FuturePrintSet
FuturePrintSet records are created for all future prints (outrights and spreads) and published to the SpiderRock elastic cluster when markup detail is complete (F+10M)
METADATA
| Attribute | Value |
|---|---|
| Topic | 2580-market-data-futures |
| MLink Token | FutAnalytics |
| Product | SRAnalytics |
| 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 | |
| prtNumber | BIGINT | PRI | 0 | Unique print set identifier will increment but not guaranteed to be sequential |
| updateType | enum - PrtUpdateType | 'None' | ||
| ticker_at | enum - AssetType | 'None' | underlying stock key | |
| ticker_ts | enum - TickerSrc | 'None' | underlying stock key | |
| ticker_tk | VARCHAR(12) | '' | underlying stock key | |
| prtExch | enum - FutExch | 'None' | print exchange | |
| prtSize | INT | 0 | print size contracts | |
| prtPrice | DOUBLE | 0 | print price | |
| prtType | TINYINT UNSIGNED | 0 | print type exchange specific | |
| prtOrders | SMALLINT UNSIGNED | 0 | number of orders participating in this print | |
| prtClusterNum | INT | 0 | incremental print cluster counter one counter per fkey used to group prints into clusters | |
| prtClusterSize | INT | 0 | cumulative size of prints in this sequence prints same or more aggressive price with less than 25 ms elapsing since first print can span exchanges | |
| prtVolume | INT | 0 | cumulative day electronic print volume in contracts | |
| prtSide | enum - PrtSide | 'None' | Print side None Mid Bid Ask | |
| prtTimestamp | BIGINT | 0 | exchange high precision timestamp if available | |
| netTimestamp | BIGINT | 0 | inbound packet PTP timestamp from SR gateway switchusually syncronized with facility grandfather clock | |
| timestamp | DATETIME(6) | '1900-01-01 00:00:00.000000' | ||
| bidPrice | DOUBLE | 0 | exch best bid print arrival time | |
| askPrice | DOUBLE | 0 | exch best ask print arrival time | |
| bidSize | INT | 0 | bid size print arrival time | |
| askSize | INT | 0 | ask size print arrival time | |
| bidPrice2 | DOUBLE | 0 | exch 2nd best bid print arrival time | |
| askPrice2 | DOUBLE | 0 | exch 2nd best ask print arrival time | |
| bidSize2 | INT | 0 | 2nd best bid print arrival time | |
| askSize2 | INT | 0 | 2nd best ask print arrival time | |
| prtProbability | FLOAT | 0 | M1 probability that buying prtQuan contracts prtPrice will have positive m1 pnl prtPriceM1 prtPrice recorded at time of print | |
| bidPriceM1 | DOUBLE | 0 | bid price 1 minute | |
| askPriceM1 | DOUBLE | 0 | ask price 1 minute | |
| prtPriceM1 | DOUBLE | 0 | market price 1 minute midquote if not intervening printsmost recent print otherwise | |
| pnlM1 | FLOAT | 0 | pnl after 1 minute | |
| pnlM1Err | enum - YesNo | 'None' |
PRIMARY KEY DEFINITION (Unique)
| Field | Sequence |
|---|---|
| fkey_tk | 1 |
| fkey_yr | 2 |
| fkey_mn | 3 |
| fkey_dy | 4 |
| fkey_at | 5 |
| fkey_ts | 6 |
| prtNumber | 7 |
CREATE TABLE EXAMPLE QUERY
CREATE TABLE `SRAnalytics`.`MsgFuturePrintSet` (
`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','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','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,
`prtNumber` BIGINT NOT NULL DEFAULT 0 COMMENT 'Unique print set identifier; will increment but not guaranteed to be sequential.',
`updateType` ENUM('None','Print','Markup') NOT NULL DEFAULT 'None',
`ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'underlying stock key',
`ticker_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'underlying stock key',
`ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'underlying stock key',
`prtExch` ENUM('None','CFE','CME','CBOT','COMEX','NYMEX','ICE','EUREX','CEDX','NXAM','NXBR','NXLS','NXML','NXOS','NXP','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'print exchange',
`prtSize` INT NOT NULL DEFAULT 0 COMMENT 'print size [contracts]',
`prtPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'print price',
`prtType` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'print type [exchange specific]',
`prtOrders` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'number of orders participating in this print',
`prtClusterNum` INT NOT NULL DEFAULT 0 COMMENT 'incremental print cluster counter (one counter per fkey; used to group prints into clusters)',
`prtClusterSize` INT NOT NULL DEFAULT 0 COMMENT 'cumulative size of prints in this sequence (prints @ same or more aggressive price with less than 25 ms elapsing since first print; can span exchanges)',
`prtVolume` INT NOT NULL DEFAULT 0 COMMENT 'cumulative day (electronic) print volume in contracts',
`prtSide` ENUM('None','Mid','Bid','Ask') NOT NULL DEFAULT 'None' COMMENT 'Print side: None; Mid; Bid; Ask',
`prtTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'exchange high precision timestamp (if available)',
`netTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'inbound packet PTP timestamp from SR gateway switch;usually syncronized with facility grandfather clock',
`timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
`bidPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'exch best bid @ print arrival time',
`askPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'exch best ask @ print arrival time',
`bidSize` INT NOT NULL DEFAULT 0 COMMENT 'bid size @ print arrival time',
`askSize` INT NOT NULL DEFAULT 0 COMMENT 'ask size @ print arrival time',
`bidPrice2` DOUBLE NOT NULL DEFAULT 0 COMMENT 'exch 2nd best bid @ print arrival time',
`askPrice2` DOUBLE NOT NULL DEFAULT 0 COMMENT 'exch 2nd best ask @ print arrival time',
`bidSize2` INT NOT NULL DEFAULT 0 COMMENT '2nd best bid @ print arrival time',
`askSize2` INT NOT NULL DEFAULT 0 COMMENT '2nd best ask @ print arrival time',
`prtProbability` FLOAT NOT NULL DEFAULT 0 COMMENT '[M1] probability that buying prtQuan contracts @ prtPrice will have positive m1 pnl (prtPriceM1 >= prtPrice) [recorded at time of print]',
`bidPriceM1` DOUBLE NOT NULL DEFAULT 0 COMMENT 'bid price +1 minute',
`askPriceM1` DOUBLE NOT NULL DEFAULT 0 COMMENT 'ask price +1 minute',
`prtPriceM1` DOUBLE NOT NULL DEFAULT 0 COMMENT 'market price +1 minute [mid-quote if not intervening prints;most recent print otherwise]',
`pnlM1` FLOAT NOT NULL DEFAULT 0 COMMENT 'pnl after 1 minute',
`pnlM1Err` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
PRIMARY KEY USING HASH (`fkey_tk`,`fkey_yr`,`fkey_mn`,`fkey_dy`,`fkey_at`,`fkey_ts`,`prtNumber`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='FuturePrintSet records are created for all future prints (outrights and spreads) and published to the SpiderRock elastic cluster when markup detail is complete (F+10M)';
SELECT TABLE EXAMPLE QUERY
SELECT
`fkey_at`,
`fkey_ts`,
`fkey_tk`,
`fkey_yr`,
`fkey_mn`,
`fkey_dy`,
`prtNumber`,
`updateType`,
`ticker_at`,
`ticker_ts`,
`ticker_tk`,
`prtExch`,
`prtSize`,
`prtPrice`,
`prtType`,
`prtOrders`,
`prtClusterNum`,
`prtClusterSize`,
`prtVolume`,
`prtSide`,
`prtTimestamp`,
`netTimestamp`,
`timestamp`,
`bidPrice`,
`askPrice`,
`bidSize`,
`askSize`,
`bidPrice2`,
`askPrice2`,
`bidSize2`,
`askSize2`,
`prtProbability`,
`bidPriceM1`,
`askPriceM1`,
`prtPriceM1`,
`pnlM1`,
`pnlM1Err`
FROM `SRAnalytics`.`MsgFuturePrintSet`
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','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','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
AND
/* Replace with a BIGINT */
`prtNumber` = 1234567890;
Doc Columns Query
SELECT * FROM SRAnalytics.doccolumns WHERE TABLE_NAME='FuturePrintSet' ORDER BY ordinal_position ASC;