OptionCloseMark

V8 Message Definiton

OptionCloseMark records are published immediately after the market close - 5 min and again when exchanges publish official marks. OptionCloseMark records are published to the SpiderRock elastic cluster when clsMarkState=Final

METADATA

Attribute	Value
Topic	3120-market-marks
MLink Token	OptMarkData
Product	SRLive
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'
ticker_at	enum - AssetType		'None'	SR Ticker that this option rolls up to
ticker_ts	enum - TickerSrc		'None'	SR Ticker that this option rolls up to
ticker_tk	VARCHAR(12)		''	SR Ticker that this option rolls up to
tradeDate	DATE		'1900-01-01'
clsMarkState	enum - ClsMarkState		'None'	Preview or Final
uBid	DOUBLE		0	SpiderRock closing underlier bid C 5m
uAsk	DOUBLE		0	SpiderRock closing underlier ask C 5m
uSrCls	DOUBLE		0	SpiderRock underlier closing mark C 5m
uClose	DOUBLE		0	exchange underlier closing mark
bidPrc	FLOAT		0	SpiderRock closing option bid C 5m
askPrc	FLOAT		0	SpiderRock closing option ask C 5m
srClsPrc	DOUBLE		0	SpiderRock close mark close 5min NBBO midmarket
closePrc	DOUBLE		0	official exchange closing mark last printthen official close
hasSRClsPrc	enum - YesNo		'None'
hasClosePrc	enum - YesNo		'None'
hasUClsPrc	enum - YesNo		'None'
bidIV	FLOAT		0	implied vol of SpiderRock closing bid price C 5m
askIV	FLOAT		0	implied vol of SpiderRock closing ask price C 5m
srPrc	FLOAT		0	sr close mark price always within bidPxaskPx C 5m
srVol	FLOAT		0	sr close mark volatility C 5m
synSpot	DOUBLE		0	Synthetic spot price marketderived spot when the underlying is not a traded instrument
atmVol	FLOAT		0	atm vol xAxis 0
atmCen	FLOAT		0	atm vol xAxis 0 eMoveearnCntAdj censored
srSrc	enum - MarkSource		'None'	sr close mark source SRVol is SurfaceVol
kAdj	FLOAT		0	adjusted strike
de	FLOAT		0	delta
ga	FLOAT		0	gamma
th	FLOAT		0	theta
ve	FLOAT		0	vega
vo	FLOAT		0	volga
va	FLOAT		0	vanna
rh	FLOAT		0	rho
ph	FLOAT		0	phi
deDecay	FLOAT		0	delta decay
srSlope	FLOAT		0	surface slope SR surface
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
iEMove	FLOAT		0	implied earnings move from LiveSurfaceTerm
earnCntAdj	FLOAT		0	number of qualifying earnings events prior to expiration adjusted from StockEarningsCalendar LiveSurfaceTerm
error	TINYINT UNSIGNED		0	calculation error code
openInterest	INT		0	option open Interest
prtCount	INT		0	print count
prtVolume	INT		0	total printed volume all prt types
srCloseMarkDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	from MarketCloseQuotesrCloseMarkDttm in trading period local timezone
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'	record timestamp

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

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRLive`.`MsgOptionCloseMark`
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';

Doc Columns Query

SELECT * FROM SRLive.doccolumns WHERE TABLE_NAME='OptionCloseMark' ORDER BY ordinal_position ASC;