RFQQuoteBroadcast

V8 Message Definiton

Live spread quotes with SpiderRock markup details for equity and future option spreads. Legs details are included in a packed field. This table contains the most recent market for each spread.

METADATA

Attribute	Value
Topic	6120-tool-rows
MLink Token	ClientLive
Product	SRLive
accessType	SELECT
MLink Endpoint	MLink-Live

Table Definition

Field	Type	Key	Default Value	Comment
securityID	BIGINT	PRI	0	exchange spread ID eg CME ProductID or ISE SecurityID
exchSource	enum - ExchSource	PRI	'None'
ticker_at	enum - AssetType		'None'	first ticker in leg list
ticker_ts	enum - TickerSrc		'None'	first ticker in leg list
ticker_tk	VARCHAR(12)	SEC	''	first ticker in leg list
securityDesc	TINYTEXT		''	SR constructedblank on broadcast filled by tool or SRSE proxy
rfqSource	VARCHAR(255)		'Any'
rfqStrategy	enum - SpreadStrategy		'None'
isCoveredStrategy	enum - YesNo		'None'
isTradeable	enum - YesNo		'None'
rfqBidPrice	DOUBLE		0	best bid buy price for this RFQSpread book
rfqBidQuan	INT		0	cumulative bid buy quantity
rfqAskPrice	DOUBLE		0	best ask sell price for this RFQSpread book
rfqAskQuan	INT		0	cumulative ask sell quantity
rfqPrtPrice	DOUBLE		0	last print price for this RFQSpread
rfqPrtSize	INT		0	last print size for this RFQSpread
rfqPrtVolume	INT		0	total print volume for session for this RFQSpread
rfqPrtTime	BIGINT		0
bidPrice	DOUBLE		0	best bid buy price for this RFQSpread from individual legs
bidQuan	INT		0	minimum bid buy quantity from individual legs
askPrice	DOUBLE		0	best ask sell price for this RFQSpread from individual legs
askQuan	INT		0	minimum ask sell quantity from individual legs
surfDelta	FLOAT		0	delta of all legs
surfVega	FLOAT		0	vega of all legs
surfPrice	FLOAT		0	surfPrice SR midmarket of all legs
theoPrice	FLOAT		0	theoPrice if applicable of all legs
theoPriceLo	FLOAT		0	theoPrice if applicable of all legs best way
theoPriceHi	FLOAT		0	theoPrice if applicable of all legs worst way
minUPrc	DOUBLE		0	min uPrc of all option legs
maxUPrc	DOUBLE		0	max uPrc of all option legs
minYears	FLOAT		0	min years of all option legs
maxYears	FLOAT		0	max years of all option legs
legSecTypes	VARCHAR(255)		'Any'	multi value
exchange	VARCHAR(8)		''	comma separated list
grpNum	INT		0	industry group number equities only
sector	VARCHAR(16)		''	user defined sector code if any
riskClass	VARCHAR(8)		''	risk class letter code
optStatus	enum - OptStatus		'Hold'
posVega	FLOAT		0
posGamma	FLOAT		0
posTheta	FLOAT		0
posDelta	FLOAT		0
netTimestamp	BIGINT		0	PTP timestamp of most recent message update
filterId	BIGINT		0	used by tooltoolServer session to multiplex filters
numLegs	INT		0
QuoteLegsList	JSON		'JSON_ARRAY()'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
securityID	1
exchSource	2

SECONDARY INDEX (TickerIndex) (Not Unique)

Field	Sequence
ticker_tk	1

JSON Block (QuoteLegsList)

Field	Type	Comment
legKey	enum - legKey
legKeyType	enum - LegKeyType
legSecurityID	enum - legSecurityID	product securityID if available 0 otherwise can be another spread
legParentSecID	enum - legParentSecID	product securityID of parent if unrolled from a compound spread
legSecurityDesc	enum - legSecurityDesc	Security description
legRatio	enum - legRatio	leg ratio 1 2 etc
legSide	enum - BuySell
legBidPrice	enum - legBidPrice	leg market bid
legBidSize	enum - legBidSize
legAskPrice	enum - legAskPrice	leg market ask
legAskSize	enum - legAskSize
legYears	enum - legYears
legUPrc	enum - legUPrc
legOptMult	enum - legOptMult	SPC if equity 1 if optionfuture
legFutMult	enum - legFutMult	1 if equity uMult if optionfuture
legSurfVol	enum - legSurfVol	leg surface volatility
legSurfDe	enum - legSurfDe
legSurfVe	enum - legSurfVe
legSurfPrice	enum - legSurfPrice	surface price as of message arrival
legTheoPrice	enum - legTheoPrice	theo price
legTheoPrcB	enum - legTheoPrcB	theo buy price
legTheoPrcS	enum - legTheoPrcS	theo sell price

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRLive`.`MsgRFQQuoteBroadcast`
WHERE 
    /* Replace with a BIGINT */ 
    `securityID` = 1234567890
  AND
    /* Replace with a ENUM('None','Broker','CME','ISE','CBOE','PHLX','CBOT','NYMEX','COMEX','NMS','ICE','CFE') */ 
    `exchSource` = 'None';

Doc Columns Query

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