RootDefinition

V8 Message Definiton

RootDefinition records are sourced from the listing exchange for future options and from OCC for US equity options. Records are updated as SpiderRock receives changes.

METADATA

Attribute	Value
Topic	4335-product-definition
MLink Token	OptionDefinition
Product	SRAnalytics
accessType	SELECT
MLink Endpoint	MLink-Live

Table Definition

Field	Type	Key	Default Value	Comment
root_at	enum - AssetType	PRI	'None'
root_ts	enum - TickerSrc	PRI	'None'
root_tk	VARCHAR(12)	PRI	''
ticker_at	enum - AssetType		'None'	master underlying can be a stockproduct group eg ES
ticker_ts	enum - TickerSrc		'None'	master underlying can be a stockproduct group eg ES
ticker_tk	VARCHAR(12)	SEC	''	master underlying can be a stockproduct group eg ES
osiRoot	VARCHAR(8)	SEC	''	long version of the root the short version is used in the TickerKey for example RYAAY1 not RYAA1
ccode_at	enum - AssetType		'None'
ccode_ts	enum - TickerSrc		'None'
ccode_tk	VARCHAR(12)	SEC	''
uPrcDriverKey_at	enum - AssetType		'None'	optional option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey_ts	enum - TickerSrc		'None'	optional option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey_tk	VARCHAR(12)		''	optional option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey_yr	SMALLINT UNSIGNED		0	optional option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey_mn	TINYINT UNSIGNED		0	optional option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey_dy	TINYINT UNSIGNED		0	optional option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverType	enum - SpdrKeyType		'None'	Stock or Future note if Future and uPrcDriverKey does not have an expiry month then FrontMonth will be used
uPrcDriverKey2_at	enum - AssetType		'None'	optional alternate option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey2_ts	enum - TickerSrc		'None'	optional alternate option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey2_tk	VARCHAR(12)		''	optional alternate option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey2_yr	SMALLINT UNSIGNED		0	optional alternate option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey2_mn	TINYINT UNSIGNED		0	optional alternate option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverKey2_dy	TINYINT UNSIGNED		0	optional alternate option underlier price driver all option expiries overrides optExpiryDefinition
uPrcDriverType2	enum - SpdrKeyType		'None'	Stock or Future note if Future and uPrcDriverKey does not have an expiry month then FrontMonth will be used
uPrcBoundCCode	enum - YesNo		'None'	if Yes and if a future exists with ccodeCCode and futExpiry optExpiry the use this future as a pricing bound
expirationMap	enum - ExpirationMap		'None'	determines the underlying future if any
underlierMode	enum - UnderlierMode		'None'
optionType	enum - OptionType		'None'	indicator for option type
multihedge	enum - Multihedge		'None'	indicates type of multihedge None standard root all other root types are not None
exerciseTime	enum - ExerciseTime		'None'	Exercise time type
exerciseType	enum - ExerciseType		'None'	Exercise style
timeMetric	enum - TimeMetric		'None'	trading time metric 252 or 365 trading days or a weekly cycle type
tradingPeriod	enum - TradingPeriod		'None'
pricingModel	enum - PricingModel		'None'	nonfunctional temporarily added back for binary compatibility with mars
calcModelType	enum - CalcModelType		'None'	LogNormal or Normal default is determined by product characteristics and is usually correct for binary compatibility with new quant package
prcFramework	enum - PricingFramework		'None'	Spot or Forward override default is usually ok for binary compatibility with new quant package
moneynessType	enum - MoneynessType		'None'	moneyness xAxis convention PctStd K fUPrc 1 axisVol RT LogStd LOGKfUPrc axisVol RT NormStd K fUPrc axisVol RT
priceQuoteType	enum - PriceQuoteType		'None'	quoting style for the option series on the exchange price standard price quote or volatility quoted vol points
volumeTier	enum - VolumeTier		'None'
positionLimit	INT		0	max contract limit
exchanges	VARCHAR(24)		''	exchange codes
tickValue	FLOAT		0	NLV value of a single tick change in display premium pointValue tickValue tickSize
pointValue	FLOAT		0	NLV value of a single point change in display premium pointValue tickValue tickSize
pointCurrency	enum - Currency		'None'
strikeScale	DOUBLE		0	manual strike price adjustment multiplier used for some CME products if set otherwise displayFactor is used okeyxx strikePrice manualStrikeScale
strikeRatio	FLOAT		0	note effective strike strike strikeRatio cashOnExercise
cashOnExercise	FLOAT		0	note cashOnExercise is positive if it decreases the effective strike price
underliersPerCn	DOUBLE		0	note always 100 if underlying list is in use
premiumMult	DOUBLE		0	note OCC premiumstrike multiplier usually 100
symbolRatio	FLOAT		0	note currently used when AdjConvention is None value of 0 implies symbolRatio is 1
adjConvention	enum - AdjConvention		'None'
optPriceInc	enum - OptPriceInc		'None'
priceFormat	enum - PriceFormat		'None'	price display format
minTickSize	DOUBLE		0	min tick size used for European native exchange options
tradeCurr	enum - Currency		'None'
settleCurr	enum - Currency		'None'
strikeCurr	enum - Currency		'None'
defaultSurfaceRoot_at	enum - AssetType		'None'	fallback ticker to use for option surfaces if no native surfaces are available
defaultSurfaceRoot_ts	enum - TickerSrc		'None'	fallback ticker to use for option surfaces if no native surfaces are available
defaultSurfaceRoot_tk	VARCHAR(12)		''	fallback ticker to use for option surfaces if no native surfaces are available
ricRoot	VARCHAR(6)		''	RIC Root
bbgRoot	VARCHAR(6)		''	Bloomberg root
bbgYrCode	enum - BbgYrCode		'None'	Format for the year field in the Bloomberg Code
bbgGroup	enum - YellowKey		'None'	Bloomberg Yellow Key
regionalCompositeRoot_at	enum - AssetType		'None'	regional composite ticker set on European contributor products only
regionalCompositeRoot_ts	enum - TickerSrc		'None'	regional composite ticker set on European contributor products only
regionalCompositeRoot_tk	VARCHAR(12)		''	regional composite ticker set on European contributor products only
isHftTaxLiable	enum - YesNo		'None'	if Yes options on this root are liable for high frequency taxation and require hft throttling for maker algos
hftTaxTriggerTime	DOUBLE		0	value in seconds that any order activity new cancel update needs witheld for to prevent triggering hft default 5 seconds per Italian tax
description	VARCHAR(80)		''	product description sourced from Activ FidName
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'
ExchangeList	JSON		'JSON_ARRAY()'
UnderlyingList	JSON		'JSON_ARRAY()'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
root_tk	1
root_at	2
root_ts	3

SECONDARY INDEX (CCodeIndex) (Not Unique)

Field	Sequence
ccode_tk	1

SECONDARY INDEX (OSIRootIndex) (Not Unique)

Field	Sequence
osiRoot	1

SECONDARY INDEX (TickerIndex) (Not Unique)

Field	Sequence
ticker_tk	1

JSON Block (ExchangeList)

Field	Type	Comment
optExch	enum - OptExch
root	enum - root

JSON Block (UnderlyingList)

Field	Type	Comment
ticker	enum - ticker
undPerCn	enum - undPerCn	note root basket sumundPerCn ticker 100

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRAnalytics`.`MsgRootDefinition`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */ 
    `root_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') */ 
    `root_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `root_tk` = 'Example_root_tk';

Doc Columns Query

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