StockExchImbalanceV2
StockExchImbalanceV2 records contain live exchange closing auction imbalance details. Imbalance information can be available from more than one exchange for each ticker. Final StockExchImbalanceV2 records are published to the SpiderRock elastic cluster nightly after the auction close.
METADATA
| Attribute | Value |
|---|---|
| Topic | 2990-market-data-stock |
| MLink Token | EqtExchImbalance |
| Product | SRLive |
| accessType | SELECT |
| MLink Endpoint | MLink-Live |
Table Definition
| Field | Type | Key | Default Value | Comment |
|---|---|---|---|---|
| ticker_at | enum - AssetType | PRI | 'None' | |
| ticker_ts | enum - TickerSrc | PRI, SEC | 'None' | |
| ticker_tk | VARCHAR(12) | PRI | '' | |
| auctionTime | DATETIME(6) | PRI | '1900-01-01 00:00:00.000000' | Projected Auction Time hhmm |
| auctionType | enum - AuctionReason | PRI | 'None' | |
| exchange | enum - PrimaryExchange | PRI | 'None' | |
| referencePx | FLOAT | 0 | For Pillarpowered markets the Reference Price is used to calculate the Indicative Match Price | |
| pairedQty | INT | 0 | For Pillarpowered markets the number of shares paired off at the Indicative Match Price | |
| totalImbalanceQty | INT | 0 | For Pillarpowered markets the total imbalance quantity at the Indicative Match Price | |
| marketImbalanceQty | INT | 0 | For Pillarpowered markets the total market order imbalance quantity at the Indicative Match Price | |
| imbalanceSide | enum - ImbalanceSide | 'None' | The side of the TotalImbalanceQty | |
| continuousBookClrPx | FLOAT | 0 | For Pillarpowered markets the price at which all interest on the book can trade including auction and imbalance offset interest and disregarding auction collars | |
| closingOnlyClrPx | FLOAT | 0 | For Pillarpowered markets the price at which all eligible auctiononly interest would trade subject to auction collars | |
| ssrFillingPx | FLOAT | 0 | For Pillarpowered markets not supported and defaulted to 0 | |
| indicativeMatchPx | FLOAT | 0 | For Pillarpowered markets the price that has the highest executable volume of auctioneligible shares subject to auction collars It includes the nondisplayed quantity of Reserve Orders | |
| upperCollar | FLOAT | 0 | If the IndicativeMatchPrice is not strictly between the UpperCollar and the LowerCollar special auction rules apply See Rule 735P for details | |
| lowerCollar | FLOAT | 0 | If the IndicativeMatchPrice is not strictly between the UpperCollar and the LowerCollar special auction rules apply See Rule 735P for details | |
| auctionStatus | enum - AuctionStatus | 'None' | Indicates whether the auction will run | |
| freezeStatus | enum - YesNo | 'None' | ||
| numExtensions | TINYINT UNSIGNED | 0 | Number of times the halt period has been extended | |
| netTimestamp | BIGINT | 0 | PTP timestamp |
PRIMARY KEY DEFINITION (Unique)
| Field | Sequence |
|---|---|
| ticker_tk | 1 |
| ticker_at | 2 |
| ticker_ts | 3 |
| auctionTime | 4 |
| auctionType | 5 |
| exchange | 6 |
SECONDARY INDEX (TickerSrcIndex) (Not Unique)
| Field | Sequence |
|---|---|
| ticker_ts | 1 |
SELECT TABLE EXAMPLE QUERY
SELECT *
FROM `SRLive`.`MsgStockExchImbalanceV2`
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 DATETIME(6) */
`auctionTime` = '2022-01-01 12:34:56.000000'
AND
/* Replace with a ENUM('None','Open','Market','Halt','Closing','RegulatoryImbalance') */
`auctionType` = 'None'
AND
/* Replace with a ENUM('None','NYSE','NYSEArca','NYSEMkt','NASDAQ','NASDAQBOS','BATS','PHLX','IEXG','CSE','NSE','FINRA','PORTAL','OTC','CME','CBOT','NYMEX','COMEX','ICE','EUREX','XETRA','CDEX','BXE','CXE','DXE','LSE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','XJSE','BERA','FRAA','HAMA','XWBO','DUSA','XSWX','XWAR','FNSE','XGAT','XSTO','XTAE','XCYS','XPRA','HANA','BOTC','NXDUB','XATH','XMAD','XCSE','FNDK','XTAL','FNEE','XHEL','NMO','TRQX','XICE','FNIS','XLIT','FNLT','XRIS','FNLV','XSAT','MUNA','XETA','XLU','XBD','ICEFEC','ICEFEF','XTSE') */
`exchange` = 'None';
Doc Columns Query
SELECT * FROM SRLive.doccolumns WHERE TABLE_NAME='StockExchImbalanceV2' ORDER BY ordinal_position ASC;