AuctionNotice

Description

Contains successful and unsuccessful auction notices from exchanges.

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
auctionType	string	type of auction (exposure, improvement, etc.)
auctionEvent	string	event of the auction - Start/Update/End
srcAuctionID	string	ID of the auction from the source
srcAuctionType	string	exchange specific auction type
auctionSource	string	exchange that the auction was run on
symbolType	string	more detailed asset type of the underlying security
uAvgDailyVlm	float	average daily volume of the underlying security
custSide	string	side of the customer in the auction
custQty	int	quantity of the customer in the auction
custPrc	double	price of the customer in the auction
hasCustPrc	string	flag indicating if the customer has a price in the auction
custFirmType	string	type of the customer firm
auctionDuration	int	duration of the auction in milliseconds
numOptLegs	int	number of options legs in the structure
spreadClass	string	type of spread vertical,calendar etc
limitType	string	type of the price limit if set/known
spreadFlavor	string	for mixed spreads - normal or flipped. Normal = first leg is already Buy; Flipped = leg sides were flipped so the first leg is a Buy.
containsHedge	string	does the structure contain the underlying
containsFlex	string	flag indicating if the structure contains a flex leg
flexType	string	European or American style
containsMultiHedge	string	flag indicating if the structure contains a multi-hedge leg
uBid	double	Underlying bid price at notice time
uAsk	double	Underlying ask price at notice time
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
pointValue	double	value of the point for the structure
pointCurrency	string	currency of the point for the structure
srcTimestamp	bigint	timestamp of the auction from the source
netTimestamp	bigint	timestamp of the auction from the network
timestamp	timestamp	timestamp of the auction from the spiderrock system
OrderLegs	list[struct]	Definition of the legs in the structure - including analytics and price information

Differences to V7