RootDefinitionV3

V8 Message Definiton

One row per option root: its underlier, its delivery and exercise terms, and its pricing conventions. Sourced from the listing exchange for future options and from OCC for US equity options, and updated as SpiderRock receives changes. Field 100 ticker is the MASTER UNDERLYING - the containing complex - which is not the same key as the root itself.

METADATA

Attribute	Value
Topic	9100-product-def-core
MLink Token	OptionDefinition
Product	SRReference
accessType	SELECT
MLink Endpoint	MLink-Live

Table Definition

Field	Type	Key	Default Value	Comment
root_at	enum - AssetType	PRI	'None'	the option root AT and TS identify the universe it belongs to
root_ts	enum - TickerSrc	PRI	'None'	the option root AT and TS identify the universe it belongs to
root_tk	VARCHAR(12)	PRI	''	the option root AT and TS identify the universe it belongs to
ticker_at	enum - AssetType		'None'	the line this root hangs on or its product for an option on a future a delivery basket only when it delivers more than one line
ticker_ts	enum - TickerSrc		'None'	the line this root hangs on or its product for an option on a future a delivery basket only when it delivers more than one line
ticker_tk	VARCHAR(12)	SEC	''	the line this root hangs on or its product for an option on a future a delivery basket only when it delivers more than one line
osiRoot	VARCHAR(8)	SEC	''	long version of the root the short version is used in the TickerKey for example RYAAY1 not RYAA1
ccode_at	enum - AssetType		'None'	the futures product code this root lists against where the underlier is a future
ccode_ts	enum - TickerSrc		'None'	the futures product code this root lists against where the underlier is a future
ccode_tk	VARCHAR(12)	SEC	''	the futures product code this root lists against where the underlier is a future
uPrcDriverKey_at	enum - AssetType		'None'	optional option underlier price driver all option expiries overrides optExpiryDefinition on a line with composites a market or currency composite empty the primary markets
uPrcDriverKey_ts	enum - TickerSrc		'None'	optional option underlier price driver all option expiries overrides optExpiryDefinition on a line with composites a market or currency composite empty the primary markets
uPrcDriverKey_tk	VARCHAR(12)		''	optional option underlier price driver all option expiries overrides optExpiryDefinition on a line with composites a market or currency composite empty the primary markets
uPrcDriverKey_yr	SMALLINT UNSIGNED		0	optional option underlier price driver all option expiries overrides optExpiryDefinition on a line with composites a market or currency composite empty the primary markets
uPrcDriverKey_mn	TINYINT UNSIGNED		0	optional option underlier price driver all option expiries overrides optExpiryDefinition on a line with composites a market or currency composite empty the primary markets
uPrcDriverKey_dy	TINYINT UNSIGNED		0	optional option underlier price driver all option expiries overrides optExpiryDefinition on a line with composites a market or currency composite empty the primary markets
uPrcDriverType	enum - SpdrKeyType		'None'	Stock or Future note if Future and uPrcDriverKey does not have an expiry month then FrontMonth will be used
uPrcDriverKey2_at	enum - AssetType		'None'	optional alternate option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey2_ts	enum - TickerSrc		'None'	optional alternate option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey2_tk	VARCHAR(12)		''	optional alternate option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey2_yr	SMALLINT UNSIGNED		0	optional alternate option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey2_mn	TINYINT UNSIGNED		0	optional alternate option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey2_dy	TINYINT UNSIGNED		0	optional alternate option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverType2	enum - SpdrKeyType		'None'	Stock or Future note if Future and uPrcDriverKey does not have an expiry month then FrontMonth will be used
uPrcBoundCCode	enum - YesNo		'None'	if Yes and if a future exists with ccodeCCode and futExpiry optExpiry the use this future as a pricing bound
expirationMap	enum - ExpirationMap		'None'	determines the underlying future if any
underlierMode	enum - UnderlierMode		'None'	how the underlier price for this root is formed
optionType	enum - OptionType		'None'	indicator for option type
multihedge	enum - Multihedge		'None'	indicates type of multihedge None standard root all other root types are not None
exerciseTime	enum - ExerciseTime		'None'	Exercise time type
exerciseType	enum - ExerciseType		'None'	Exercise style
timeMetric	enum - TimeMetric		'None'	trading time metric 252 or 365 trading days or a weekly cycle type
tradingPeriod	enum - TradingPeriod		'None'	the rotation rule that sets this products trade date TradingPeriodDefinitionV3 9015
pricingModel	enum - PricingModel		'None'	nonfunctional temporarily added back for binary compatibility with mars
calcModelType	enum - CalcModelType		'None'	LogNormal or Normal default is determined by product characteristics and is usually correct for binary compatibility with new quant package
prcFramework	enum - PricingFramework		'None'	Spot or Forward override default is usually ok for binary compatibility with new quant package
moneynessType	enum - MoneynessType		'None'	moneyness xAxis convention PctStd K fUPrc 1 axisVol RT LogStd LOGKfUPrc axisVol RT NormStd K fUPrc axisVol RT
priceQuoteType	enum - PriceQuoteType		'None'	quoting style for the option series on the exchange price standard price quote or volatility quoted vol points
volumeTier	enum - VolumeTier		'None'	liquidity tier for this root used to scale quoting and surface work
positionLimit	INT		0	max contract limit
tickValue	FLOAT		0	NLV value of a single tick change in display premium pointValue tickValue tickSize
pointValue	FLOAT		0	NLV value of a single point change in display premium pointValue tickValue tickSize
pointCurrency	VARCHAR(3)		''	ISO 4217 currency pointValue is denominated in
strikeScale	DOUBLE		0	manual strike price adjustment multiplier used for some CME products if set otherwise displayFactor is used okeyxx strikePrice manualStrikeScale
strikeRatio	FLOAT		0	note effective strike strike strikeRatio cashOnExercise
cashOnExercise	FLOAT		0	cash delivered per contract positive decreases the effective strike Cash alone multihedge AllCash ticker stays on the line
underliersPerCn	DOUBLE		0	shares per contract for a deliverybasket root the contracts share count 100 or 1000 on a 1000share contract
premiumMult	DOUBLE		0	note OCC premiumstrike multiplier usually 100
symbolRatio	FLOAT		0	note currently used when AdjConvention is None value of 0 implies symbolRatio is 1
adjConvention	enum - AdjConvention		'None'	how the root was adjusted for a corporate action symbolRatio applies when this is None
optPriceInc	enum - OptPriceInc		'None'	the premium tick regime for series on this root
priceFormat	enum - PriceFormat		'None'	price display format
minTickSize	DOUBLE		0	min tick size used for European native exchange options
tradeCurr	VARCHAR(3)		''	unit the option is quoted in ISO 4217 or GBX where the venue quotes pence money is pointCurrency
settleCurr	VARCHAR(3)		''	ISO 4217 currency the option settles in
strikeCurr	VARCHAR(3)		''	unit strikes are quoted in ISO 4217 or GBX for pence strikes
defaultSurfaceRoot_at	enum - AssetType		'None'	fallback ticker to use for option surfaces if no native surfaces are available
defaultSurfaceRoot_ts	enum - TickerSrc		'None'	fallback ticker to use for option surfaces if no native surfaces are available
defaultSurfaceRoot_tk	VARCHAR(12)		''	fallback ticker to use for option surfaces if no native surfaces are available
regionalCompositeRoot_at	enum - AssetType		'None'	regional composite ticker set on European contributor products only
regionalCompositeRoot_ts	enum - TickerSrc		'None'	regional composite ticker set on European contributor products only
regionalCompositeRoot_tk	VARCHAR(12)		''	regional composite ticker set on European contributor products only
isHftTaxLiable	enum - YesNo		'None'	if Yes options on this root are liable for high frequency taxation and require hft throttling for maker algos
hftTaxTriggerTime	DOUBLE		0	value in seconds that any order activity new cancel update needs witheld for to prevent triggering hft default 5 seconds per Italian tax
description	VARCHAR(80)		''	product description sourced from Activ FidName
flexType	enum - FlexType		'None'	the FLEX type this root was minted as Listed for a listed root Maymint lives on the underlier 910691159109
clearVenue	VARCHAR(8)		''	ClearVenueDefinitionV3 where options on this root clear
v3Source	enum - V3Source		'None'	Bridge projected from a legacy record Loader written natively None reads as Loader
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	when this row was last written
scheduleGroup	VARCHAR(6)		''	ScheduleDefinitionV3 9057 an optiononfuture root carries its products code empty
settlementDays	TINYINT UNSIGNED		0	Tn of the current regime 0 means T0 never unknown
bbgYrCode	enum - BbgYrCode		'None'	Bloomberg yearcode and weekly rendering the dropcopy symbol builders key on a counterparty rendering policy until one exists
liveRateKey_at	enum - AssetType		'None'	empty MRGNpointCurrencyRATE
liveRateKey_ts	enum - TickerSrc		'None'	empty MRGNpointCurrencyRATE
liveRateKey_tk	VARCHAR(12)		''	empty MRGNpointCurrencyRATE
basisKey_at	enum - AssetType		'None'	skew basis function key empty SPX
basisKey_ts	enum - TickerSrc		'None'	skew basis function key empty SPX
basisKey_tk	VARCHAR(12)		''	skew basis function key empty SPX
reverseSkew	enum - YesNo		'None'	None autodetermine the skew orientation from data
uPrcDriverFxPair_at	enum - AssetType		'None'	the CUR pair FxSpotDefinitionV3 9124 converting uPrcDriverKeys composite into the roots currency when its currency has no composite empty otherwise
uPrcDriverFxPair_ts	enum - TickerSrc		'None'	the CUR pair FxSpotDefinitionV3 9124 converting uPrcDriverKeys composite into the roots currency when its currency has no composite empty otherwise
uPrcDriverFxPair_tk	VARCHAR(12)		''	the CUR pair FxSpotDefinitionV3 9124 converting uPrcDriverKeys composite into the roots currency when its currency has no composite empty otherwise
ExchangeList	JSON		'JSON_ARRAY()'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
root_tk	1
root_at	2
root_ts	3

SECONDARY INDEX (CCodeIndex) (Not Unique)

Field	Sequence
ccode_tk	1

SECONDARY INDEX (OSIRootIndex) (Not Unique)

Field	Sequence
osiRoot	1

SECONDARY INDEX (TickerIndex) (Not Unique)

Field	Sequence
ticker_tk	1

JSON Block (ExchangeList)

Field	Type	Comment
mic	enum - mic	ISO 10383 listing venue
marketSegmentId	enum - marketSegmentId	venue market segment id
productGroup	enum - productGroup	venue product group CME Asset
securityGroup	enum - securityGroup	venue security group CME SecurityGroup
root	enum - root	the venues own root for this listing when it differs from the parent root empty otherwise

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRReference`.`MsgRootDefinitionV3`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE','CRDT','GCR','SWAP','ENT','MBS','SET','LOAN') */ 
    `root_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','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX','CRCY','CMDY','DTI','SOVN','SR_US','SR_EU','SR_AP','SR_UK','USD','EUR','GBP','CHF','JPY','CAD','AUD','HKD','KRW','INR','SGD','TWD','CNY','CNH','BRL','MXN','ZAR','SEK','NOK','DKK','PLN','ILS','TRY','NZD','THB','MYR','IDR','PHP','CZK','HUF','SAR','AED','CLP','COP') */ 
    `root_ts` = 'NONE'
  AND
    /* Replace with a VARCHAR(12) */ 
    `root_tk` = 'Example_root_tk';

Doc Columns Query

SELECT * FROM SRReference.doccolumns WHERE TABLE_NAME='RootDefinitionV3' ORDER BY ordinal_position ASC;