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Version: Upcoming

AuctionNotice

V8 Message Definiton

METADATA

AttributeValue
Topic2450-liquidity-notice
MLink TokenSRATS
ProductSRTrade
accessTypeSELECT

Table Definition

FieldTypeKeyDefault ValueComment
noticeNumberCHAR(19)PRI'0000-0000-0000-0000'
ticker_atenum - AssetType'None'underlier ticker
ticker_tsenum - TickerSrc'None'underlier ticker
ticker_tkVARCHAR(12)''underlier ticker
tradeDateDATE'1900-01-01'
isTestAuctionenum - YesNo'None'if yes auction is a test auction not a prodlive auction
shortCodeVARCHAR(10)''auction short code unique per day block auctions only can be used to find auctions on SR tools
auctionTypeenum - AuctionType'None'
auctionEventenum - AuctionEvent'None'
srcAuctionIDVARCHAR(20)''auction ID as known by the auction source empty for SRC
srcAuctionTypeVARCHAR(4)''
auctionSourceenum - AuctionSource'None'source of the auction notice eg SRC MIAX etc
industryTINYTEXT''industry string
symbolTypeenum - SymbolType'None'
uAvgDailyVlmFLOAT0underlier average daily trading volume
custSideenum - BuySell'None'if available
custQtyINT0
custPrcDOUBLE0public cust price
hasCustPrcenum - YesNo'None'
custFirmTypeenum - FirmType'None'cust firm type if disclosed
custAgentMPIDVARCHAR(6)''cust agent exchange member initiating the auction if disclosed
custClientFirmVARCHAR(16)''cust client firm if disclosed
commEnhancementFLOAT0additional commission if any paid by responder
custCommPayingenum - YesNo'None'client is commission paying to the responder
custQtyCondenum - CustQtyCond'None'UpToQty AllOrNone QtyOrMore
auctionDurationINT0expected auction duration in milliseconds
numOptLegsTINYINT UNSIGNED0MLEG Only
spreadClassenum - ToolSpreadClass'None'
limitTypeenum - SpdrLimitType'None'
spreadFlavorenum - SpreadFlavor'None'MLEG Only
containsHedgeenum - YesNo'None'MLEG Only
containsFlexenum - YesNo'None'contains FLEX options not regular listed options
containsMultiHedgeenum - YesNo'None'contains MultiHedge corp action adjusted options
uBidDOUBLE0
uAskDOUBLE0
refUPrcDOUBLE0
netDeFLOAT0
netGaFLOAT0
netThFLOAT0
netVeFLOAT0
pkgSurfPrcFLOAT0SR Surface Price entire package
pkgTheoPrcFLOAT0Client Theo Price entire package if client surfaces uploaded to SR
pkgBidPrcFLOAT0leg market best way price pkg bid
pkgAskPrcFLOAT0leg market worst way price pkg ask
pointValueDOUBLE0money settlement value of one 10 point of option premiumstrike
pointCurrencyenum - Currency'None'
srcTimestampBIGINT0
netTimestampBIGINT0
timestampDATETIME(6)'1900-01-01 00:00:00.000000'from ats exchange net timestamp if possible
includeSRNetworkenum - InclExclDisclose'None'
DirectedCounterPartyListJSON'JSON_ARRAY()'
OrderLegsListJSON'JSON_ARRAY()'

PRIMARY KEY DEFINITION (Unique)

FieldSequence
noticeNumber1

JSON Block (DirectedCounterPartyList)

FieldTypeComment
clientFirmenum - clientFirm
inclExclenum - InclExclDisclose
isCommPayingenum - YesNo

JSON Block (OrderLegsList)

FieldTypeComment
secKeyenum - secKey
secTypeenum - SpdrKeyType
sideenum - BuySell
ratioenum - ratio
undPerCnenum - undPerCn
expTypeenum - ExpiryTypeZDteDailyWeeklyRegularQuarterlyLongTermOtherExp
yearsenum - yearsSR volatility years to expiry
rateenum - rateSR global discount rate to expiry
atmVolenum - atmVolATM fwd uPrc SR surface volatility
ddivPvenum - ddivPvSR present value of ddiv stream
tVolenum - tVolclient theo surface volatility if client surfaces uploaded to SR
tPrcenum - tPrcclient theo price if client surfaces uploaded to SR
sVolenum - sVolSR Surface Volatility
sDivenum - sDivSR Surface SDiv
sPrcenum - sPrcSR Surface Price
deenum - de
gaenum - ga
thenum - th
veenum - ve
sVolOkenum - YesNoYes if live market and sVol are tracking as expected
oBidenum - oBidNBBO bid price
oBidSzenum - oBidSzcumulative NBBO bid size
oBidMaskenum - oBidMaskbitmask of participating NBBO exchanges
oAskenum - oAskNBBO ask price
oAskSzenum - oAskSzcumulative NBBO ask size
oAskMaskenum - oAskMaskbitmask of participating NBBO exchanges

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRTrade`.`MsgAuctionNotice` (
`noticeNumber` CHAR(19) NOT NULL DEFAULT '0000-0000-0000-0000',
`ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') 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','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'underlier ticker',
`ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'underlier ticker',
`tradeDate` DATE NOT NULL DEFAULT '1900-01-01',
`isTestAuction` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'if yes, auction is a test auction (not a prod/live auction)',
`shortCode` VARCHAR(10) NOT NULL DEFAULT '' COMMENT 'auction short code (unique per day) (block auctions only) (can be used to find auctions on SR tools)',
`auctionType` ENUM('None','Exposure','Improvement','Facilitation','Solicitation','Opening','Closing','RFQ','Block','Flash') NOT NULL DEFAULT 'None',
`auctionEvent` ENUM('None','Start','Update','End') NOT NULL DEFAULT 'None',
`srcAuctionID` VARCHAR(20) NOT NULL DEFAULT '' COMMENT 'auction ID as known by the auction source (empty for SRC)',
`srcAuctionType` VARCHAR(4) NOT NULL DEFAULT '',
`auctionSource` ENUM('None','SRC','AMEX','BOX','CBOE','ISE','NYSE','PHLX','NSDQ','BATS','C2','NQBX','MIAX','GMNI','EDGO','MCRY','MPRL','EMLD','MEMX','CME','CBOT','NYMEX','COMEX','ICE','EUREX') NOT NULL DEFAULT 'None' COMMENT 'source of the auction notice (eg. SRC, MIAX, etc.)',
`industry` TINYTEXT NOT NULL DEFAULT '' COMMENT 'industry string',
`symbolType` ENUM('None','Equity','ADR','ETF','CashIndex','MutualFund','ShortETF','Future','Bond','DepReceipts','PreferredSec','PreferenceShare','StructuredProd','StapledSec','TradeableRights','Unit','Warrant','WhenIssued','ForeignIssue') NOT NULL DEFAULT 'None',
`uAvgDailyVlm` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier average daily trading volume',
`custSide` ENUM('None','Buy','Sell') NOT NULL DEFAULT 'None' COMMENT 'if available',
`custQty` INT NOT NULL DEFAULT 0,
`custPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'public cust price',
`hasCustPrc` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
`custFirmType` ENUM('None','Customer','Firm','MarketMaker','ProCustomer','BrokerDealer','AwayMM','FirmJBO','BrkrDlrCust') NOT NULL DEFAULT 'None' COMMENT 'cust firm type (if disclosed)',
`custAgentMPID` VARCHAR(6) NOT NULL DEFAULT '' COMMENT 'cust agent exchange member initiating the auction (if disclosed)',
`custClientFirm` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'cust client firm (if disclosed)',
`commEnhancement` FLOAT NOT NULL DEFAULT 0 COMMENT 'additional commission (if any) paid by responder',
`custCommPaying` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'client is commission paying (to the responder)',
`custQtyCond` ENUM('None','UpToQty','AllOrNone','QtyOrMore') NOT NULL DEFAULT 'None' COMMENT 'UpToQty, AllOrNone, QtyOrMore',
`auctionDuration` INT NOT NULL DEFAULT 0 COMMENT '[expected] auction duration (in milliseconds)',
`numOptLegs` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'MLEG Only',
`spreadClass` ENUM('None','Stk','Fut','Call','Put','Synth','RevCon','Box','JRoll','Roll','Straddle','Strangle','CSpread','PSpread','VStrip','VSpread','HStrip','HSpread','BFly','RiskRev','Mixed','VarSwap') NOT NULL DEFAULT 'None',
`limitType` ENUM('None','Market','MarketArrival','Prc','PrcDe','PrcDeX','PrcDeT','PrcDeP','PrcDeXT','PrcDeXP','Vol','VolX','PrcV','PrcVX','NoLimit','RelMid','RelJoin','RelCross','SmrtFast','SmrtNorm','RelTurn','PrcDeEm','VolEm','Aux','UPrcPct','PkgNeutral','RcPrem','SynthLimitMM','SynthLimitBW','SynthLimitWW') NOT NULL DEFAULT 'None',
`spreadFlavor` ENUM('None','Normal','Flipped') NOT NULL DEFAULT 'None' COMMENT 'MLEG Only',
`containsHedge` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'MLEG Only',
`containsFlex` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'contains FLEX options (not regular listed options)',
`containsMultiHedge` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'contains MultiHedge (corp action adjusted) options',
`uBid` DOUBLE NOT NULL DEFAULT 0,
`uAsk` DOUBLE NOT NULL DEFAULT 0,
`refUPrc` DOUBLE NOT NULL DEFAULT 0,
`netDe` FLOAT NOT NULL DEFAULT 0,
`netGa` FLOAT NOT NULL DEFAULT 0,
`netTh` FLOAT NOT NULL DEFAULT 0,
`netVe` FLOAT NOT NULL DEFAULT 0,
`pkgSurfPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR Surface Price (entire package)',
`pkgTheoPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'Client Theo Price (entire package) (if client surfaces uploaded to SR)',
`pkgBidPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'leg market best way price (pkg bid)',
`pkgAskPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'leg market worst way price (pkg ask)',
`pointValue` DOUBLE NOT NULL DEFAULT 0 COMMENT 'money settlement value of one (1.0) point of option premium/strike',
`pointCurrency` ENUM('None','AUD','BRL','CAD','CHF','CNH','CNY','EUR','GBP','JPY','KRW','MXN','MYR','NOK','NZD','SEK','TRY','USD','USDCents','CZK','ZAR','HUF','USX','GBX') NOT NULL DEFAULT 'None',
`srcTimestamp` BIGINT NOT NULL DEFAULT 0,
`netTimestamp` BIGINT NOT NULL DEFAULT 0,
`timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'from ats / exchange net timestamp if possible',
`includeSRNetwork` ENUM('None','Include','Exclude','Disclose') NOT NULL DEFAULT 'None',
`DirectedCounterPartyList` JSON NOT NULL DEFAULT JSON_ARRAY() CHECK(JSON_VALID(DirectedCounterPartyList)),
`OrderLegsList` JSON NOT NULL DEFAULT JSON_ARRAY() CHECK(JSON_VALID(OrderLegsList)),
CONSTRAINT nonnegative_noticeNumber CHECK(ASCII(noticeNumber) < 56),
PRIMARY KEY USING HASH (`noticeNumber`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='';

SELECT TABLE EXAMPLE QUERY

SELECT
`noticeNumber`,
`ticker_at`,
`ticker_ts`,
`ticker_tk`,
`tradeDate`,
`isTestAuction`,
`shortCode`,
`auctionType`,
`auctionEvent`,
`srcAuctionID`,
`srcAuctionType`,
`auctionSource`,
`industry`,
`symbolType`,
`uAvgDailyVlm`,
`custSide`,
`custQty`,
`custPrc`,
`hasCustPrc`,
`custFirmType`,
`custAgentMPID`,
`custClientFirm`,
`commEnhancement`,
`custCommPaying`,
`custQtyCond`,
`auctionDuration`,
`numOptLegs`,
`spreadClass`,
`limitType`,
`spreadFlavor`,
`containsHedge`,
`containsFlex`,
`containsMultiHedge`,
`uBid`,
`uAsk`,
`refUPrc`,
`netDe`,
`netGa`,
`netTh`,
`netVe`,
`pkgSurfPrc`,
`pkgTheoPrc`,
`pkgBidPrc`,
`pkgAskPrc`,
`pointValue`,
`pointCurrency`,
`srcTimestamp`,
`netTimestamp`,
`timestamp`,
`includeSRNetwork`,
`DirectedCounterPartyList`,
`OrderLegsList`
FROM `SRTrade`.`MsgAuctionNotice`
WHERE
/* Replace with a CHAR(19) */
`noticeNumber` = 'Example_noticeNumber';

Doc Columns Query

SELECT * FROM SRTrade.doccolumns WHERE TABLE_NAME='AuctionNotice' ORDER BY ordinal_position ASC;