RFQQuoteBroadcast

V8 Message Definiton

Live spread quotes with SpiderRock markup details for equity and future option spreads. Legs details are included in a packed field. This table contains the most recent market for each spread.

METADATA

Attribute	Value
Topic	6120-tool-rows
MLink Token	SystemData
Product	SRLive
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
securityID	BIGINT	PRI	0	exchange spread ID eg CME ProductID or ISE SecurityID
exchSource	enum - ExchSource	PRI	'None'
ticker_at	enum - AssetType		'None'	first ticker in leg list
ticker_ts	enum - TickerSrc		'None'	first ticker in leg list
ticker_tk	VARCHAR(12)	SEC	''	first ticker in leg list
securityDesc	TINYTEXT		''	SR constructedblank on broadcast filled by tool or SRSE proxy
rfqSource	VARCHAR(255)		'Any'
rfqStrategy	enum - SpreadStrategy		'None'
isCoveredStrategy	enum - YesNo		'None'
isTradeable	enum - YesNo		'None'
rfqBidPrice	DOUBLE		0	best bid buy price for this RFQSpread book
rfqBidQuan	INT		0	cumulative bid buy quantity
rfqAskPrice	DOUBLE		0	best ask sell price for this RFQSpread book
rfqAskQuan	INT		0	cumulative ask sell quantity
rfqPrtPrice	DOUBLE		0	last print price for this RFQSpread
rfqPrtSize	INT		0	last print size for this RFQSpread
rfqPrtVolume	INT		0	total print volume for session for this RFQSpread
rfqPrtTime	BIGINT		0
bidPrice	DOUBLE		0	best bid buy price for this RFQSpread from individual legs
bidQuan	INT		0	minimum bid buy quantity from individual legs
askPrice	DOUBLE		0	best ask sell price for this RFQSpread from individual legs
askQuan	INT		0	minimum ask sell quantity from individual legs
surfDelta	FLOAT		0	delta of all legs
surfVega	FLOAT		0	vega of all legs
surfPrice	FLOAT		0	surfPrice SR midmarket of all legs
theoPrice	FLOAT		0	theoPrice if applicable of all legs
theoPriceLo	FLOAT		0	theoPrice if applicable of all legs best way
theoPriceHi	FLOAT		0	theoPrice if applicable of all legs worst way
minUPrc	DOUBLE		0	min uPrc of all option legs
maxUPrc	DOUBLE		0	max uPrc of all option legs
minYears	FLOAT		0	min years of all option legs
maxYears	FLOAT		0	max years of all option legs
legSecTypes	VARCHAR(255)		'Any'	multi value
exchange	VARCHAR(8)		''	comma separated list
grpNum	INT		0	industry group number equities only
sector	VARCHAR(16)		''	user defined sector code if any
riskClass	VARCHAR(8)		''	risk class letter code
optStatus	enum - OptStatus		'Hold'
posVega	FLOAT		0
posGamma	FLOAT		0
posTheta	FLOAT		0
posDelta	FLOAT		0
netTimestamp	BIGINT		0	PTP timestamp of most recent message update
filterId	BIGINT		0	used by tooltoolServer session to multiplex filters
numLegs	INT		0
QuoteLegsList	JSON		'JSON_OBJECT()'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
securityID	1
exchSource	2

SECONDARY INDEX (TickerIndex) (Not Unique)

Field	Sequence
ticker_tk	1

JSON Block (QuoteLegsList)

Field	Type	Comment
legKey	OptionKey
legKeyType	enum - legKeyType
legSecurityID	long	product securityID if available 0 otherwise can be another spread
legParentSecID	long	product securityID of parent if unrolled from a compound spread
legSecurityDesc	string	Security description
legRatio	ushort	leg ratio 1 2 etc
legSide	enum - legSide
legBidPrice	double	leg market bid
legBidSize	int
legAskPrice	double	leg market ask
legAskSize	int
legYears	float
legUPrc	double
legOptMult	float	SPC if equity 1 if optionfuture
legFutMult	float	1 if equity uMult if optionfuture
legSurfVol	float	leg surface volatility
legSurfDe	float
legSurfVe	float
legSurfPrice	float	surface price as of message arrival
legTheoPrice	float	theo price
legTheoPrcB	float	theo buy price
legTheoPrcS	float	theo sell price

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRLive`.`MsgRFQQuoteBroadcast` (
    `securityID` BIGINT NOT NULL DEFAULT 0 COMMENT 'exchange spread ID (eg. CME ProductID or ISE SecurityID)',
    `exchSource` ENUM('None','Broker','CME','ISE','CBOE','PHLX','CBOT','NYMEX','COMEX','NMS','ICE','CFE') NOT NULL DEFAULT 'None',
    `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 'first ticker in leg list',
    `ticker_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'first ticker in leg list',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'first ticker in leg list',
    `securityDesc` TINYTEXT NOT NULL DEFAULT '' COMMENT 'SR constructed;blank on broadcast (filled by tool or SRSE proxy)',
    `rfqSource` VARCHAR(255) NOT NULL DEFAULT 'Any',
    `rfqStrategy` ENUM('None','SingleLeg','CalHoriz','CalDiag','CalSprd','EqCalSprd','ForexCalSprd','TASCalSprd','Straddle','HorizStraddle','Strip','StraddleStrip','StripMnth','EnrgStrip','BalStrip','UnbalStrip','EnrgInterCommStrip','Strangle','Vertical','Box','Bundle','BundleSprd','BFly','PackBFly','IronBFly','DblBFly','CndnlCurve','Double','Condor','IronCondor','Ratio1x2','Ratio1x3','Ratio2x3','RiskRev','XmasTree','JellyRoll','Guts','ThreeWay','ThreeWayStrdVsCall','ThreeWayStrdVsPut','RedTick','InterCommod','Pack','MnthPack','PackSprd','Crack1x1','IntRateIntCmSprd','ImpTreasIntCmSprd','ComIntCmSprd','InvoiceSwpSprd','Conversion','Horizontal','Generic') NOT NULL DEFAULT 'None',
    `isCoveredStrategy` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `isTradeable` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `rfqBidPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best bid (buy) price for this RFQ/Spread book',
    `rfqBidQuan` INT NOT NULL DEFAULT 0 COMMENT 'cumulative bid (buy) quantity',
    `rfqAskPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best ask (sell) price for this RFQ/Spread book',
    `rfqAskQuan` INT NOT NULL DEFAULT 0 COMMENT 'cumulative ask (sell) quantity',
    `rfqPrtPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'last print price for this RFQ/Spread',
    `rfqPrtSize` INT NOT NULL DEFAULT 0 COMMENT 'last print size for this RFQ/Spread',
    `rfqPrtVolume` INT NOT NULL DEFAULT 0 COMMENT 'total print volume (for session) for this RFQ/Spread',
    `rfqPrtTime` BIGINT NOT NULL DEFAULT 0,
    `bidPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best bid (buy) price for this RFQ/Spread from individual legs',
    `bidQuan` INT NOT NULL DEFAULT 0 COMMENT 'minimum bid (buy) quantity from individual legs',
    `askPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best ask (sell) price for this RFQ/Spread from individual legs',
    `askQuan` INT NOT NULL DEFAULT 0 COMMENT 'minimum ask (sell) quantity from individual legs',
    `surfDelta` FLOAT NOT NULL DEFAULT 0 COMMENT 'delta of all legs',
    `surfVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'vega of all legs',
    `surfPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'surfPrice (SR mid-market) of all legs',
    `theoPrice` FLOAT NOT NULL DEFAULT 0 COMMENT 'theoPrice (if applicable) of all legs',
    `theoPriceLo` FLOAT NOT NULL DEFAULT 0 COMMENT 'theoPrice (if applicable) of all legs (best way)',
    `theoPriceHi` FLOAT NOT NULL DEFAULT 0 COMMENT 'theoPrice (if applicable) of all legs (worst way)',
    `minUPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'min uPrc of all option legs',
    `maxUPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'max uPrc of all option legs',
    `minYears` FLOAT NOT NULL DEFAULT 0 COMMENT 'min years of all option legs',
    `maxYears` FLOAT NOT NULL DEFAULT 0 COMMENT 'max years of all option legs',
    `legSecTypes` VARCHAR(255) NOT NULL DEFAULT 'Any' COMMENT 'multi value',
    `exchange` VARCHAR(8) NOT NULL DEFAULT '' COMMENT 'comma separated list',
    `grpNum` INT NOT NULL DEFAULT 0 COMMENT 'industry group number (equities only)',
    `sector` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'user defined sector code (if any)',
    `riskClass` VARCHAR(8) NOT NULL DEFAULT '' COMMENT 'risk class letter code',
    `optStatus` ENUM('Hold','TwoWay','BuyOnly','SellOnly','CloseOnly','CloseNow','CloseRisk','BuyCloseOnly','SellCloseOnly') NOT NULL DEFAULT 'Hold',
    `posVega` FLOAT NOT NULL DEFAULT 0,
    `posGamma` FLOAT NOT NULL DEFAULT 0,
    `posTheta` FLOAT NOT NULL DEFAULT 0,
    `posDelta` FLOAT NOT NULL DEFAULT 0,
    `netTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'PTP timestamp of most recent message update',
    `filterId` BIGINT NOT NULL DEFAULT 0 COMMENT 'used by tool/toolServer session to multiplex filters',
    `numLegs` INT NOT NULL DEFAULT 0,
    `QuoteLegsList` JSON NOT NULL DEFAULT JSON_OBJECT() CHECK(JSON_VALID(QuoteLegsList)),
    PRIMARY KEY USING HASH (`securityID`,`exchSource`),
    KEY `TickerIndex` (`ticker_tk`) USING HASH
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='Live spread quotes with SpiderRock markup details for equity and future option spreads.  Legs details are included in a packed field.  This table contains the most recent market for each spread.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `securityID`,
    `exchSource`,
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `securityDesc`,
    `rfqSource`,
    `rfqStrategy`,
    `isCoveredStrategy`,
    `isTradeable`,
    `rfqBidPrice`,
    `rfqBidQuan`,
    `rfqAskPrice`,
    `rfqAskQuan`,
    `rfqPrtPrice`,
    `rfqPrtSize`,
    `rfqPrtVolume`,
    `rfqPrtTime`,
    `bidPrice`,
    `bidQuan`,
    `askPrice`,
    `askQuan`,
    `surfDelta`,
    `surfVega`,
    `surfPrice`,
    `theoPrice`,
    `theoPriceLo`,
    `theoPriceHi`,
    `minUPrc`,
    `maxUPrc`,
    `minYears`,
    `maxYears`,
    `legSecTypes`,
    `exchange`,
    `grpNum`,
    `sector`,
    `riskClass`,
    `optStatus`,
    `posVega`,
    `posGamma`,
    `posTheta`,
    `posDelta`,
    `netTimestamp`,
    `filterId`,
    `numLegs`,
    `QuoteLegsList`
FROM `SRLive`.`MsgRFQQuoteBroadcast`
WHERE 
    /* Replace with a BIGINT */ 
    `securityID` = 1234567890
  AND
    /* Replace with a ENUM('None','Broker','CME','ISE','CBOE','PHLX','CBOT','NYMEX','COMEX','NMS','ICE','CFE') */ 
    `exchSource` = 'None';

Doc Columns Query

SELECT * FROM SRLive.doccolumns WHERE TABLE_NAME='RFQQuoteBroadcast' ORDER BY ordinal_position ASC;