AtsDegrossRevConResult

V8 Message Definiton

Published by the dedicated degrossing execution engine at three lifecycle stages:

1. Received - on order arrival, confirms receipt, auction fields blank/zero
2. Provisional - each minute, trial match results showing what would happen now
3. Final - after auction completes and exchange confirms fills See DEGROSSING_PLAN_2.1.md section 5.3 and 11.1 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
accnt	VARCHAR(16)	PRI	''	SR trading account
side	enum - BuySell	PRI	'None'	Buy reversal lend Sell conversion borrow
clientFirm	VARCHAR(16)	PRI	''
auctionDttm	DATETIME(6)	PRI	'1900-01-01 00:00:00.000000'	auction cycle timestamp identifies which specific auction multiple per day
resultStatus	enum - AtsDegrossResultStatus		'None'
parentNumber	BIGINT		0	parent order reference
submittedSize	INT		0	original order size
useSRRate	enum - YesNo		'None'	echo did client use SR rate
useSRSDiv	enum - YesNo		'None'	echo did client use SR sdiv
useSRDDiv	enum - YesNo		'None'	echo did client use SR ddiv schedule
effectiveRate	DOUBLE		0	rate actually used SR or clientsupplied
effectiveSDiv	DOUBLE		0	sdiv actually used SR or clientsupplied
refUPrc	DOUBLE		0	reference underlier price used
strike	DOUBLE		0	SRchosen strike
iDays	INT		0	interest days to expiry
limitPrice	DOUBLE		0	computed limit price for this order
clearingPrice	DOUBLE		0	single clearing price for this ticker expiry
srClearingSDiv	DOUBLE		0	clearing SDIV using SR rate SR ddiv
clientClearingSDiv	DOUBLE		0	clearing SDIV using client rate client ddiv
matchSize	INT		0	matched size provisional or confirmed
matchStatus	enum - AtsRevConFillStatus		'None'
withdrawReason	TINYTEXT		''	reserved reason an order was withdrawn unused in 21
fillSize	INT		0	exchangeconfirmed fill size
numCrosses	INT		0	number of bilateral crosses this order participated in
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'
eventNum	INT		0	which event produced this row 0 provisional heartbeat 60s 12 trial 3 binding final

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
ticker_tk	1
ticker_at	2
ticker_ts	3
expiry	4
accnt	5
side	6
clientFirm	7
auctionDttm	8

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRTrade`.`MsgAtsDegrossRevConResult` (
    `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',
    `accnt` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'SR trading account',
    `side` ENUM('None','Buy','Sell') NOT NULL DEFAULT 'None' COMMENT 'Buy = reversal (lend); Sell = conversion (borrow)',
    `clientFirm` VARCHAR(16) NOT NULL DEFAULT '',
    `auctionDttm` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'auction cycle timestamp (identifies which specific auction; multiple per day)',
    `resultStatus` ENUM('None','Received','Provisional','Final') NOT NULL DEFAULT 'None',
    `parentNumber` BIGINT NOT NULL DEFAULT 0 COMMENT 'parent order reference',
    `submittedSize` INT NOT NULL DEFAULT 0 COMMENT 'original order size',
    `useSRRate` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'echo: did client use SR rate?',
    `useSRSDiv` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'echo: did client use SR sdiv?',
    `useSRDDiv` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'echo: did client use SR ddiv schedule?',
    `effectiveRate` DOUBLE NOT NULL DEFAULT 0 COMMENT 'rate actually used (SR or client-supplied)',
    `effectiveSDiv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'sdiv actually used (SR or client-supplied)',
    `refUPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'reference underlier price used',
    `strike` DOUBLE NOT NULL DEFAULT 0 COMMENT 'SR-chosen strike',
    `iDays` INT NOT NULL DEFAULT 0 COMMENT 'interest days to expiry',
    `limitPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'computed limit price for this order',
    `clearingPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'single clearing price for this (ticker, expiry)',
    `srClearingSDiv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'clearing SDIV using SR rate + SR ddiv',
    `clientClearingSDiv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'clearing SDIV using client rate + client ddiv',
    `matchSize` INT NOT NULL DEFAULT 0 COMMENT 'matched size (provisional or confirmed)',
    `matchStatus` ENUM('None','Confirmed','PartialFill','Withdrawn','PriceMiss','NoMatch','ExchangeRejected') NOT NULL DEFAULT 'None',
    `withdrawReason` TINYTEXT NOT NULL DEFAULT '' COMMENT 'reserved; reason an order was withdrawn (unused in 2.1)',
    `fillSize` INT NOT NULL DEFAULT 0 COMMENT 'exchange-confirmed fill size',
    `numCrosses` INT NOT NULL DEFAULT 0 COMMENT 'number of bilateral crosses this order participated in',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    `eventNum` INT NOT NULL DEFAULT 0 COMMENT 'which event produced this row: 0 = provisional heartbeat (~60s), 1/2 = trial #, 3 = binding final',
    PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`,`expiry`,`accnt`,`side`,`clientFirm`,`auctionDttm`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='Published by the dedicated degrossing execution engine at three lifecycle stages:\n1. Received - on order arrival, confirms receipt, auction fields blank/zero\n2. Provisional - each minute, trial match results showing what would happen now\n3. Final - after auction completes and exchange confirms fills\nSee DEGROSSING_PLAN_2.1.md section 5.3 and 11.1 for specification.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `expiry`,
    `accnt`,
    `side`,
    `clientFirm`,
    `auctionDttm`,
    `resultStatus`,
    `parentNumber`,
    `submittedSize`,
    `useSRRate`,
    `useSRSDiv`,
    `useSRDDiv`,
    `effectiveRate`,
    `effectiveSDiv`,
    `refUPrc`,
    `strike`,
    `iDays`,
    `limitPrice`,
    `clearingPrice`,
    `srClearingSDiv`,
    `clientClearingSDiv`,
    `matchSize`,
    `matchStatus`,
    `withdrawReason`,
    `fillSize`,
    `numCrosses`,
    `timestamp`,
    `eventNum`
FROM `SRTrade`.`MsgAtsDegrossRevConResult`
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'
  AND
    /* Replace with a VARCHAR(16) */ 
    `accnt` = 'Example_accnt'
  AND
    /* Replace with a ENUM('None','Buy','Sell') */ 
    `side` = 'None'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm'
  AND
    /* Replace with a DATETIME(6) */
    `auctionDttm` = '2022-01-01 12:34:56.000000';

Doc Columns Query

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