AuctionNotice

Description

Auction Notice records capture the notice messages broadcast by option exchanges when an auction (price-improvement, exposure, and similar) starts, updates, or ends — covering both successful and unsuccessful auctions. Each record describes the auctioned multi-leg structure and its legs, the initiating customer order (side, quantity, price), the auction type, source exchange, and source-specific auction ID, the auction duration, net Greeks, and SpiderRock surface, bid, and ask prices for the package, along with source, network, and SpiderRock-system timestamps.

Start Dates

US start dates

Start Date
2025-11-03

Delivery Times

Region	Availability
US	04:00 CT T+1

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

Complex Fields

OrderLegs

Field Name	Data Type	Description
secKey	OptionKey	Composite security key
secType	string	Security type (Stock, Future, Option, or MLeg)
side	string	Order side for leg
ratio	int	Multiplier for leg. Must be greater than zero.
strikeType	string	Percent or PctVariable; if PctVariable, responses should be in terms of this strike for the leg as a percent of the underlier close
undPerCn	int	Number of underlying units per contract for the leg (1 for stock legs)
expType	string	Expiration type of the leg (zero-days-to-expiry, daily, weekly, regular, quarterly, long-term, or other)
years	float	SpiderRock time to expiration in years
rate	float	SpiderRock calibrated risk free rate
atmVol	float	ATM volatility
ddivPv	float	SR ddivPv (sum of present value discrete dividend amounts)
tVol	float	Client theoretical surface volatility, if client surfaces were uploaded to SpiderRock
tPrc	float	Client theoretical price, if client surfaces were uploaded to SpiderRock
sVol	float	SpiderRock surface volatility
sDiv	float	SpiderRock surface SDiv
sPrc	float	SpiderRock surface price
de	float	Fixed reference delta for BlockAuctionDAC orders
ga	float	Option Gamma calculated using srVol
th	float	Option Theta calculated using srVol
ve	float	Option Vega calculated using srVol
sVolOk	string	Yes if the live market and surface volatility are tracking as expected
bid	float	Leg bid price
bidSz	int	bid size at auction start
bidMask	bigint	exchange mask for the bid price at auction start
ask	float	Leg ask price
askSz	int	ask size at auction start
askMask	bigint	exchange mask for the ask price at auction start

Differences to V7