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Version: Staging

FutureCloseMark

V8 Message Definiton

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

METADATA

AttributeValue
Topic3120-market-marks
MLink TokenFutMarkData
ProductSRLive
accessTypeSELECT

Table Definition

FieldTypeKeyDefault ValueComment
fkey_atenum - AssetTypePRI'None'
fkey_tsenum - TickerSrcPRI'None'
fkey_tkVARCHAR(12)PRI''
fkey_yrSMALLINT UNSIGNEDPRI0
fkey_mnTINYINT UNSIGNEDPRI0
fkey_dyTINYINT UNSIGNEDPRI0
tradeDateDATE'1900-01-01'
clsMarkStateenum - ClsMarkState'None'Preview or Final
opnPrcDOUBLE0Open price start of regular hours
minPrcDOUBLE0Low price during regular hours
maxPrcDOUBLE0High price during regular hours
openInterestINT0Open interest
prtCountINT0Print count entire trading period
prtVolumeINT0Print volume entire trading period
realizedCntINT0number of minute bar segments used in realizedVar calc
realizedVolDOUBLE0realizedVar SQRT SUM LOG qteTwapT qteTwapT1 2 realizedCnt 1 minute intervals during market hours
avgMktSizeFLOAT0Average market size
avgMktWidthFLOAT0Average market width
bidPrcDOUBLE0bid price close 5 min
askPrcDOUBLE0ask price close 5 min
srClsPrcDOUBLE0SR close mark close 5 min
closePrcDOUBLE0official exchange closing mark or last print
hasSRClsPrcenum - YesNo'None'srClsPrc is valid
hasClosePrcenum - YesNo'None'closePrc is valid otherwise is last print
srCloseMarkDttmDATETIME(6)'1900-01-01 00:00:00.000000'close 5 min datetime
timestampDATETIME(6)'1900-01-01 00:00:00.000000'record publishupdate timestamp

PRIMARY KEY DEFINITION (Unique)

FieldSequence
fkey_tk1
fkey_yr2
fkey_mn3
fkey_dy4
fkey_at5
fkey_ts6

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRLive`.`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','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','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 `SRLive`.`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','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','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 SRLive.doccolumns WHERE TABLE_NAME='FutureCloseMark' ORDER BY ordinal_position ASC;