SpreadBookMarkup

V8 Message Definiton

Live spread quotes with SpiderRock markup details for equity and future option spreads.

METADATA

Attribute	Value
Topic	2895-market-data-spreads
MLink Token	SpreadMktData
Product	SRSpread
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
skey_at	enum - AssetType	PRI	'None'	SR Spread Key should have corresponding ProductDefinition record
skey_ts	enum - TickerSrc	PRI	'None'	SR Spread Key should have corresponding ProductDefinition record
skey_tk	VARCHAR(12)	PRI	''	SR Spread Key should have corresponding ProductDefinition record
isTest	enum - YesNo	PRI	'None'	Yes indicates that response is made of entirely of isTestYes SpreadExchOrders
ticker_at	enum - AssetType		'None'	common spread underlier
ticker_ts	enum - TickerSrc		'None'	common spread underlier
ticker_tk	VARCHAR(12)		''	common spread underlier
SRspreadID	BIGINT		0
priceFormat	enum - PriceFormat		'None'
bidPrice1	DOUBLE		0	bid price
isBidPrice1Valid	enum - YesNo		'None'
askPrice1	DOUBLE		0	ask price
isAskPrice1Valid	enum - YesNo		'None'
bidSize1	INT		0	cumulative size at bidPrice
askSize1	INT		0	cumulative size at askPrice
bidMask1	INT UNSIGNED		0	exchange bid bit mask OptExch mask for NMS spreads zero for single exchange spreads
askMask1	INT UNSIGNED		0	exchange ask bit mask OptExch mask for NMS spreads zero for single exchange spreads
bidExch1	enum - OptExch		'None'	exchange at bid price with the largest size if any
askExch1	enum - OptExch		'None'	exchange at ask price with the largest size if any
bidTime	DATETIME(6)		'1900-01-01 00:00:00.000000'	last bid price or size change
askTime	DATETIME(6)		'1900-01-01 00:00:00.000000'	last ask price or size change
updateType	enum - UpdateType		'None'
numStkLegs	TINYINT UNSIGNED		0
numFutLegs	TINYINT UNSIGNED		0
numOptLegs	TINYINT UNSIGNED		0
userDefined	enum - YesNo		'None'
spreadClass	enum - ToolSpreadClass		'None'
containsHedge	enum - YesNo		'None'
legBidPrc	DOUBLE		0
legAskPrc	DOUBLE		0
legBidSz	INT		0
legAskSz	INT		0
surfPrc	DOUBLE		0
surfDelta	FLOAT		0
surfGamma	FLOAT		0
surfVega	FLOAT		0
surfWtVega	FLOAT		0
surfError	TINYINT UNSIGNED		0	error code from surface price calc if any
minExpiry	DATETIME(6)		'1900-01-01 00:00:00.000000'	expiry of earliest option legs
maxExpiry	DATETIME(6)		'1900-01-01 00:00:00.000000'	expiry of latest option legs
minYears	FLOAT		0
maxYears	FLOAT		0
refUPrc	FLOAT		0	reference underlier price
printPrice	FLOAT		0	last spread print price if any
printTime	DATETIME(6)		'1900-01-01 00:00:00.000000'
printSize	INT		0	last spread print size if any
printVolume	INT		0
grpNum	INT		0
securityDesc	VARCHAR(24)		''
filterId	BIGINT		0	tool server filter request ID
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'
MarkupLegsList	JSON		'JSON_ARRAY()'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
skey_tk	1
skey_at	2
skey_ts	3
isTest	4

JSON Block (MarkupLegsList)

Field	Type	Comment
legSecKey	enum - legSecKey
legSecType	enum - SpdrKeyType
legPriceFormat	enum - PriceFormat
legSecurityDesc	enum - legSecurityDesc	Security description
legSide	enum - BuySell
legRatio	enum - legRatio	leg ratio 1 2 etc
legBidPrice	enum - legBidPrice	leg market bid
legBidSize	enum - legBidSize
legAskPrice	enum - legAskPrice	leg market ask
legAskSize	enum - legAskSize
legYears	enum - legYears
legUPrc	enum - legUPrc
legSurfVol	enum - legSurfVol	leg surface volatility
legSurfPrice	enum - legSurfPrice	surface price as of message arrival
legSurfDe	enum - legSurfDe
legSurfGa	enum - legSurfGa
legSurfVe	enum - legSurfVe
legSurfErr	enum - legSurfErr

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRSpread`.`MsgSpreadBookMarkup` (
    `skey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'SR Spread Key (should have corresponding ProductDefinition record)',
    `skey_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 'SR Spread Key (should have corresponding ProductDefinition record)',
    `skey_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'SR Spread Key (should have corresponding ProductDefinition record)',
    `isTest` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'Yes indicates that response is made of entirely of isTest=Yes SpreadExchOrders',
    `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 'common spread underlier',
    `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 'common spread underlier',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'common spread underlier',
    `SRspreadID` BIGINT NOT NULL DEFAULT 0,
    `priceFormat` ENUM('None','N0','N1','N2','N3','N4','N5','N6','N7','F4','F8','Q8','F16','F32','H32','Q32','F64','H64','FullPenny','PartPenny','PartNickle','EQT','V1','V2','V3','V4','V5','V6','V7','V8','V9','V10','V11','V12','V13','V14','V15','A0','A1','A2','A3','A4','A5','A6','A7','E32') NOT NULL DEFAULT 'None',
    `bidPrice1` DOUBLE NOT NULL DEFAULT 0 COMMENT 'bid price',
    `isBidPrice1Valid` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `askPrice1` DOUBLE NOT NULL DEFAULT 0 COMMENT 'ask price',
    `isAskPrice1Valid` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `bidSize1` INT NOT NULL DEFAULT 0 COMMENT 'cumulative size at bidPrice',
    `askSize1` INT NOT NULL DEFAULT 0 COMMENT 'cumulative size at askPrice',
    `bidMask1` INT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'exchange bid bit mask (OptExch mask for NMS spreads; zero for single exchange spreads)',
    `askMask1` INT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'exchange ask bit mask (OptExch mask for NMS spreads; zero for single exchange spreads)',
    `bidExch1` ENUM('None','AMEX','BOX','CBOE','ISE','NYSE','PHLX','NSDQ','BATS','C2','NQBX','MIAX','GMNI','CME','CBOT','NYMEX','COMEX','ICE','EDGO','MCRY','MPRL','SDRK','DQTE','EMLD','CFE','MEMX','SPHR','EUREX','CEDX','NXAM','NXBR','NXLS','NXML','NXOS','NXP','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'exchange at bid price with the largest size (if any)',
    `askExch1` ENUM('None','AMEX','BOX','CBOE','ISE','NYSE','PHLX','NSDQ','BATS','C2','NQBX','MIAX','GMNI','CME','CBOT','NYMEX','COMEX','ICE','EDGO','MCRY','MPRL','SDRK','DQTE','EMLD','CFE','MEMX','SPHR','EUREX','CEDX','NXAM','NXBR','NXLS','NXML','NXOS','NXP','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'exchange at ask price with the largest size (if any)',
    `bidTime` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'last bid price or size change',
    `askTime` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'last ask price or size change',
    `updateType` ENUM('None','PrcChange','SizeOnly','PrevPeriod') NOT NULL DEFAULT 'None',
    `numStkLegs` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `numFutLegs` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `numOptLegs` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `userDefined` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `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',
    `containsHedge` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `legBidPrc` DOUBLE NOT NULL DEFAULT 0,
    `legAskPrc` DOUBLE NOT NULL DEFAULT 0,
    `legBidSz` INT NOT NULL DEFAULT 0,
    `legAskSz` INT NOT NULL DEFAULT 0,
    `surfPrc` DOUBLE NOT NULL DEFAULT 0,
    `surfDelta` FLOAT NOT NULL DEFAULT 0,
    `surfGamma` FLOAT NOT NULL DEFAULT 0,
    `surfVega` FLOAT NOT NULL DEFAULT 0,
    `surfWtVega` FLOAT NOT NULL DEFAULT 0,
    `surfError` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'error code from surface price calc (if any)',
    `minExpiry` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'expiry of earliest option leg(s)',
    `maxExpiry` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'expiry of latest option leg(s)',
    `minYears` FLOAT NOT NULL DEFAULT 0,
    `maxYears` FLOAT NOT NULL DEFAULT 0,
    `refUPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'reference underlier price',
    `printPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'last spread print price (if any)',
    `printTime` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    `printSize` INT NOT NULL DEFAULT 0 COMMENT 'last spread print size (if any)',
    `printVolume` INT NOT NULL DEFAULT 0,
    `grpNum` INT NOT NULL DEFAULT 0,
    `securityDesc` VARCHAR(24) NOT NULL DEFAULT '',
    `filterId` BIGINT NOT NULL DEFAULT 0 COMMENT 'tool server filter request ID',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    `MarkupLegsList` JSON NOT NULL DEFAULT JSON_ARRAY() CHECK(JSON_VALID(MarkupLegsList)),
    PRIMARY KEY USING HASH (`skey_tk`,`skey_at`,`skey_ts`,`isTest`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='Live spread quotes with SpiderRock markup details for equity and future option spreads.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `skey_at`,
    `skey_ts`,
    `skey_tk`,
    `isTest`,
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `SRspreadID`,
    `priceFormat`,
    `bidPrice1`,
    `isBidPrice1Valid`,
    `askPrice1`,
    `isAskPrice1Valid`,
    `bidSize1`,
    `askSize1`,
    `bidMask1`,
    `askMask1`,
    `bidExch1`,
    `askExch1`,
    `bidTime`,
    `askTime`,
    `updateType`,
    `numStkLegs`,
    `numFutLegs`,
    `numOptLegs`,
    `userDefined`,
    `spreadClass`,
    `containsHedge`,
    `legBidPrc`,
    `legAskPrc`,
    `legBidSz`,
    `legAskSz`,
    `surfPrc`,
    `surfDelta`,
    `surfGamma`,
    `surfVega`,
    `surfWtVega`,
    `surfError`,
    `minExpiry`,
    `maxExpiry`,
    `minYears`,
    `maxYears`,
    `refUPrc`,
    `printPrice`,
    `printTime`,
    `printSize`,
    `printVolume`,
    `grpNum`,
    `securityDesc`,
    `filterId`,
    `timestamp`,
    `MarkupLegsList`
FROM `SRSpread`.`MsgSpreadBookMarkup`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `skey_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') */ 
    `skey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `skey_tk` = 'Example_skey_tk'
  AND
    /* Replace with a ENUM('None','Yes','No') */ 
    `isTest` = 'None';

Doc Columns Query

SELECT * FROM SRSpread.doccolumns WHERE TABLE_NAME='SpreadBookMarkup' ORDER BY ordinal_position ASC;