120FutureCloseMarkFutureCloseMark records are published immediately after the market close - 5 min and again when exchanges publish official marks.
2590FutureMarketSummaryThese records represent live market summary snapshots for each active futures markets.
3125FutureOpenMarkFutureOpenMark records are created during the end-of-day rotation for each product and intended for use the following trading day.
2595FuturePrintThe most recent (last) print record for each active futures market.
4255FuturePrintProbability
4260FutureQuoteProbability
3130FutureSettlementMarkFuture settlement marks from the listing exchange
2675IndexQuoteLive index levels and quotes including SpiderRock synthetic index levels and quotes.
4485MarketHoursConfigExpected trading day market schedule for each TradingPeriod and SecType. Including schedules for equity, futures, and options markets. The NMS schedule is the NYSE announced trading calendar. Other markets are from the listing exchange.
4450NMSCircuitBreakerThis table contains circuit breaker information for market centers with circuit breakers. Note that circuit breaker records may not always exist for a market center.
2750OpraPrintType
4355OptExpiryDefinitionThis table maps option root/expiration combinations to their deliverable future. Mappings are sourced fromm listing exchange product definitions.
3140OptionCloseMarkOptionCloseMark records are published immediately after the market close - 5 min and again when exchanges publish official marks.
2760OptionEOPThe expected opening price and opening size for an option. Based on the exchange open auction feed.
2845OptionFlexEventThe most recent (last) record for each active FLEX option.
1090OptionLookbackOptionLookback records are published by the SurfaceModelServer and represent a stable frame lookback window on the option market (typically about 10 minutes)
2780OptionMarketSummaryThese records represent live market summary snapshots for each active option
2785OptionNbboQuoteThis table contains live option quote records from OPRA (equities) or the listing exchange (futures). Each record contains up to two price levels and represents a live snapshot of the book for a specific option series. There are typically 1mm+ records in this table if all ticker sources are enabled.
2790OptionOpenAuction
2795OptionOpenAuctionSummary
3230OptionOpenInterestOpen interest for each option series. Records are from the live OPRA feed.
3145OptionOpenMarkOptionOpenMark records are created during the end-of-day rotation for each product and intended for use the following trading day.
2800OptionPrintThe most recent (last) print record for each active equity and future option series. Quote markup represents quote that existed just prior to the print on the reporting exchange.
2805OptionPrint2The most recent (last) print record for each active equity and future option series. Quote markup represents quote that existed just prior to the print on the reporting exchange.
4265OptionPrintProbability
2825OptionPrintSummaryRoot/Expiration trading summaries. Includes contracts and vega trade in total and on the public bid or offer. Records update live as public trades occur.
4270OptionQuoteProbability
3150OptionSettlementMarkOption settlement marks from the listing exchange.
4360ProductDefinitionV2SpiderRock normalized exchange product definitions. Includes future, option, and spread definitions from a number of exchanges. TickerDefinitions, RootDefinitions and CCodeDefinitions are consistent with these records.
4460ProductPriceBandThis table contains live trading bands, as advertised by the listing exchange, for futures markets with bands.
4465ProductTradingStatusThis table contains live trading status records for entire product groups (futures and options) and asset groups and individual instruments
4470ProductTradingStatusV2This table contains live trading status records for entire product groups (futures and options) and asset groups and individual instruments
6225RFQQuoteBroadcastLive spread quotes with SpiderRock markup details for equity and future option spreads. Legs details are included in a packed field. This table contains the most recent market for each spread.
4365RootDefinitionRootDefinition records are sourced from the listing exchange for future options and from OCC for US equity options. Records are updated as SpiderRock receives changes.
2830SOQConstituentSymbolMap
2835SOQStrikeRangeUpdate
2995StockAuctionSummaryThese records represent current and recent trailing market open/close auction results
3000StockBookQuoteThis table contains live equity quote records for all CQS/UQDF securities as well as US OTC equity securities, SpiderRock synthetic markets, and a number of major indexes. Each record contains up to two price levels and represents a live snapshot of the book for a specific market.
3165StockCloseMarkStockCloseMark records are published immediately after the market close - 5 min and again when exchanges publish official marks.
3015StockExchImbalanceStockExchImbalance records contain live exchange closing auction imbalance details. Imbalance information can be available from more than one exchange for each ticker.
3020StockExchImbalanceV2StockExchImbalanceV2 records contain live exchange closing auction imbalance details. Imbalance information can be available from more than one exchange for each ticker.
3035StockImbalanceStockImbalance records contain live exchange closing auction imbalance details. Imbalance information in aggregated across exchanges with imbalance feeds.
3040StockMarketSummaryThese records represent live market summary snapshots for equity, index, and synthetic markets.
3170StockOpenMarkStockOpenMark records are created during the end-of-day rotation for each ticker and intended for use the following trading day.
3045StockPrintThe most recent (last) print record for CTS/UTDF markets as well as SpiderRock synthetic markets. Records also incorporate some summary detail and closing mark information as well.
4275StockPrintProbability
4280StockQuoteProbability
4475StockRegSHOStatus
3175SyntheticExpiryCloseMark
3180SyntheticExpiryOpenMark
2700SyntheticExpiryQuoteLive synthetic expiry quotes are SpiderRock option/expiry underlier quotes. These can be from synthetic/implied futures quotes or other sources
2695SyntheticFutureQuoteLive synthetic future quotes are SpiderRock implied futures quotes derived from roll prices.
3255TickerAnalytics
4375TickerDefinitionTickerDefinition (internal only) records exist for all SpiderRock tickers including equity tickers (stocks and ETFs) as well as index tickers and synthetic tickers for future chains and option multihedge baskets.
4380TickerDefinitionExtTickerDefinitionExt (external) records exist for all SpiderRock tickers including equity tickers (stocks and ETFs) as well as index tickers and synthetic tickers for future chains and option multihedge baskets.