ResponderMarkupVegaDir
METADATA
| Attribute | Value |
|---|---|
| Topic | 2450-liquidity-notice |
| MLink Token | ClientTrading |
| Product | SRTrade |
| accessType | SELECT |
Table Definition
| Field | Type | Key | Default Value | Comment |
|---|---|---|---|---|
| accnt | VARCHAR(16) | PRI | '' | |
| clientFirm | VARCHAR(16) | PRI | '' | |
| ekey_at | enum - AssetType | PRI | 'None' | |
| ekey_ts | enum - TickerSrc | PRI | 'None' | |
| ekey_tk | VARCHAR(12) | PRI | '' | |
| ekey_yr | SMALLINT UNSIGNED | PRI | 0 | |
| ekey_mn | TINYINT UNSIGNED | PRI | 0 | |
| ekey_dy | TINYINT UNSIGNED | PRI | 0 | |
| respSide | enum - BuySell | PRI | 'None' | auction responder side your side |
| responderID | BIGINT | PRI | 0 | client supplied responder ID can be any number including zero |
| userName | VARCHAR(24) | '' | username used for responding to auction notices | |
| isDisabled | enum - YesNo | 'None' | if Yes this autoresponder record is disabled | |
| enabledUntil | DATETIME(6) | '1900-01-01 00:00:00.000000' | will be enabled up until this time | |
| canIncludeStock | enum - YesNo | 'None' | if yes can respond to auction notices that include a stock leg | |
| canRespondSR | enum - YesNo | 'None' | if yes can respond to auction notices from SR | |
| canRespondExch | enum - YesNo | 'None' | if yes can respond to auction notices from exchanges | |
| cpFlag | enum - CallPut | 'Pair' | if not Pair must match all option legs | |
| minXDelta | FLOAT | -0.50 | all leg xDelta must be between minXDelta maxXDelta | |
| maxXDelta | FLOAT | +0.50 | ||
| minStrike | DOUBLE | 0 | all leg strikes must be between minStrike maxStrike | |
| maxStrike | DOUBLE | 999999 | ||
| clientVolSurface | enum - ClientSurface | 'None' | ||
| atmVol | FLOAT | 0 | AtmVolPinned clientSurface SRSurface pinned to atmVol atmStrike strike fwdUPrcRef | |
| minSurfEdgeVol | FLOAT | -99 | spread surface edge in vol 001 10 vol pts through surface behind surface | |
| minSurfEdgePrem | FLOAT | -99 | spread surface edge in premium through surface behind surface | |
| minProbability | FLOAT | 0 | option response probability will be minProbability | |
| incFeesInResp | enum - YesNo | 'None' | include all estimated responder exchange fees in final response price prior to rounding | |
| roundRule | enum - RoundRule | 'None' | ||
| maxResponseSize | INT | 0 | maximum number of contracts per response will respond for 100 if auction size maxResponseSize | |
| maxResponseVega | FLOAT | 0 | maximum total vega per response | |
| totalResponseSize | FLOAT | 0 | maximum number of contracts filled all day this responder record | |
| totalResponseVega | FLOAT | 0 | maximum vega filled all day this responder record | |
| policyAutoHedge | enum - YesNo | 'None' | if yes all option fills will be autoHedgePolicy eligible | |
| riskGroupId | CHAR(19) | '0000-0000-0000-0000' | Default 0 none | |
| minUPrc | FLOAT | 1 | minmax underlier price bounds no responses while underlier is outside of bounds | |
| maxUPrc | FLOAT | 99999 | ||
| numNotices | INT | 0 | number of notices that match response bucket | |
| numNoticeBlock | INT | 0 | number of SR block auction numNotices | |
| numNoticeFlash | INT | 0 | number of SR flash auction numNotices | |
| numNoticeExchPI | INT | 0 | number of Exch Price Improvement auction numNotices | |
| numNoticeExchEX | INT | 0 | number of Exch Exposure auction numNotices | |
| numNotMktPenny | INT | 0 | number auction numNotices | |
| numMktPenny1 | INT | 0 | number auction numNotices | |
| numMktPenny2 | INT | 0 | number auction numNotices | |
| numMktPenny3p | INT | 0 | number auction numNotices | |
| numNotMktNickle | INT | 0 | number auction numNotices | |
| numMktNickle1 | INT | 0 | number auction numNotices | |
| numMktNickle2 | INT | 0 | number auction numNotices | |
| numMktNickle3p | INT | 0 | number auction numNotices | |
| respDisabledSkips | INT | 0 | number skipped from isDisabled | |
| stockDisabledSkips | INT | 0 | number skipped from canIncludeStock Yes | |
| cpFlagSkips | INT | 0 | number skipped from cpFlag not matching notice legs CallPut | |
| flexSkips | INT | 0 | number skipped from flexlisted filter | |
| ekeySkips | INT | 0 | number skipped from leg ekey mismatch | |
| xDeltaRangeSkips | INT | 0 | number skipped from out of range XDelta value | |
| strikeRangeSkips | INT | 0 | number skipped from out of range strike | |
| sVolErrorSkips | INT | 0 | ||
| userVolErrSkips | INT | 0 | ||
| zeroSizeSkips | INT | 0 | number skipped from zero avail response size | |
| totalSizeSkips | INT | 0 | number skipped from total contract size limit | |
| totalVegaSkips | INT | 0 | number skipped from total vega size limit | |
| sysErrorSkips | INT | 0 | ||
| userSurfSkips | INT | 0 | ||
| probErrorSkips | INT | 0 | ||
| offMarketSkips | INT | 0 | number skipped from response price at or worse that exchnbbo market | |
| noticePriceSkips | INT | 0 | number skipped from limit price worse that notice price and already committed | |
| numRejectHoldSkips | INT | 0 | number skipped from reject hold prior reject | |
| numResponses | INT | 0 | number of response attempts number of parentOrdersNoticeExecReports | |
| numRejects | INT | 0 | number of response rejects in the SR execution engines | |
| lastRejectReason | TINYTEXT | '' | ||
| numRespondsBlock | INT | 0 | number of SR block auction responses | |
| numRespondsFlash | INT | 0 | number of SR flash auction responses | |
| numResponsesExchPI | INT | 0 | number of Exch Price Improvement auction responses | |
| numResponsesExchEX | INT | 0 | number of Exch Exposure auction responses | |
| numFullSize | INT | 0 | ||
| numAllocSize | INT | 0 | ||
| numPriceMiss | INT | 0 | ||
| numTooLate | INT | 0 | ||
| numOtherMiss | INT | 0 | ||
| numDidNotTrade | INT | 0 | ||
| numTraded | INT | 0 | ||
| qtyTraded | INT | 0 | ||
| vegaTraded | FLOAT | 0 | ||
| sumWidthTraded | FLOAT | 0 | SUM marketWidth trdQty AvgMktWidth sumWidthTraded qtyTraded | |
| sumSurfEdgeTraded | FLOAT | 0 | SUM printEdge trdQty AvgPrintEdge sumSurfEdgeTraded qtyTraded | |
| sumM1PnLTraded | FLOAT | 0 | SUM M1PnL trdQty AvgM1PnL sumM1PnLTraded qtyTraded | |
| sumM10PnLTraded | FLOAT | 0 | SUM M10PnL trdQty AvgM10PnL sumM10PnLTraded qtyTraded | |
| numTradedBlock | INT | 0 | number of SR block auctions traded | |
| numTradedFlash | INT | 0 | number of SR flash auctions traded | |
| numTradedExchPI | INT | 0 | number of Exch Price Improvement auctions traded | |
| numTradedExchEX | INT | 0 | number of Exch Exposure auctions traded | |
| modifiedBy | VARCHAR(24) | '' | user who last modified this record | |
| modifiedIn | enum - SysEnvironment | 'None' | ||
| timestamp | DATETIME(6) | '1900-01-01 00:00:00.000000' | timestamp of last modification | |
| CalibrationList | JSON | 'JSON_ARRAY()' |
PRIMARY KEY DEFINITION (Unique)
| Field | Sequence |
|---|---|
| accnt | 1 |
| clientFirm | 2 |
| ekey_tk | 3 |
| ekey_yr | 4 |
| ekey_mn | 5 |
| ekey_dy | 6 |
| ekey_at | 7 |
| ekey_ts | 8 |
| respSide | 9 |
| responderID | 10 |
JSON Block (CalibrationList)
| Field | Type | Comment |
|---|---|---|
| cValue | enum - cValue | client surface volatility moneyness |
| moneyness | enum - moneyness | moneyness SR xAxis value |
CREATE TABLE EXAMPLE QUERY
CREATE TABLE `SRTrade`.`MsgResponderMarkupVegaDir` (
`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` FLOAT 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,
`numNotices` INT NOT NULL DEFAULT 0 COMMENT 'number of notices that match response bucket',
`numNoticeBlock` INT NOT NULL DEFAULT 0 COMMENT 'number of SR block auction numNotices',
`numNoticeFlash` INT NOT NULL DEFAULT 0 COMMENT 'number of SR flash auction numNotices',
`numNoticeExchPI` INT NOT NULL DEFAULT 0 COMMENT 'number of Exch Price Improvement auction numNotices',
`numNoticeExchEX` INT NOT NULL DEFAULT 0 COMMENT 'number of Exch Exposure auction numNotices',
`numNotMktPenny` INT NOT NULL DEFAULT 0 COMMENT 'number auction numNotices',
`numMktPenny1` INT NOT NULL DEFAULT 0 COMMENT 'number auction numNotices',
`numMktPenny2` INT NOT NULL DEFAULT 0 COMMENT 'number auction numNotices',
`numMktPenny3p` INT NOT NULL DEFAULT 0 COMMENT 'number auction numNotices',
`numNotMktNickle` INT NOT NULL DEFAULT 0 COMMENT 'number auction numNotices',
`numMktNickle1` INT NOT NULL DEFAULT 0 COMMENT 'number auction numNotices',
`numMktNickle2` INT NOT NULL DEFAULT 0 COMMENT 'number auction numNotices',
`numMktNickle3p` INT NOT NULL DEFAULT 0 COMMENT 'number auction numNotices',
`respDisabledSkips` INT NOT NULL DEFAULT 0 COMMENT 'number skipped from isDisabled',
`stockDisabledSkips` INT NOT NULL DEFAULT 0 COMMENT 'number skipped from canIncludeStock != Yes',
`cpFlagSkips` INT NOT NULL DEFAULT 0 COMMENT 'number skipped from cpFlag not matching notice legs CallPut',
`flexSkips` INT NOT NULL DEFAULT 0 COMMENT 'number skipped from flex/listed filter',
`ekeySkips` INT NOT NULL DEFAULT 0 COMMENT 'number skipped from leg ekey mismatch',
`xDeltaRangeSkips` INT NOT NULL DEFAULT 0 COMMENT 'number skipped from out of range XDelta value',
`strikeRangeSkips` INT NOT NULL DEFAULT 0 COMMENT 'number skipped from out of range strike',
`sVolErrorSkips` INT NOT NULL DEFAULT 0,
`userVolErrSkips` INT NOT NULL DEFAULT 0,
`zeroSizeSkips` INT NOT NULL DEFAULT 0 COMMENT 'number skipped from zero avail response size',
`totalSizeSkips` INT NOT NULL DEFAULT 0 COMMENT 'number skipped from total contract size limit',
`totalVegaSkips` INT NOT NULL DEFAULT 0 COMMENT 'number skipped from total vega size limit',
`sysErrorSkips` INT NOT NULL DEFAULT 0,
`userSurfSkips` INT NOT NULL DEFAULT 0,
`probErrorSkips` INT NOT NULL DEFAULT 0,
`offMarketSkips` INT NOT NULL DEFAULT 0 COMMENT 'number skipped from response price at or worse that exch/nbbo market',
`noticePriceSkips` INT NOT NULL DEFAULT 0 COMMENT 'number skipped from limit price worse that notice price (and already committed)',
`numRejectHoldSkips` INT NOT NULL DEFAULT 0 COMMENT 'number skipped from reject hold (prior reject)',
`numResponses` INT NOT NULL DEFAULT 0 COMMENT 'number of response attempts (number of parentOrders/NoticeExecReports)',
`numRejects` INT NOT NULL DEFAULT 0 COMMENT 'number of response rejects (in the SR execution engines)',
`lastRejectReason` TINYTEXT NOT NULL DEFAULT '',
`numRespondsBlock` INT NOT NULL DEFAULT 0 COMMENT 'number of SR block auction responses',
`numRespondsFlash` INT NOT NULL DEFAULT 0 COMMENT 'number of SR flash auction responses',
`numResponsesExchPI` INT NOT NULL DEFAULT 0 COMMENT 'number of Exch Price Improvement auction responses',
`numResponsesExchEX` INT NOT NULL DEFAULT 0 COMMENT 'number of Exch Exposure auction responses',
`numFullSize` INT NOT NULL DEFAULT 0,
`numAllocSize` INT NOT NULL DEFAULT 0,
`numPriceMiss` INT NOT NULL DEFAULT 0,
`numTooLate` INT NOT NULL DEFAULT 0,
`numOtherMiss` INT NOT NULL DEFAULT 0,
`numDidNotTrade` INT NOT NULL DEFAULT 0,
`numTraded` INT NOT NULL DEFAULT 0,
`qtyTraded` INT NOT NULL DEFAULT 0,
`vegaTraded` FLOAT NOT NULL DEFAULT 0,
`sumWidthTraded` FLOAT NOT NULL DEFAULT 0 COMMENT 'SUM: marketWidth * trdQty => AvgMktWidth = sumWidthTraded / qtyTraded',
`sumSurfEdgeTraded` FLOAT NOT NULL DEFAULT 0 COMMENT 'SUM: printEdge * trdQty => AvgPrintEdge = sumSurfEdgeTraded / qtyTraded',
`sumM1PnLTraded` FLOAT NOT NULL DEFAULT 0 COMMENT 'SUM: M1PnL * trdQty => AvgM1PnL = sumM1PnLTraded / qtyTraded',
`sumM10PnLTraded` FLOAT NOT NULL DEFAULT 0 COMMENT 'SUM: M10PnL * trdQty => AvgM10PnL = sumM10PnLTraded / qtyTraded',
`numTradedBlock` INT NOT NULL DEFAULT 0 COMMENT 'number of SR block auctions traded',
`numTradedFlash` INT NOT NULL DEFAULT 0 COMMENT 'number of SR flash auctions traded',
`numTradedExchPI` INT NOT NULL DEFAULT 0 COMMENT 'number of Exch Price Improvement auctions traded',
`numTradedExchEX` INT NOT NULL DEFAULT 0 COMMENT 'number of Exch Exposure auctions traded',
`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`,
`numNotices`,
`numNoticeBlock`,
`numNoticeFlash`,
`numNoticeExchPI`,
`numNoticeExchEX`,
`numNotMktPenny`,
`numMktPenny1`,
`numMktPenny2`,
`numMktPenny3p`,
`numNotMktNickle`,
`numMktNickle1`,
`numMktNickle2`,
`numMktNickle3p`,
`respDisabledSkips`,
`stockDisabledSkips`,
`cpFlagSkips`,
`flexSkips`,
`ekeySkips`,
`xDeltaRangeSkips`,
`strikeRangeSkips`,
`sVolErrorSkips`,
`userVolErrSkips`,
`zeroSizeSkips`,
`totalSizeSkips`,
`totalVegaSkips`,
`sysErrorSkips`,
`userSurfSkips`,
`probErrorSkips`,
`offMarketSkips`,
`noticePriceSkips`,
`numRejectHoldSkips`,
`numResponses`,
`numRejects`,
`lastRejectReason`,
`numRespondsBlock`,
`numRespondsFlash`,
`numResponsesExchPI`,
`numResponsesExchEX`,
`numFullSize`,
`numAllocSize`,
`numPriceMiss`,
`numTooLate`,
`numOtherMiss`,
`numDidNotTrade`,
`numTraded`,
`qtyTraded`,
`vegaTraded`,
`sumWidthTraded`,
`sumSurfEdgeTraded`,
`sumM1PnLTraded`,
`sumM10PnLTraded`,
`numTradedBlock`,
`numTradedFlash`,
`numTradedExchPI`,
`numTradedExchEX`,
`timestamp`,
`CalibrationList`
FROM `SRTrade`.`MsgResponderMarkupVegaDir`
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='ResponderMarkupVegaDir' ORDER BY ordinal_position ASC;