AtsDegrossAvailability
Published by the degrossing execution engine once a minute from open + 5 minutes until the final auction of the day, smeared to a fixed publish rate. Every candidate ticker is published with a status: Available, Suspended, DayClosed, or the reason it is not offered — so a client can always see why a position is not degrossable. Strike is a TICKER-level fact shared by all three expiries, chosen from flex instruments that actually exist (nearest the underlier), and frozen at the ticker's first publish of the day. The per-expiry block (3 entries) carries the SR-controlled economics; block index = expiry slot = SpdrParentOrder groupingCode (1/2/3). Auction sequence state lives on AtsDegrossAuctionSchedule (2358). Publish-only: no archive directives and .Archive() is never called — published messages are captured automatically. A ticker is only published when it has a current-day stock book quote or print; names with no today market are not advertised at all. Retired field numbers (NEVER reuse): 112 (per-slot strike; strike is row-level at 103), 101 (row-level srRate; the rate is per expiry at 120). Replaces AtsDegrossRevConSpreads (2355).
METADATA
| Attribute | Value |
|---|---|
| Topic | 2270-execution-engine |
| MLink Token | ClientTrading |
| Product | SRTrade |
| accessType | SELECT |
| MLink Endpoint | MLink-Live |
Table Definition
| Field | Type | Key | Default Value | Comment |
|---|---|---|---|---|
| ticker_at | enum - AssetType | PRI | 'None' | underlier ticker |
| ticker_ts | enum - TickerSrc | PRI | 'None' | underlier ticker |
| ticker_tk | VARCHAR(12) | PRI | '' | underlier ticker |
| tradeDate | DATE | PRI | '1900-01-01' | the trade date this advertisement is for |
| refUPrc | DOUBLE | 0 | current reference underlier price mainsession cascade | |
| status | enum - DegrossTickerStatus | 'None' | AvailableSuspendedDayClosed or the reason not offered Available and Suspended are sticky for the day and Suspended outranks DayClosed | |
| strike | DOUBLE | 0 | tickerlevel strike shared by all 3 expiries frozen at the first publish of the day | |
| timestamp | DATETIME(6) | '1900-01-01 00:00:00.000000' | ||
| DegrossExpiryList | JSON | 'JSON_ARRAY()' |
PRIMARY KEY DEFINITION (Unique)
| Field | Sequence |
|---|---|
| ticker_tk | 1 |
| ticker_at | 2 |
| ticker_ts | 3 |
| tradeDate | 4 |
JSON Block (DegrossExpiryList)
| Field | Type | Comment |
|---|---|---|
| expiry | enum - expiry | flex option expiry date for this slot |
| iDays | enum - iDays | interest days to expiry |
| srRate | enum - srRate | SOFR to THIS expiry GlobalRates RateSourceSOFR the rate every fair price on this slot derives from |
| srSDiv | enum - srSDiv | SR continuous dividend rate at this expiry interpolatedextrapolated to the flex expiry |
| srSDivMin | enum - srSDivMin | low end of the fitted sdiv range |
| srSDivMax | enum - srSDivMax | high end of the fitted sdiv range |
| ddivPv | enum - ddivPv | PV of SR discrete dividends to expiry per share |
| srRcFairPrc | enum - srRcFairPrc | SR computed fair RevCon price TRADER RC premium space package premium strike the SRfair default for BasketDegrossSubmit 6913 rcLimitPrice |
| srClearingSDiv | enum - srClearingSDiv | prior auction clearing SDIV 0 no prior auction 0 with stateUnavailable inversion failed |
| srBoxSpread | enum - srBoxSpread | BOX360 implied financing spread over srRate from the listed RC synthetic sdiv0 SR ddivs quoted simple Act360 GCHTB classifies off the crosssection specialness depresses this |
| ddivPvList | enum - ddivPvList | dated schedule behind ddivPv perdividend PVs at SOFR commajoined parallel to ddivDaysList empty no dividends the venue fair prices each dividend over its own tail |
| ddivDaysList | enum - ddivDaysList | calendar days from tradeDate to each dividend commajoined Act365 clock years days365 |
| srClearingSDivState | enum - DegrossRateState | None no prior auction Ok valid a true 0 included Unavailable the prior clearing price has no admissible rate |
SELECT TABLE EXAMPLE QUERY
SELECT *
FROM `SRTrade`.`MsgAtsDegrossAvailability`
WHERE
/* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */
`ticker_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') */
`ticker_ts` = 'None'
AND
/* Replace with a VARCHAR(12) */
`ticker_tk` = 'Example_ticker_tk'
AND
/* Replace with a DATE */
`tradeDate` = '2022-01-01';
Doc Columns Query
SELECT * FROM SRTrade.doccolumns WHERE TABLE_NAME='AtsDegrossAvailability' ORDER BY ordinal_position ASC;