FutureCloseMark

V8 Message Definiton

FutureCloseMark records are published immediately after the market close - 5 min and again when exchanges publish official marks. FutureCloseMark records are published to the SpiderRock elastic cluster when clsMarkState=Final

METADATA

Attribute	Value
Topic	3120-market-marks
MLink Token	FutMarkData
Product	SRAnalytics
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
fkey_at	enum - AssetType	PRI	'None'
fkey_ts	enum - TickerSrc	PRI	'None'
fkey_tk	VARCHAR(12)	PRI	''
fkey_yr	SMALLINT UNSIGNED	PRI	0
fkey_mn	TINYINT UNSIGNED	PRI	0
fkey_dy	TINYINT UNSIGNED	PRI	0
tradeDate	DATE		'1900-01-01'
clsMarkState	enum - ClsMarkState		'None'	Preview or Final
opnPrc	DOUBLE		0	Open price start of regular hours
minPrc	DOUBLE		0	Low price during regular hours
maxPrc	DOUBLE		0	High price during regular hours
openInterest	INT		0	Open interest
prtCount	INT		0	Print count entire trading period
prtVolume	INT		0	Print volume entire trading period
realizedCnt	INT		0	number of minute bar segments used in realizedVar calc
realizedVol	DOUBLE		0	realizedVar SQRT SUM LOG qteTwapT qteTwapT1 2 realizedCnt 1 minute intervals during market hours
avgMktSize	FLOAT		0	Average market size
avgMktWidth	FLOAT		0	Average market width
bidPrc	DOUBLE		0	bid price close 5 min
askPrc	DOUBLE		0	ask price close 5 min
srClsPrc	DOUBLE		0	SR close mark close 5 min
closePrc	DOUBLE		0	official exchange closing mark or last print
hasSRClsPrc	enum - YesNo		'None'	srClsPrc is valid
hasClosePrc	enum - YesNo		'None'	closePrc is valid otherwise is last print
srCloseMarkDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	close 5 min datetime
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	record publishupdate timestamp

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
fkey_tk	1
fkey_yr	2
fkey_mn	3
fkey_dy	4
fkey_at	5
fkey_ts	6

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgFutureCloseMark` (
    `fkey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
    `fkey_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',
    `fkey_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `fkey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0,
    `fkey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `fkey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `tradeDate` DATE NOT NULL DEFAULT '1900-01-01',
    `clsMarkState` ENUM('None','Preview','Final') NOT NULL DEFAULT 'None' COMMENT 'Preview or Final',
    `opnPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'Open price (start of regular hours)',
    `minPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'Low price (during regular hours)',
    `maxPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'High price (during regular hours)',
    `openInterest` INT NOT NULL DEFAULT 0 COMMENT 'Open interest',
    `prtCount` INT NOT NULL DEFAULT 0 COMMENT 'Print count (entire trading period)',
    `prtVolume` INT NOT NULL DEFAULT 0 COMMENT 'Print volume (entire trading period)',
    `realizedCnt` INT NOT NULL DEFAULT 0 COMMENT 'number of minute bar segments used in realizedVar calc',
    `realizedVol` DOUBLE NOT NULL DEFAULT 0 COMMENT 'realizedVar = SQRT: SUM[ LOG( qteTwap(T) / qteTwap(T+1) ) ^ 2 ] / realizedCnt @ 1 minute intervals during market hours',
    `avgMktSize` FLOAT NOT NULL DEFAULT 0 COMMENT 'Average market size',
    `avgMktWidth` FLOAT NOT NULL DEFAULT 0 COMMENT 'Average market width',
    `bidPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'bid price (close - 5 min)',
    `askPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'ask price (close - 5 min)',
    `srClsPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SR close mark (close - 5 min)',
    `closePrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'official exchange closing mark (or last print)',
    `hasSRClsPrc` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'srClsPrc is valid',
    `hasClosePrc` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'closePrc is valid; otherwise is last print',
    `srCloseMarkDttm` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT '(close - 5 min) date/time',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'record publish/update timestamp',
    PRIMARY KEY USING HASH (`fkey_tk`,`fkey_yr`,`fkey_mn`,`fkey_dy`,`fkey_at`,`fkey_ts`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='FutureCloseMark records are published immediately after the market close - 5 min and again when exchanges publish official marks.\nFutureCloseMark records are published to the SpiderRock elastic cluster when clsMarkState=Final';

SELECT TABLE EXAMPLE QUERY

SELECT
    `fkey_at`,
    `fkey_ts`,
    `fkey_tk`,
    `fkey_yr`,
    `fkey_mn`,
    `fkey_dy`,
    `tradeDate`,
    `clsMarkState`,
    `opnPrc`,
    `minPrc`,
    `maxPrc`,
    `openInterest`,
    `prtCount`,
    `prtVolume`,
    `realizedCnt`,
    `realizedVol`,
    `avgMktSize`,
    `avgMktWidth`,
    `bidPrc`,
    `askPrc`,
    `srClsPrc`,
    `closePrc`,
    `hasSRClsPrc`,
    `hasClosePrc`,
    `srCloseMarkDttm`,
    `timestamp`
FROM `SRAnalytics`.`MsgFutureCloseMark`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `fkey_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') */ 
    `fkey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `fkey_tk` = 'Example_fkey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `fkey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `fkey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `fkey_dy` = 1;

Doc Columns Query

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