AtsDegrossRevConSpreads
Published by the dedicated degrossing execution engine. Republished periodically with updated SR values. Final publish at auction time reflects the exact values used by the matching algorithm. Clients consult this to know what is available and what SR reference values are. See DEGROSSING_PLAN_2.1.md section 5.1 and 11.2 for specification.
METADATA
| Attribute | Value |
|---|---|
| Topic | 2270-execution-engine |
| MLink Token | ClientTrading |
| Product | SRTrade |
| accessType | SELECT |
| MLink Endpoint | MLink-Live |
Table Definition
| Field | Type | Key | Default Value | Comment |
|---|---|---|---|---|
| ticker_at | enum - AssetType | PRI | 'None' | underlier ticker |
| ticker_ts | enum - TickerSrc | PRI | 'None' | underlier ticker |
| ticker_tk | VARCHAR(12) | PRI | '' | underlier ticker |
| expiry | DATE | PRI | '1900-01-01' | flex option expiry date |
| strike | DOUBLE | 0 | SRchosen sticky strike for this ticker | |
| refUPrc | DOUBLE | 0 | current reference underlier price updated intraday | |
| iDays | INT | 0 | interest days to expiry | |
| srRate | DOUBLE | 0 | SR reference financing rate | |
| srSDiv | DOUBLE | 0 | SR reference continuous dividend rate | |
| srRcFairPrc | DOUBLE | 0 | SR computed fair RevCon price using SR values | |
| srClearingSDiv | DOUBLE | 0 | prior auctions clearing SDIV if any 0 if no prior auction | |
| nextAuctionTime | DATETIME(6) | '1900-01-01 00:00:00.000000' | next scheduled auction time updated after each cycle | |
| nextCutoffTime | DATETIME(6) | '1900-01-01 00:00:00.000000' | submission cutoff for next auction | |
| auctionStatus | enum - AtsRevConAuctionStatus | 'None' | ||
| lastAuctionTime | DATETIME(6) | '1900-01-01 00:00:00.000000' | most recent completed auction time epoch if none today | |
| numAuctionsToday | INT | 0 | auctions completed today | |
| numAuctionsRemaining | INT | 0 | auctions remaining in todays schedule | |
| timestamp | DATETIME(6) | '1900-01-01 00:00:00.000000' | ||
| indicativeClearPrc | DOUBLE | 0 | clearing price from the most recent solve only meaningful when a cross exists see buySizesellSize | |
| indicativeClearSDiv | DOUBLE | 0 | SDIV implied by indicativeClearPrc SR rateddiv basis 0 no cross | |
| buySize | INT | 0 | total open Buy reversal lend size in this market | |
| sellSize | INT | 0 | total open Sell conversion borrow size in this market | |
| imbalance | INT | 0 | signed imbalance buySize sellSize | |
| SRDDivList | JSON | 'JSON_ARRAY()' |
PRIMARY KEY DEFINITION (Unique)
| Field | Sequence |
|---|---|
| ticker_tk | 1 |
| ticker_at | 2 |
| ticker_ts | 3 |
| expiry | 4 |
JSON Block (SRDDivList)
| Field | Type | Comment |
|---|---|---|
| ddivExDate | enum - ddivExDate | expected exdate |
| ddivAmount | enum - ddivAmount | expected dividend amount per share |
| ddivSource | enum - DDivSource | Announced Forecast etc |
CREATE TABLE EXAMPLE QUERY
CREATE TABLE `SRTrade`.`MsgAtsDegrossRevConSpreads` (
`ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') NOT NULL DEFAULT 'None' COMMENT 'underlier ticker',
`ticker_ts` 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') NOT NULL DEFAULT 'None' COMMENT 'underlier ticker',
`ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'underlier ticker',
`expiry` DATE NOT NULL DEFAULT '1900-01-01' COMMENT 'flex option expiry date',
`strike` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SR-chosen sticky strike for this ticker',
`refUPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'current reference underlier price (updated intraday)',
`iDays` INT NOT NULL DEFAULT 0 COMMENT 'interest days to expiry',
`srRate` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SR reference financing rate',
`srSDiv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SR reference continuous dividend rate',
`srRcFairPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SR computed fair RevCon price (using SR values)',
`srClearingSDiv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'prior auction''s clearing SDIV (if any; 0 if no prior auction)',
`nextAuctionTime` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'next scheduled auction time (updated after each cycle)',
`nextCutoffTime` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'submission cutoff for next auction',
`auctionStatus` ENUM('None','Pending','Open','Running','Completed','DoneForDay') NOT NULL DEFAULT 'None',
`lastAuctionTime` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'most recent completed auction time (epoch if none today)',
`numAuctionsToday` INT NOT NULL DEFAULT 0 COMMENT 'auctions completed today',
`numAuctionsRemaining` INT NOT NULL DEFAULT 0 COMMENT 'auctions remaining in today''s schedule',
`timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
`indicativeClearPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'clearing price from the most recent solve (only meaningful when a cross exists; see buySize/sellSize)',
`indicativeClearSDiv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SDIV implied by indicativeClearPrc (SR rate/ddiv basis; 0 = no cross)',
`buySize` INT NOT NULL DEFAULT 0 COMMENT 'total open Buy (reversal / lend) size in this market',
`sellSize` INT NOT NULL DEFAULT 0 COMMENT 'total open Sell (conversion / borrow) size in this market',
`imbalance` INT NOT NULL DEFAULT 0 COMMENT 'signed imbalance = buySize - sellSize',
`SRDDivList` JSON NOT NULL DEFAULT JSON_ARRAY() CHECK(JSON_VALID(SRDDivList)),
PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`,`expiry`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='Published by the dedicated degrossing execution engine. Republished periodically with updated SR values.\nFinal publish at auction time reflects the exact values used by the matching algorithm.\nClients consult this to know what is available and what SR reference values are.\nSee DEGROSSING_PLAN_2.1.md section 5.1 and 11.2 for specification.';
SELECT TABLE EXAMPLE QUERY
SELECT
`ticker_at`,
`ticker_ts`,
`ticker_tk`,
`expiry`,
`strike`,
`refUPrc`,
`iDays`,
`srRate`,
`srSDiv`,
`srRcFairPrc`,
`srClearingSDiv`,
`nextAuctionTime`,
`nextCutoffTime`,
`auctionStatus`,
`lastAuctionTime`,
`numAuctionsToday`,
`numAuctionsRemaining`,
`timestamp`,
`indicativeClearPrc`,
`indicativeClearSDiv`,
`buySize`,
`sellSize`,
`imbalance`,
`SRDDivList`
FROM `SRTrade`.`MsgAtsDegrossRevConSpreads`
WHERE
/* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */
`ticker_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') */
`ticker_ts` = 'None'
AND
/* Replace with a VARCHAR(12) */
`ticker_tk` = 'Example_ticker_tk'
AND
/* Replace with a DATE */
`expiry` = '2022-01-01';
Doc Columns Query
SELECT * FROM SRTrade.doccolumns WHERE TABLE_NAME='AtsDegrossRevConSpreads' ORDER BY ordinal_position ASC;