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Version: Upcoming

AuctionPrintRC

V8 Message Definiton

METADATA​

AttributeValue
Topic2450-liquidity-notice
MLink TokenSRATS
ProductSRTrade
accessTypeSELECT

Table Definition​

FieldTypeKeyDefault ValueComment
noticeNumberCHAR(19)PRI'0000-0000-0000-0000'AuctionNoticenoticeNumber
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
noticeTimeDATETIME(6)'1900-01-01 00:00:00.000000'notice create timestamp high precision
auctionTypeenum - AuctionType'None'eg Block Flash Improvement Facilitation etc
auctionSourceenum - AuctionSource'None'source of the auction notice eg SRC MIAX etc
containsFlexenum - YesNo'None'Flex European
root_atenum - AssetType'None'option root
root_tsenum - TickerSrc'None'option root
root_tkVARCHAR(12)''option root
expiryDATE'1900-01-01'
strikeDOUBLE0revcon strike
industryTINYTEXT''industry string
symbolTypeenum - SymbolType'None'
uAvgDailyVlmFLOAT0underlier average daily trading volume
custSideenum - BuySell'None'from AuctionNotice if known
custQtyINT0from AuctionNotice if known
custPrcDOUBLE0from AuctionNotice if known
hasCustPrcenum - YesNo'None'from AuctionNotice if known
custFirmTypeenum - FirmType'None'cust firm type if disclosed
custAgentMPIDVARCHAR(6)''cust agent exchange member initiating the auction if disclosed
commEnhancementFLOAT0additional commission if any paid by responder
noticeUBidDOUBLE0
noticeUAskDOUBLE0
netSurfPrcFLOAT0SR Surface Price entire package
iDaysDOUBLE0iDays effective interest days SR supplied
iYearsDOUBLE0iYears iDays 3600
moneyRateDOUBLE0effective rate to borrowlend money to expiry 360 day convention compares to globalRate 360 365 SR Supplied Estimate
ddivPvDOUBLE0present value of any expected dividends to expiry SR Supplied Estimate
hasEstDDivsenum - YesNo'None'Yes if one or more expected ddiv is an estimate not yet announced SR Supplied
sVolDOUBLE0surface volatility for revcon strike SR Supplied Estimate
rcEExPremDOUBLE0rcEExPrem pRvprice pRvEprice cRvprice cRvEprice american price european price same model parameters SR supplied parameters including DDivs is zero for flex revcons
strikePvDOUBLE0strikePv strike 10 moneyRate iYears moneyRate supplied above
effStockLendPvDOUBLE0effStockLendPv custPrice strikePv ddivPv rcEExPrem if cust price is visible
effStockRateDOUBLE0effStockRate effStockLendPv uMid iYears if cust price is visible
prtPriceDOUBLE0reported OPRA print price pkgPrice if MLeg
prtPrice2DOUBLE0if reported as 2 separate prints at different prices ie partial size improvement
prtSizeINT0reported OPRA print size pgkSize if MLeg
prtSize2INT0reported OPRA print size pgkSize if MLeg
prtTimeDATETIME(6)'1900-01-01 00:00:00.000000'reported OPRA print time 1st print if MLeg high precision
prtTypeenum - PrtType'None'reported OPRA print type
prtUBidDOUBLE0best estimate of uBid auction print time
prtUAskDOUBLE0best estimate of uAsk auction print time
prtUPrcDOUBLE0best estimate of uPrc auction print time
prtSurfPrcFLOAT0surface prc auction print time uMid pkgSurfPrc if MLeg
prtStockLendPvDOUBLE0prtStockLendPv prtPrice strikePv ddivPv rcEExPrem
prtStockRateDOUBLE0prtStockRate prtStockLendPv prtUPrc iYears
uPrc1mFLOAT0uPrc mid market auction print time 1m
bidPrc1mFLOAT0option nbbo bid auction print time 1m
askPrc1mFLOAT0option nbbo ask auction print time 1m
surfPrc1mFLOAT0surface prc auction print time 1m uMid
prtStockLendPv1mDOUBLE0prtStockLendPv1m surfPrc1m strikePv ddivPv rcEExPrem
prtStockRate1mDOUBLE0prtStockRate1m prtStockLendPv1m uPrc1m iYears
uPrc10mFLOAT0uPrc mid market auction print time 10m
bidPrc10mFLOAT0option nbbo bid auction print time 10m
askPrc10mFLOAT0option nbbo ask auction print time 10m
surfPrc10mFLOAT0surface prc auction print time 10m uMid
prtStockLendPv10mDOUBLE0prtStockLendPv10m surfPrc10m strikePv ddivPv rcEExPrem
prtStockRate10mDOUBLE0prtStockRate10m prtStockLendPv10m uPrc10m iYears
timestampDATETIME(6)'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)​

FieldSequence
noticeNumber1

CREATE TABLE EXAMPLE QUERY​

CREATE TABLE `SRTrade`.`MsgAuctionPrintRC` (
    `noticeNumber` CHAR(19) NOT NULL DEFAULT '0000-0000-0000-0000' COMMENT 'AuctionNotice.noticeNumber',
    `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)',
    `noticeTime` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'notice create timestamp (high precision)',
    `auctionType` ENUM('None','Exposure','Improvement','Facilitation','Solicitation','Opening','Closing','RFQ','Block','Flash') NOT NULL DEFAULT 'None' COMMENT '(eg. Block, Flash, Improvement, Facilitation, etc.)',
    `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.)',
    `containsFlex` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'Flex = European',
    `root_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'option root',
    `root_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 'option root',
    `root_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'option root',
    `expiry` DATE NOT NULL DEFAULT '1900-01-01',
    `strike` DOUBLE NOT NULL DEFAULT 0 COMMENT 'rev/con strike',
    `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 'from AuctionNotice (if known)',
    `custQty` INT NOT NULL DEFAULT 0 COMMENT 'from AuctionNotice (if known)',
    `custPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'from AuctionNotice (if known)',
    `hasCustPrc` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'from AuctionNotice (if known)',
    `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)',
    `commEnhancement` FLOAT NOT NULL DEFAULT 0 COMMENT 'additional commission (if any) paid by responder',
    `noticeUBid` DOUBLE NOT NULL DEFAULT 0,
    `noticeUAsk` DOUBLE NOT NULL DEFAULT 0,
    `netSurfPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR Surface Price (entire package)',
    `iDays` DOUBLE NOT NULL DEFAULT 0 COMMENT 'iDays = effective interest days [SR supplied]',
    `iYears` DOUBLE NOT NULL DEFAULT 0 COMMENT 'iYears = iDays / 360.0',
    `moneyRate` DOUBLE NOT NULL DEFAULT 0 COMMENT 'effective rate to borrow/lend money to expiry (360 day convention) [compares to globalRate * 360 / 365] [SR Supplied Estimate]',
    `ddivPv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'present value of any expected dividends to expiry [SR Supplied Estimate]',
    `hasEstDDivs` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'Yes if one or more expected ddiv is an estimate (not yet announced) [SR Supplied]',
    `sVol` DOUBLE NOT NULL DEFAULT 0 COMMENT 'surface volatility for rev/con strike [SR Supplied Estimate]',
    `rcEExPrem` DOUBLE NOT NULL DEFAULT 0 COMMENT 'rcEExPrem = (pRv.price - pRvE.price) - (cRv.price - cRvE.price) [american price - european price] [same model parameters; SR supplied parameters including DDivs; is zero for flex revcons]',
    `strikePv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'strikePv = strike * (1.0 - moneyRate * iYears) [moneyRate supplied above]',
    `effStockLendPv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'effStockLendPv = custPrice - strikePv - ddivPv - rcEExPrem  [if cust price is visible]',
    `effStockRate` DOUBLE NOT NULL DEFAULT 0 COMMENT 'effStockRate = effStockLendPv / (uMid * iYears) [if cust price is visible]',
    `prtPrice` DOUBLE NOT NULL DEFAULT 0 COMMENT 'reported OPRA print price (pkgPrice if MLeg)',
    `prtPrice2` DOUBLE NOT NULL DEFAULT 0 COMMENT 'if reported as 2 separate prints at different prices (ie, partial size improvement)',
    `prtSize` INT NOT NULL DEFAULT 0 COMMENT 'reported OPRA print size (pgkSize if MLeg)',
    `prtSize2` INT NOT NULL DEFAULT 0 COMMENT 'reported OPRA print size (pgkSize if MLeg)',
    `prtTime` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'reported OPRA print time (1st print if MLeg) (high precision)',
    `prtType` ENUM('None','CANC','OSEQ','CNCL','LATE','CNCO','OPEN','CNOL','OPNL','AUTO','REOP','ISOI','SLAN','SLAI','SLCN','SCLI','SLFT','MLET','MLAT','MLCT','MLFT','MESL','TLAT','MASL','MFSL','TLET','TLCT','TLFT','TESL','TASL','TFSL','CBMO','MCTP','EXHT') NOT NULL DEFAULT 'None' COMMENT 'reported OPRA print type',
    `prtUBid` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best estimate of uBid @ auction print time',
    `prtUAsk` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best estimate of uAsk @ auction print time',
    `prtUPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'best estimate of uPrc @ auction print time',
    `prtSurfPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface prc @ auction print time (@ uMid) (pkgSurfPrc if MLeg)',
    `prtStockLendPv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'prtStockLendPv = prtPrice - strikePv - ddivPv - rcEExPrem',
    `prtStockRate` DOUBLE NOT NULL DEFAULT 0 COMMENT 'prtStockRate = prtStockLendPv / (prtUPrc * iYears)',
    `uPrc1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'uPrc (mid market) @ auction print time + 1m',
    `bidPrc1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo bid @ auction print time + 1m',
    `askPrc1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo ask @ auction print time + 1m',
    `surfPrc1m` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface prc @ auction print time + 1m (@ uMid)',
    `prtStockLendPv1m` DOUBLE NOT NULL DEFAULT 0 COMMENT 'prtStockLendPv1m = surfPrc1m - strikePv - ddivPv - rcEExPrem',
    `prtStockRate1m` DOUBLE NOT NULL DEFAULT 0 COMMENT 'prtStockRate1m = prtStockLendPv1m / (uPrc1m * iYears)',
    `uPrc10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'uPrc (mid market) @ auction print time + 10m',
    `bidPrc10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo bid @ auction print time + 10m',
    `askPrc10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'option nbbo ask @ auction print time + 10m',
    `surfPrc10m` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface prc @ auction print time + 10m (@ uMid)',
    `prtStockLendPv10m` DOUBLE NOT NULL DEFAULT 0 COMMENT 'prtStockLendPv10m = surfPrc10m - strikePv - ddivPv - rcEExPrem',
    `prtStockRate10m` DOUBLE NOT NULL DEFAULT 0 COMMENT 'prtStockRate10m = prtStockLendPv10m / (uPrc10m * iYears)',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    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`,
    `noticeTime`,
    `auctionType`,
    `auctionSource`,
    `containsFlex`,
    `root_at`,
    `root_ts`,
    `root_tk`,
    `expiry`,
    `strike`,
    `industry`,
    `symbolType`,
    `uAvgDailyVlm`,
    `custSide`,
    `custQty`,
    `custPrc`,
    `hasCustPrc`,
    `custFirmType`,
    `custAgentMPID`,
    `commEnhancement`,
    `noticeUBid`,
    `noticeUAsk`,
    `netSurfPrc`,
    `iDays`,
    `iYears`,
    `moneyRate`,
    `ddivPv`,
    `hasEstDDivs`,
    `sVol`,
    `rcEExPrem`,
    `strikePv`,
    `effStockLendPv`,
    `effStockRate`,
    `prtPrice`,
    `prtPrice2`,
    `prtSize`,
    `prtSize2`,
    `prtTime`,
    `prtType`,
    `prtUBid`,
    `prtUAsk`,
    `prtUPrc`,
    `prtSurfPrc`,
    `prtStockLendPv`,
    `prtStockRate`,
    `uPrc1m`,
    `bidPrc1m`,
    `askPrc1m`,
    `surfPrc1m`,
    `prtStockLendPv1m`,
    `prtStockRate1m`,
    `uPrc10m`,
    `bidPrc10m`,
    `askPrc10m`,
    `surfPrc10m`,
    `prtStockLendPv10m`,
    `prtStockRate10m`,
    `timestamp`
FROM `SRTrade`.`MsgAuctionPrintRC`
WHERE 
    /* Replace with a CHAR(19) */
    `noticeNumber` = 'Example_noticeNumber';

Doc Columns Query​

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