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Version: Upcoming

SR Spread

Overview​

  • U.S. equity options live quotes
  • U.S. options on futures live quotes and prints
  • Futures spread market tables

SR Spread Tables​

SR Spread Tables

Query Examples​

SpreadDefinition Table​

The SpreadDefinition table contains all exchange-formatted spread information, including both viewable and searchable security descriptions. It contains this information for equities and futures.

Sample Query 1: This table can be joined with other tables in the database to display the security description alongside quotes or prints.

SELECT * FROM srspread.msgspreaddefinition
WHERE ticker_ts = 'NMS';

Spread Definition

SpreadBookQuote Table​

The SpreadBookQuote table provides the top two levels of the Complex Order Book (COB) that clients can view, including the bid and ask prices and the print volume for each spread. Each spread is displayed according to the exchange-defined HashSpreadDefinition.

Sample Query 2: SpiderRock assigns a unique Spread ID to each exchange spread, which allows users to join the SpreadBookQuote and SpreadDefinition tables.

SELECT b.securitydesc,a.* FROM srspread.msgspreadbookquote a
JOIN srspread.msgspreaddefinition b
ON a.SRspreadID = b.SRspreadID 
WHERE a.skey_at = 'EQT';

Spread Book Quote

SpreadPrint Table​

The SpreadPrint table contains the print size, price, and timestamp for the exchange that the spread was traded on for the course of the day.

Sample Query 3: To check this table:

SELECT b.securitydesc,a.* FROM srspread.msgspreadprint a
JOIN srspread.msgspreaddefinition b
ON a.SRspreadID = b.SRspreadID 
WHERE a.ticker_tk = 'TLT';

Spread Print