AuctionPrint

Schema Definition

Field Name	Data Type	Description
noticeNumber	bigint	SpiderRock notice number
ticker_at	string	underlying asset type
ticker_ts	string	underlying ticker source
ticker_tk	string	underlying ticker
tradeDate	date	trading date
noticeTime	timestamp	timestamp of then the notice was received
auctionType	string	type of auction (exposure, improvement, etc.)
auctionSource	string	exchange that the auction was run on
auctionDuration	int	duration of the auction in milliseconds
symbolType	string	more detailed asset type of the underlying security
uAvgDailyVlm	float	avg daily volume of the underlying
custSide	string	side of the customer (bid or ask)
custQty	int	desired quantity for the auction
custPrc	double	price set by the auction initiator
hasCustPrc	string	flag indicating if the customer has set a price
custFirmType	string	type of customer firm (broker, dealer, etc.)
custAgentMPID	string	MPID of the customer agent if disclosed
commEnhancement	float	commission enhancement for the auction
numOptLegs	int	number of options legs in the structure
spreadClass	string	type of spread vertical,calendar etc
spreadFlavor	string	for mixed spreads - normal or flipped
containsHedge	string	does the structure contain the underlying
flexType	string	European or American style
containsFlex	string	flag indicating if the structure contains a flex leg
containsMultiHedge	string	flag indicating if the structure contains a multi-hedge leg
uBid	double	Underlying bid price at time of first print
uAsk	double	Underlying ask price at time of first print
netDe	float	Net delta of the structure
netGa	float	Net gamma of the structure
netTh	float	Net theta of the structure
netVe	float	Net vega of the structure
pkgSurfPrc	float	SpiderRock surface price for the structure
pkgBidPrc	float	Exchange bid price for the structure
pkgAskPrc	float	Exchange ask price for the structure
prtPrice	double	Price at which the auction ended up printing at
prtPrice2	double	quantity which printed at prtPrice
prtSize	int	Second price at which the auction ended up printing in case of a partial price improvement auction
prtSize2	int	quantity which printed at prtPrice2
prtTime	timestamp	Time of the first OPRA print associated with this auction
prtType	string	OPRA print type that the auction legs printed under in the OPRA feed
prtUBid	double	Underlying bid price at time of first print
prtUAsk	double	Underlying ask price at time of first print
prtUPrc	double	Underlying price used for analytics calculations - mid price of underlying
prtSurfVol	float	Underlying surface volatility at the time of the first print
prtSurfPrc	float	Surface price at the time of the first print
bidPrc	float	bid price at auction start
bidSz	int	bid size at auction start
bidMask	bigint	exchange mask for the bid price at auction start
askPrc	float	ask price at auction start
askSz	int	ask size at auction start
askMask	bigint	exchange mask for the ask price at auction start
exchBidPrc	float	bid price on the auction exchange at auction start
exchBidSz	int	bid size on the auction exchange at auction start
exchAskPrc	float	ask price on the auction exchange at auction start
exchAskSz	int	ask size on the auction exchange at auction start
uPrc1m	float	underlying price 1 minute after the print
bidPrc1m	float	bid price 1 minute after the print
askPrc1m	float	ask price 1 minute after the print
surfVol1m	float	surface volatility 1 minute after the print
surfPrc1m	float	surface price 1 minute after the print
uPrc10m	float	underlying price 10 minutes after the print
bidPrc10m	float	bid price 10 minutes after the print
askPrc10m	float	ask price 10 minutes after the print
surfVol10m	float	surface volatility 10 minutes after the print
surfPrc10m	float	surface price 10 minutes after the print
OrderLegs	array<struct<secKey:struct<at:string,ts:string,tk:string,dt:date,xx:double,cp:string>,secType:string,side:string,ratio:int,undPerCn:int,pointValue:float,pointCurrency:string,expType:string,years:float,rate:float,atmVol:float,ddivPv:float,tVol:float,sVol:float,sDiv:float,sPrc:float,de:float,ga:float,th:float,ve:float,sVolOk:string,bid:float,bidSz:int,bidMask:bigint,ask:float,askSz:int,askMask:bigint>>	Definition of the legs in the structure - including analytics and price information