FutureCloseMark
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
Attribute | Value |
---|---|
Topic | 3120-market-marks |
MLink Token | FutMarkData |
Product | SRLive |
accessType | SELECT |
Table Definition
Field | Type | Key | Default Value | Comment |
---|---|---|---|---|
fkey_at | enum - AssetType | PRI | 'None' | |
fkey_ts | enum - TickerSrc | PRI | 'None' | |
fkey_tk | VARCHAR(12) | PRI | '' | |
fkey_yr | SMALLINT UNSIGNED | PRI | 0 | |
fkey_mn | TINYINT UNSIGNED | PRI | 0 | |
fkey_dy | TINYINT UNSIGNED | PRI | 0 | |
tradeDate | DATE | '1900-01-01' | ||
clsMarkState | enum - ClsMarkState | 'None' | Preview or Final | |
opnPrc | DOUBLE | 0 | Open price start of regular hours | |
minPrc | DOUBLE | 0 | Low price during regular hours | |
maxPrc | DOUBLE | 0 | High price during regular hours | |
openInterest | INT | 0 | Open interest | |
prtCount | INT | 0 | Print count entire trading period | |
prtVolume | INT | 0 | Print volume entire trading period | |
realizedCnt | INT | 0 | number of minute bar segments used in realizedVar calc | |
realizedVol | DOUBLE | 0 | realizedVar SQRT SUM LOG qteTwapT qteTwapT1 2 realizedCnt 1 minute intervals during market hours | |
avgMktSize | FLOAT | 0 | Average market size | |
avgMktWidth | FLOAT | 0 | Average market width | |
bidPrc | DOUBLE | 0 | bid price close 5 min | |
askPrc | DOUBLE | 0 | ask price close 5 min | |
srClsPrc | DOUBLE | 0 | SR close mark close 5 min | |
closePrc | DOUBLE | 0 | official exchange closing mark or last print | |
hasSRClsPrc | enum - YesNo | 'None' | srClsPrc is valid | |
hasClosePrc | enum - YesNo | 'None' | closePrc is valid otherwise is last print | |
srCloseMarkDttm | DATETIME(6) | '1900-01-01 00:00:00.000000' | close 5 min datetime | |
timestamp | DATETIME(6) | '1900-01-01 00:00:00.000000' | record publishupdate timestamp |
PRIMARY KEY DEFINITION (Unique)
Field | Sequence |
---|---|
fkey_tk | 1 |
fkey_yr | 2 |
fkey_mn | 3 |
fkey_dy | 4 |
fkey_at | 5 |
fkey_ts | 6 |
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;