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Version: Upcoming

SR Spread

Overview​

The SR Spread database provides access to spread market data for U.S. equity options and futures. Key features include:

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

SR Spread Tables​

The following image shows the available tables in SR Spread:

SR Spread Tables

Query Examples​

SpreadDefinition Table​

The SpreadDefinition table contains all exchange-formatted spread information for equities and futures, including both viewable and searchable security descriptions. This table can be joined with other tables in the database to display the security description alongside quotes or prints.

Sample Query 1: Retrieve all NMS spread definitions:

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), including bid and ask prices and print volume for each spread. Each spread is displayed according to the exchange-defined HashSpreadDefinition. SpiderRock assigns a unique Spread ID to each exchange spread, which allows users to join the SpreadBookQuote and SpreadDefinition tables.

Sample Query 2: Retrieve equity spread book quotes:

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 each spread traded throughout the day, organized by exchange.

Sample Query 3: Retrieve spread prints:

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