OptionPrintSet

V8 Message Definiton

OptionPrintSet records contain every option print along with quote, surface, and SR probability details at print time. These records also contain T+1M and T+10M forward mark details. These records are created for every print at the time of print and are published to the SpiderRock elastic cluster 10 minutes later when T + 10M forward marks are available.

METADATA

Attribute	Value
Topic	2750-market-data-options
MLink Token	OptAnalytics
Product	SRAnalytics
accessType	SELECT
MLink Endpoint	MLink-Live

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'
prtNumber	BIGINT	PRI	0	Unique print set identifier will increment but not guaranteed to be sequential
updateType	enum - PrtUpdateType		'None'
fkey_at	enum - AssetType		'None'	underlying fkey if any
fkey_ts	enum - TickerSrc		'None'	underlying fkey if any
fkey_tk	VARCHAR(12)		''	underlying fkey if any
fkey_yr	SMALLINT UNSIGNED		0	underlying fkey if any
fkey_mn	TINYINT UNSIGNED		0	underlying fkey if any
fkey_dy	TINYINT UNSIGNED		0	underlying fkey if any
ticker_at	enum - AssetType		'None'	underlying ticker
ticker_ts	enum - TickerSrc		'None'	underlying ticker
ticker_tk	VARCHAR(12)		''	underlying ticker
prtExch	enum - OptExch		'None'	exchange on which print took place
prtSize	INT		0	print size contracts
prtPrice	FLOAT		0	print price
prtType	enum - PrtType		'None'	print type
prtTypeint	INT		0	optionopra print type in integer format
prtOrders	SMALLINT UNSIGNED		0	number of participating orders future exchanges only
prtClusterNum	INT		0	incremental print cluster counter one counter per okey 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	day print volume in contracts
cxlVolume	INT		0	day printcancel volume num of contracts printed and then cancelled
bidCount	SMALLINT UNSIGNED		0	number of bid prints
askCount	SMALLINT UNSIGNED		0	number of ask prints
bidVolume	INT		0	bid print volume in contracts
askVolume	INT		0	ask print volume in contracts
ebid	FLOAT		0	exchange bid print time
eask	FLOAT		0	exchange ask print time
ebsz	INT		0	exchange bid size
easz	INT		0	exchange ask size
eage	FLOAT		0	age of prevailing quote at time of print
prtSide	enum - PrtSide		'None'
prtTimestamp	BIGINT		0	exchange high precision timestamp if available
netTimestamp	BIGINT		0	inbound packet PTP timestamp from SR gateway switch usually syncronized with facility grandfather clock
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'
oBid	FLOAT		0	Option NBBO bid a the time the print was received
oAsk	FLOAT		0	Option NBBO ask a the time the print was received
oBidSz	INT		0	Option NBBO cumulative bid size at the time the print was received
oAskSz	INT		0	Option NBBO cumulative ask size at the time the print was received
oBidEx	enum - OptExch		'None'	First or largest option exchange on the bid
oAskEx	enum - OptExch		'None'	First or largest option exchange on the ask
oBidExSz	INT		0	Option bid size of the largest exchange on the bid at the time the print was received
oAskExSz	INT		0	Option ask size of the largest exchange on the ask at the time the print was received
oBidCnt	TINYINT UNSIGNED		0	Number of exchanges on the NBBO bid
oAskCnt	TINYINT UNSIGNED		0	Number of exchanges on the NBBO ask
oBid2	FLOAT		0	Second level bid price
oAsk2	FLOAT		0	Second level ask price
oBidSz2	INT		0	Cumulative size on the second level bid price
oAskSz2	INT		0	Cumulative size on the second level ask price
oBidIv	DOUBLE		0	option bid IV
oAskIv	DOUBLE		0	option ask IV
uBid	DOUBLE		0	underlier bid
uAsk	DOUBLE		0	underlier ask
uPrc	DOUBLE		0	underlier price
modelType	enum - CalcModelType		'None'	option pricing model used for price calcs Normal LogNormal etc
prcFramework	enum - PricingFramework		'None'
exType	enum - ExerciseType		'None'	exercise type
years	FLOAT		0	volatility years to expiration from SR timecalendar metrics
yearsC	FLOAT		0	calendar years to expiration
rate	FLOAT		0	SR interest rate from global rate curve
sdiv	FLOAT		0	SR sdiv rate implied from callput alignment
ddiv	FLOAT		0	SR ddiv sum of discrete dividend amounts
ddivPv	FLOAT		0	SR ddivPv sum of present value discrete dividend amounts
sDaysT	TINYINT UNSIGNED		0	settlement days today
sDaysE	TINYINT UNSIGNED		0	settlement days expiry
xDe	FLOAT		0	xDelta
xAxis	FLOAT		0	SR surface xAxis value
multihedge	enum - Multihedge		'None'	Distinguishes options that have a single underlying security from those that are more complex multiple securitiescash components binary optionsetc NoneSimpleComplexAllCashBinary
flexType	enum - FlexType		'None'
flexRoot	VARCHAR(12)		''
prtIv	FLOAT		0	print implied vol
prtDe	FLOAT		0	print delta
prtGa	FLOAT		0	print gamma
prtTh	FLOAT		0	print theta
prtVe	FLOAT		0	print vega
prtVa	FLOAT		0	print vanna
prtVo	FLOAT		0	print volga
prtRo	FLOAT		0	print rho
prtPh	FLOAT		0	print phi
prtDeDecay	FLOAT		0	print delta decay
calcErr	VARCHAR(24)		''	calc error flag
synSpot	DOUBLE		0	Synthetic spot price marketderived spot when the underlying is not a traded instrument
surfVol	FLOAT		0	SR surface volatility
surfOpx	FLOAT		0	SR surface price
surfAtm	FLOAT		0	SR surface ATM vol
srSlope	FLOAT		0	srSlope dVol dUprc assuming vol xAxis 0 remains constant hedgeDelta de ve 100 srSlope if hedging with this assumption
prtProbability	FLOAT		0	M1 probability that buying prtSize contracts prtPrice will have positive m10 pnl prtPriceM10 prtPrice recorded at time of print
prtProbabilityM2	FLOAT		0	alternate probability model
prtProbabilityM3	FLOAT		0	alternate probability model
oBidM1	FLOAT		0	NBBO option bid 1 minute after print was received
oAskM1	FLOAT		0	NBBO option ask 1 minute after print was received
uBidM1	DOUBLE		0	NBBO underlying bid 1 minute after print was received
uAskM1	DOUBLE		0	NBBO underlying ask 1 minute after print was received
uPrcM1	DOUBLE		0	Underlying price 1 minute after print was received
sVolM1	FLOAT		0	Suface volatility 1 minute after print was received
sOpxM1	FLOAT		0	Surface option price 1 minute after print was received
sDivM1	FLOAT		0	sDiv 1 minute after print was received
sErrM1	VARCHAR(12)		''	Surface error condition if any 1 minute after print was received
pnlM1	FLOAT		0	pnl after 1 minute
pnlM1Err	enum - YesNo		'None'	Error condition for PnL calculated over the first 1 minute after the print was received
oBidM10	FLOAT		0	NBBO option bid 10 minutes after print was received
oAskM10	FLOAT		0	NBBO option ask 10 minutes after print was received
uBidM10	DOUBLE		0	NBBO underlying bid 10 minutes after print was received
uAskM10	DOUBLE		0	NBBO underlying ask 10 minutes after print was received
uPrcM10	DOUBLE		0	Underlying price 10 minutes after print was received
sVolM10	FLOAT		0	Suface volatility 10 minutes after print was received
sOpxM10	FLOAT		0	Surface option price 10 minutes after print was received
sDivM10	FLOAT		0	sDiv 10 minutes after print was received
sErrM10	VARCHAR(12)		''	Surface error condition if any 10 minutes after print was received
pnlM10	FLOAT		0	pnl after 10 minutes
pnlM10Err	enum - YesNo		'None'	Error condition for PnL calculated 10 minutes after the print was received
oBidS1	FLOAT		0	NBBO option bid 1 second after print was received
oAskS1	FLOAT		0	NBBO option ask 1 second after print was received
uBidS1	DOUBLE		0	NBBO underlying bid 1 second after print was received
uAskS1	DOUBLE		0	NBBO underlying ask 1 second after print was received
uPrcS1	DOUBLE		0	Underlying price 1 second after print was received
sVolS1	FLOAT		0	Suface volatility 1 second after print was received
sOpxS1	FLOAT		0	Surface option price 1 second after print was received
sDivS1	FLOAT		0	sDiv 1 second after print was received
sErrS1	VARCHAR(12)		''	Surface error condition if any 1 second after print was received
pnlS1	FLOAT		0	pnl after 1 second
pnlS1Err	enum - YesNo		'None'	Error condition for PnL calculated over the first 1 second after the print was received
oBidNext	FLOAT		0	next NBBO option bid after print was received
oAskNext	FLOAT		0	next NBBO option ask after print was received

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
prtNumber	9

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRAnalytics`.`MsgOptionPrintSet`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */ 
    `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','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX') */ 
    `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'
  AND
    /* Replace with a BIGINT */ 
    `prtNumber` = 1234567890;

Doc Columns Query

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