OptionOpenMark

V8 Message Definiton

OptionOpenMark records are created during the end-of-day rotation for each product and intended for use the following trading day.

METADATA

Attribute	Value
Topic	3120-market-marks
MLink Token	OptMarkData
Product	SRAnalytics
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
okey_at	enum - AssetType	PRI	'None'
okey_ts	enum - TickerSrc	PRI	'None'
okey_tk	VARCHAR(12)	PRI	''
okey_yr	SMALLINT UNSIGNED	PRI	0
okey_mn	TINYINT UNSIGNED	PRI	0
okey_dy	TINYINT UNSIGNED	PRI	0
okey_xx	DOUBLE	PRI	0
okey_cp	enum - CallPut	PRI	'Call'
tradeDate	DATE		'1900-01-01'
opnMarkState	enum - OpnMarkState		'None'	Preview or Final note preview is not corp action adjusted
uSrCls	DOUBLE		0	SR open uMark SR close uMark C 5m overnight adjusted
uClose	DOUBLE		0	exchange open uMark exchange close uMark overnight adjusted
srClsPrc	DOUBLE		0	SR open mark SR close mark close 5m overnight adjusted
closePrc	DOUBLE		0	exchange open mark exchange close mark overnight adjusted if available
srPrc	FLOAT		0	SR open surface price SR close surface price overnight adjusted
srVol	FLOAT		0	SR surface volatility
srSrc	enum - MarkSource		'None'
de	FLOAT		0	greeks from SR surface volatility
ga	FLOAT		0
th	FLOAT		0
ve	FLOAT		0
vo	FLOAT		0	volga SR surface
va	FLOAT		0	vanna SR surface
rh	FLOAT		0
ph	FLOAT		0
srSlope	FLOAT		0	surface slope SR surface
deDecay	FLOAT		0
sdiv	FLOAT		0	term sdiv stock dividend rate
ddiv	FLOAT		0	sum of discrete dividends
ddivPv	FLOAT		0	sum of present value of discrete dividends
rate	FLOAT		0	term discount rate
years	FLOAT		0	years to expiration
error	TINYINT UNSIGNED		0	pricing calc error 0 none
corpAction	TINYTEXT		''
configNow	DATETIME(6)		'1900-01-01 00:00:00.000000'	timestamp in the trading period local timezone
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
okey_tk	1
okey_yr	2
okey_mn	3
okey_dy	4
okey_xx	5
okey_cp	6
okey_at	7
okey_ts	8

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgOptionOpenMark` (
    `okey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
    `okey_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',
    `okey_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `okey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_xx` DOUBLE NOT NULL DEFAULT 0,
    `okey_cp` ENUM('Call','Put','Pair') NOT NULL DEFAULT 'Call',
    `tradeDate` DATE NOT NULL DEFAULT '1900-01-01',
    `opnMarkState` ENUM('None','Preview','Final') NOT NULL DEFAULT 'None' COMMENT 'Preview or Final (note: preview is not corp action adjusted)',
    `uSrCls` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SR open uMark; [SR close uMark (C - 5m) overnight adjusted]',
    `uClose` DOUBLE NOT NULL DEFAULT 0 COMMENT 'exchange open uMark; [exchange close uMark overnight adjusted]',
    `srClsPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SR open mark; [SR close mark (close - 5m) overnight adjusted]',
    `closePrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'exchange open mark; [exchange close mark overnight adjusted] [if available]',
    `srPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR open surface price; [SR close surface price overnight adjusted]',
    `srVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR surface volatility',
    `srSrc` ENUM('None','NbboMid','SRVol','LoBound','HiBound','Other') NOT NULL DEFAULT 'None',
    `de` FLOAT NOT NULL DEFAULT 0 COMMENT 'greeks from SR surface volatility',
    `ga` FLOAT NOT NULL DEFAULT 0,
    `th` FLOAT NOT NULL DEFAULT 0,
    `ve` FLOAT NOT NULL DEFAULT 0,
    `vo` FLOAT NOT NULL DEFAULT 0 COMMENT 'volga (SR surface)',
    `va` FLOAT NOT NULL DEFAULT 0 COMMENT 'vanna (SR surface)',
    `rh` FLOAT NOT NULL DEFAULT 0,
    `ph` FLOAT NOT NULL DEFAULT 0,
    `srSlope` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface slope (SR surface)',
    `deDecay` FLOAT NOT NULL DEFAULT 0,
    `sdiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'term sdiv (stock dividend) rate',
    `ddiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of discrete dividends',
    `ddivPv` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of present value of discrete dividends',
    `rate` FLOAT NOT NULL DEFAULT 0 COMMENT 'term discount rate',
    `years` FLOAT NOT NULL DEFAULT 0 COMMENT 'years to expiration',
    `error` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'pricing calc error (0 = none)',
    `corpAction` TINYTEXT NOT NULL DEFAULT '',
    `configNow` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'timestamp in the trading period local timezone',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    PRIMARY KEY USING HASH (`okey_tk`,`okey_yr`,`okey_mn`,`okey_dy`,`okey_xx`,`okey_cp`,`okey_at`,`okey_ts`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='OptionOpenMark records are created during the end-of-day rotation for each product and intended for use the following trading day.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `okey_at`,
    `okey_ts`,
    `okey_tk`,
    `okey_yr`,
    `okey_mn`,
    `okey_dy`,
    `okey_xx`,
    `okey_cp`,
    `tradeDate`,
    `opnMarkState`,
    `uSrCls`,
    `uClose`,
    `srClsPrc`,
    `closePrc`,
    `srPrc`,
    `srVol`,
    `srSrc`,
    `de`,
    `ga`,
    `th`,
    `ve`,
    `vo`,
    `va`,
    `rh`,
    `ph`,
    `srSlope`,
    `deDecay`,
    `sdiv`,
    `ddiv`,
    `ddivPv`,
    `rate`,
    `years`,
    `error`,
    `corpAction`,
    `configNow`,
    `timestamp`
FROM `SRAnalytics`.`MsgOptionOpenMark`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `okey_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') */ 
    `okey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `okey_tk` = 'Example_okey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `okey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_dy` = 1
  AND
    /* Replace with a DOUBLE */ 
    `okey_xx` = 4.56
  AND
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `okey_cp` = 'Call';

Doc Columns Query

SELECT * FROM SRAnalytics.doccolumns WHERE TABLE_NAME='OptionOpenMark' ORDER BY ordinal_position ASC;