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Version: Upcoming

AutoResponderVegaDir

V8 Message Definiton

METADATA​

AttributeValue
Topic2450-liquidity-notice
MLink TokenClientTrading
ProductSRTrade
accessTypeSELECT,UPDATE,INSERT,DELETE

Table Definition​

FieldTypeKeyDefault ValueComment
accntVARCHAR(16)PRI''
clientFirmVARCHAR(16)PRI''
ekey_atenum - AssetTypePRI'None'
ekey_tsenum - TickerSrcPRI'None'
ekey_tkVARCHAR(12)PRI''
ekey_yrSMALLINT UNSIGNEDPRI0
ekey_mnTINYINT UNSIGNEDPRI0
ekey_dyTINYINT UNSIGNEDPRI0
respSideenum - BuySellPRI'None'auction responder side your side
responderIDBIGINTPRI0client supplied responder ID can be any number including zero
userNameVARCHAR(24)''username used for responding to auction notices
isDisabledenum - YesNo'None'if Yes this autoresponder record is disabled
enabledUntilDATETIME(6)'1900-01-01 00:00:00.000000'will be enabled up until this time
canIncludeStockenum - YesNo'None'if yes can respond to auction notices that include a stock leg
canRespondSRenum - YesNo'None'if yes can respond to auction notices from SR
canRespondExchenum - YesNo'None'if yes can respond to auction notices from exchanges
cpFlagenum - CallPut'Pair'if not Pair must match all option legs
minXDeltaFLOAT-0.50all leg xDelta must be between minXDelta maxXDelta
maxXDeltaFLOAT+0.50
minStrikeDOUBLE0all leg strikes must be between minStrike maxStrike
maxStrikeDOUBLE999999
clientVolSurfaceenum - ClientSurface'None'
atmVolFLOAT0AtmVolPinned clientSurface SRSurface pinned to atmVol atmStrike strike fwdUPrcRef
minSurfEdgeVolFLOAT-99spread surface edge in vol 001 10 vol pts through surface behind surface
minSurfEdgePremFLOAT-99spread surface edge in premium through surface behind surface
minProbabilityFLOAT0option response probability will be minProbability
incFeesInRespenum - YesNo'None'include all estimated responder exchange fees in final response price prior to rounding
roundRuleenum - RoundRule'None'
maxResponseSizeINT0maximum number of contracts per response will respond for 100 if auction size maxResponseSize
maxResponseVegaFLOAT0maximum total vega per response
totalResponseSizeINT0maximum number of contracts filled all day this responder record
totalResponseVegaFLOAT0maximum vega filled all day this responder record
policyAutoHedgeenum - YesNo'None'if yes all option fills will be autoHedgePolicy eligible
riskGroupIdCHAR(19)'0000-0000-0000-0000'Default 0 none
minUPrcFLOAT1minmax underlier price bounds no responses while underlier is outside of bounds
maxUPrcFLOAT99999
modifiedByVARCHAR(24)''user who last modified this record
modifiedInenum - SysEnvironment'None'
timestampDATETIME(6)'1900-01-01 00:00:00.000000'timestamp of last modification
CalibrationListJSON'JSON_ARRAY()'

PRIMARY KEY DEFINITION (Unique)​

FieldSequence
accnt1
clientFirm2
ekey_tk3
ekey_yr4
ekey_mn5
ekey_dy6
ekey_at7
ekey_ts8
respSide9
responderID10

JSON Block (CalibrationList)​

FieldTypeComment
cValueenum - cValueclient surface volatility moneyness
moneynessenum - moneynessmoneyness SR xAxis value

CREATE TABLE EXAMPLE QUERY​

CREATE TABLE `SRTrade`.`MsgAutoResponderVegaDir` (
    `accnt` VARCHAR(16) NOT NULL DEFAULT '',
    `clientFirm` VARCHAR(16) NOT NULL DEFAULT '',
    `ekey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
    `ekey_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','ICEFE') NOT NULL DEFAULT 'None',
    `ekey_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `ekey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0,
    `ekey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `ekey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `respSide` ENUM('None','Buy','Sell') NOT NULL DEFAULT 'None' COMMENT 'auction responder side (your side)',
    `responderID` BIGINT NOT NULL DEFAULT 0 COMMENT 'client supplied responder ID (can be any number including zero)',
    `userName` VARCHAR(24) NOT NULL DEFAULT '' COMMENT 'username used for responding to auction notices',
    `isDisabled` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'if Yes, this auto-responder record is disabled',
    `enabledUntil` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'will be enabled up until this time',
    `canIncludeStock` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'if yes, can respond to auction notices that include a stock leg',
    `canRespondSR` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'if yes, can respond to auction notices from SR',
    `canRespondExch` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'if yes, can respond to auction notices from exchanges',
    `cpFlag` ENUM('Call','Put','Pair') NOT NULL DEFAULT 'Pair' COMMENT 'if not Pair must match all option legs',
    `minXDelta` FLOAT NOT NULL DEFAULT -0.50 COMMENT 'all leg xDelta must be between [minXDelta, maxXDelta]',
    `maxXDelta` FLOAT NOT NULL DEFAULT +0.50,
    `minStrike` DOUBLE NOT NULL DEFAULT 0 COMMENT 'all leg strikes must be between [minStrike, maxStrike]',
    `maxStrike` DOUBLE NOT NULL DEFAULT 999999,
    `clientVolSurface` ENUM('None','AtmVolPinned','VolCalibrated') NOT NULL DEFAULT 'None',
    `atmVol` FLOAT NOT NULL DEFAULT 0 COMMENT '[AtmVolPinned] clientSurface = SRSurface pinned to atmVol @ atmStrike (strike = fwdUPrcRef)',
    `minSurfEdgeVol` FLOAT NOT NULL DEFAULT -99 COMMENT 'spread surface edge (in vol) (0.01 = 1.0 vol pts) (+ = through surface; - = behind surface)',
    `minSurfEdgePrem` FLOAT NOT NULL DEFAULT -99 COMMENT 'spread surface edge (in premium) (+ = through surface; - = behind surface)',
    `minProbability` FLOAT NOT NULL DEFAULT 0 COMMENT 'option response probability will be >= minProbability',
    `incFeesInResp` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'include all estimated responder exchange fees in final response price (prior to rounding)',
    `roundRule` ENUM('None','Exact','Fuzzy') NOT NULL DEFAULT 'None',
    `maxResponseSize` INT NOT NULL DEFAULT 0 COMMENT 'maximum number of contracts per response (will respond for 100% if auction size <= maxResponseSize)',
    `maxResponseVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'maximum total vega per response',
    `totalResponseSize` INT NOT NULL DEFAULT 0 COMMENT 'maximum number of contracts (filled) all day (this responder record)',
    `totalResponseVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'maximum vega (filled) all day (this responder record)',
    `policyAutoHedge` ENUM('None','Yes','No') NOT NULL DEFAULT 'None' COMMENT 'if yes, all option fills will be autoHedgePolicy eligible',
    `riskGroupId` CHAR(19) NOT NULL DEFAULT '0000-0000-0000-0000' COMMENT 'Default: 0 (none).',
    `minUPrc` FLOAT NOT NULL DEFAULT 1 COMMENT 'min/max underlier price bounds (no responses while underlier is outside of bounds)',
    `maxUPrc` FLOAT NOT NULL DEFAULT 99999,
    `modifiedBy` VARCHAR(24) NOT NULL DEFAULT '' COMMENT 'user who last modified this record',
    `modifiedIn` ENUM('None','Neptune','Pluto','V7_Stable','V7_Latest','Saturn','Venus','Mars','SysTest','V7_Current') NOT NULL DEFAULT 'None',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'timestamp of last modification',
    `CalibrationList` JSON NOT NULL DEFAULT JSON_ARRAY() CHECK(JSON_VALID(CalibrationList)),
    CONSTRAINT nonnegative_riskGroupId CHECK(ASCII(riskGroupId) < 56),
    PRIMARY KEY USING HASH (`accnt`,`clientFirm`,`ekey_tk`,`ekey_yr`,`ekey_mn`,`ekey_dy`,`ekey_at`,`ekey_ts`,`respSide`,`responderID`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='';

SELECT TABLE EXAMPLE QUERY​

SELECT
    `accnt`,
    `clientFirm`,
    `ekey_at`,
    `ekey_ts`,
    `ekey_tk`,
    `ekey_yr`,
    `ekey_mn`,
    `ekey_dy`,
    `respSide`,
    `responderID`,
    `userName`,
    `isDisabled`,
    `enabledUntil`,
    `canIncludeStock`,
    `canRespondSR`,
    `canRespondExch`,
    `cpFlag`,
    `minXDelta`,
    `maxXDelta`,
    `minStrike`,
    `maxStrike`,
    `clientVolSurface`,
    `atmVol`,
    `minSurfEdgeVol`,
    `minSurfEdgePrem`,
    `minProbability`,
    `incFeesInResp`,
    `roundRule`,
    `maxResponseSize`,
    `maxResponseVega`,
    `totalResponseSize`,
    `totalResponseVega`,
    `policyAutoHedge`,
    `riskGroupId`,
    `minUPrc`,
    `maxUPrc`,
    `timestamp`,
    `CalibrationList`
FROM `SRTrade`.`MsgAutoResponderVegaDir`
WHERE 
    /* Replace with a VARCHAR(16) */ 
    `accnt` = 'Example_accnt'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm'
  AND
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `ekey_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','ICEFE') */ 
    `ekey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ekey_tk` = 'Example_ekey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `ekey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_dy` = 1
  AND
    /* Replace with a ENUM('None','Buy','Sell') */ 
    `respSide` = 'None'
  AND
    /* Replace with a BIGINT */ 
    `responderID` = 1234567890;

UPDATE TABLE EXAMPLE QUERY​

UPDATE `SRTrade`.`MsgAutoResponderVegaDir` 
SET
    /* Replace with a VARCHAR(24) */ 
    `userName` = 'Example_userName',
    /* Replace with a ENUM('None','Yes','No') */ 
    `isDisabled` = 'None',
    /* Replace with a DATETIME(6) */
    `enabledUntil` = '2022-01-01 12:34:56.000000',
    /* Replace with a ENUM('None','Yes','No') */ 
    `canIncludeStock` = 'None',
    /* Replace with a ENUM('None','Yes','No') */ 
    `canRespondSR` = 'None',
    /* Replace with a ENUM('None','Yes','No') */ 
    `canRespondExch` = 'None',
    /* Replace with a ENUM('Call','Put','Pair') */
    `cpFlag` = 'Pair',
    /* Replace with a FLOAT */
    `minXDelta` = 1.23,
    /* Replace with a FLOAT */
    `maxXDelta` = 1.23,
    /* Replace with a DOUBLE */
    `minStrike` = 4.56,
    /* Replace with a DOUBLE */
    `maxStrike` = 4.56,
    /* Replace with a ENUM('None','AtmVolPinned','VolCalibrated') */ 
    `clientVolSurface` = 'None',
    /* Replace with a FLOAT */ 
    `atmVol` = 1.23,
    /* Replace with a FLOAT */
    `minSurfEdgeVol` = 1.23,
    /* Replace with a FLOAT */
    `minSurfEdgePrem` = 1.23,
    /* Replace with a FLOAT */ 
    `minProbability` = 1.23,
    /* Replace with a ENUM('None','Yes','No') */ 
    `incFeesInResp` = 'None',
    /* Replace with a ENUM('None','Exact','Fuzzy') */ 
    `roundRule` = 'None',
    /* Replace with a INT */ 
    `maxResponseSize` = 5,
    /* Replace with a FLOAT */ 
    `maxResponseVega` = 1.23,
    /* Replace with a INT */ 
    `totalResponseSize` = 5,
    /* Replace with a FLOAT */ 
    `totalResponseVega` = 1.23,
    /* Replace with a ENUM('None','Yes','No') */ 
    `policyAutoHedge` = 'None',
    /* Replace with a CHAR(19) */
    `riskGroupId` = 'Example_riskGroupId',
    /* Replace with a FLOAT */
    `minUPrc` = 1.23,
    /* Replace with a FLOAT */
    `maxUPrc` = 1.23,
    /* Replace with a DATETIME(6) */
    `timestamp` = '2022-01-01 12:34:56.000000',
    /* Replace with a JSON */
    `CalibrationList` = '{"key": "value"}'
WHERE
    /* Replace with a VARCHAR(16) */ 
    `accnt` = 'Example_accnt'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm'
  AND
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `ekey_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','ICEFE') */ 
    `ekey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ekey_tk` = 'Example_ekey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `ekey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_dy` = 1
  AND
    /* Replace with a ENUM('None','Buy','Sell') */ 
    `respSide` = 'None'
  AND
    /* Replace with a BIGINT */ 
    `responderID` = 1234567890;

INSERT TABLE EXAMPLE QUERY​

INSERT INTO `SRTrade`.`MsgAutoResponderVegaDir`(
    /* Replace with a VARCHAR(16) */ 
    `accnt`,
    /* Replace with a VARCHAR(16) */ 
    `clientFirm`,
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `ekey_at`,
    /* 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','ICEFE') */ 
    `ekey_ts`,
    /* Replace with a VARCHAR(12) */ 
    `ekey_tk`,
    /* Replace with a SMALLINT UNSIGNED */ 
    `ekey_yr`,
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_mn`,
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_dy`,
    /* Replace with a ENUM('None','Buy','Sell') */ 
    `respSide`,
    /* Replace with a BIGINT */ 
    `responderID`,
    /* Replace with a VARCHAR(24) */ 
    `userName`,
    /* Replace with a ENUM('None','Yes','No') */ 
    `isDisabled`,
    /* Replace with a DATETIME(6) */
    `enabledUntil`,
    /* Replace with a ENUM('None','Yes','No') */ 
    `canIncludeStock`,
    /* Replace with a ENUM('None','Yes','No') */ 
    `canRespondSR`,
    /* Replace with a ENUM('None','Yes','No') */ 
    `canRespondExch`,
    /* Replace with a ENUM('Call','Put','Pair') */
    `cpFlag`,
    /* Replace with a FLOAT */
    `minXDelta`,
    /* Replace with a FLOAT */
    `maxXDelta`,
    /* Replace with a DOUBLE */
    `minStrike`,
    /* Replace with a DOUBLE */
    `maxStrike`,
    /* Replace with a ENUM('None','AtmVolPinned','VolCalibrated') */ 
    `clientVolSurface`,
    /* Replace with a FLOAT */ 
    `atmVol`,
    /* Replace with a FLOAT */
    `minSurfEdgeVol`,
    /* Replace with a FLOAT */
    `minSurfEdgePrem`,
    /* Replace with a FLOAT */ 
    `minProbability`,
    /* Replace with a ENUM('None','Yes','No') */ 
    `incFeesInResp`,
    /* Replace with a ENUM('None','Exact','Fuzzy') */ 
    `roundRule`,
    /* Replace with a INT */ 
    `maxResponseSize`,
    /* Replace with a FLOAT */ 
    `maxResponseVega`,
    /* Replace with a INT */ 
    `totalResponseSize`,
    /* Replace with a FLOAT */ 
    `totalResponseVega`,
    /* Replace with a ENUM('None','Yes','No') */ 
    `policyAutoHedge`,
    /* Replace with a CHAR(19) */
    `riskGroupId`,
    /* Replace with a FLOAT */
    `minUPrc`,
    /* Replace with a FLOAT */
    `maxUPrc`,
    /* Replace with a DATETIME(6) */
    `timestamp`,
    /* Replace with a JSON */
    `CalibrationList`
) 
VALUES(
    'Example_accnt',
    'Example_clientFirm',
    'None',
    'None',
    'Example_ekey_tk',
    123,
    1,
    1,
    'None',
    1234567890,
    'Example_userName',
    'None',
    '2022-01-01 12:34:56.000000',
    'None',
    'None',
    'None',
    'Pair',
    1.23,
    1.23,
    4.56,
    4.56,
    'None',
    1.23,
    1.23,
    1.23,
    1.23,
    'None',
    'None',
    5,
    1.23,
    5,
    1.23,
    'None',
    'Example_riskGroupId',
    1.23,
    1.23,
    '2022-01-01 12:34:56.000000',
    '{"key": "value"}'
);

DELETE TABLE EXAMPLE QUERY​

DELETE FROM `SRTrade`.`MsgAutoResponderVegaDir` 
WHERE
    /* Replace with a VARCHAR(16) */ 
    `accnt` = 'Example_accnt'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm'
  AND
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `ekey_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','ICEFE') */ 
    `ekey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ekey_tk` = 'Example_ekey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `ekey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_dy` = 1
  AND
    /* Replace with a ENUM('None','Buy','Sell') */ 
    `respSide` = 'None'
  AND
    /* Replace with a BIGINT */ 
    `responderID` = 1234567890;

Doc Columns Query​

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