AtsDegrossRevConSpreads

V8 Message Definiton

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

SELECT TABLE EXAMPLE QUERY

SELECT *
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;