StockImbalance

V8 Message Definiton

StockImbalance records contain live exchange closing auction imbalance details. Imbalance information in aggregated across exchanges with imbalance feeds. Final StockImbalance records are published to the SpiderRock elastic cluster nightly after the auction close.

METADATA

Attribute	Value
Topic	2990-market-data-stock
MLink Token	ClientLive
Product	SRLive
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	''
auctionType	enum - AuctionReason	PRI	'None'	OpeningClosing
auctionTime	DATETIME(6)		'1900-01-01 00:00:00.000000'
maxImbalance	INT		0
maxImbalanceExch	enum - StkExch		'None'
maxImbalanceMatchPx	DOUBLE		0
maxImbalanceStatus	enum - AuctionStatus		'None'
cumBidImbalanceMkt	INT		0
cumAskImbalanceMkt	INT		0
cumBidImbalanceTot	INT		0
cumAskImbalanceTot	INT		0
cumPairedQty	INT		0
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
ticker_tk	1
ticker_at	2
ticker_ts	3
auctionType	4

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRLive`.`MsgStockImbalance` (
    `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 '',
    `auctionType` ENUM('None','Open','Market','Halt','Closing','RegulatoryImbalance') NOT NULL DEFAULT 'None' COMMENT 'Opening/Closing',
    `auctionTime` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    `maxImbalance` INT NOT NULL DEFAULT 0,
    `maxImbalanceExch` 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',
    `maxImbalanceMatchPx` DOUBLE NOT NULL DEFAULT 0,
    `maxImbalanceStatus` ENUM('None','WillRunOpenAndClose','WillRunInterest','WillNotRunImbalance','WillNotRunClsAuction') NOT NULL DEFAULT 'None',
    `cumBidImbalanceMkt` INT NOT NULL DEFAULT 0,
    `cumAskImbalanceMkt` INT NOT NULL DEFAULT 0,
    `cumBidImbalanceTot` INT NOT NULL DEFAULT 0,
    `cumAskImbalanceTot` INT NOT NULL DEFAULT 0,
    `cumPairedQty` INT NOT NULL DEFAULT 0,
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`,`auctionType`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='StockImbalance records contain live exchange closing auction imbalance details.  Imbalance information in aggregated across exchanges with imbalance feeds.\nFinal StockImbalance records are published to the SpiderRock elastic cluster nightly after the auction close.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `auctionType`,
    `auctionTime`,
    `maxImbalance`,
    `maxImbalanceExch`,
    `maxImbalanceMatchPx`,
    `maxImbalanceStatus`,
    `cumBidImbalanceMkt`,
    `cumAskImbalanceMkt`,
    `cumBidImbalanceTot`,
    `cumAskImbalanceTot`,
    `cumPairedQty`,
    `timestamp`
FROM `SRLive`.`MsgStockImbalance`
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 ENUM('None','Open','Market','Halt','Closing','RegulatoryImbalance') */ 
    `auctionType` = 'None';

Doc Columns Query

SELECT * FROM SRLive.doccolumns WHERE TABLE_NAME='StockImbalance' ORDER BY ordinal_position ASC;