Updated: 2019-11-05

getStockPrintSet

By SpiderRock

    Stock Print Set records are created for each print at the time of the print and updated 1 Minute and 10 Minutes after to record trade performance. Historical data available through 6/1/2015.

    Order Data Name Description Data Type Comments
    1 ticker_tk* Ticker varchar(12)
    2 ticker_ts* Ticker source enum ('None','SR','NMS','CME','ICE','CFE','CBOT','TD','NYMEX','COMEX','RUT','CBOE','ISE','ARCA','NYSE','OTC','GDAX','BSTAMP','KRAKEN','TST','USR1','USR2','USR3','NSDQ','MFQS','PHLX')
    3 prtNumber* Unique print set identifier, will increment but not guaranteed to be sequential bigint(20)
    4 prtExch* Print exchange enum ('None','AMEX','NQBX','NSX','FNRA','ISE','EDGA','EDGX','CHX','NYSE','ARCA','NSDQ','CBSX','PSX','BTSY','BATS','CBIDX','IEX','OTC')
    5 prtSize* Print size int(11)
    6 prtPrice* Print price level float
    7 prtClusterNum* Incremental print cluster counter (one counter per ticker; used to group prints into clusters) int(11)
    8 prtClusterSize* Cumulative size of prints in this sequence (prints @ same or more aggressive price with less than 25 ms elapsing since first print; can span exchanges) int(11)
    9 prtVolume* Cumulative print size today int(11)
    10 mrkPrice* Last regular market print price float
    11 prtType* OPRA message type (from OPRA spec) tinyint(5)
    12 prtSide* Print side: None; Mid; Bid; Ask enum ('None','Mid','Bid','Ask')
    13 prtTimestamp* Exchange high precision timestamp (if available) bigint(11)
    14 netTimestamp* Inbound print packet PTP timestamp from SR gateway switch;usually syncronized with facility grandfather clock bigint(11)
    15 timestamp* YYYY-MM-DD HH:mm:ss datetime
    16 bidPrice* Nbbo bid @ print arrival time float
    17 askPrice* Nbbo ask @ print float
    arrival time
    18 bidSize* Bid size int(11)
    19 askSize* Ask size int(11)
    20 bidPrice2* Nbbo 2nd best bid @ print arrival time float
    21 askPrice2* Nbbo 2nd best ask @ print arrival time float
    22 bidSize2* Nbbo 2nd best bid size int(11)
    23 askSize2* Nbbo 2nd best ask size int(11)
    24 prtProbability* Probability that buying prtSize shares @ prtPrice will have positive m1 pnl (prtPriceM1 >= prtPrice) [recorded at time of print] float
    25 bidPriceM1* Bid price 1 minute after the print was received float
    26 askPriceM1* Ask price 1 minute after the print was received float
    27 prtPriceM1* Market price 1 minute after the print was received [mid-quote if not intervening prints;most recent print otherwise] float
    28 pnlM1* PnL after 1 minute float
    29 pnlM1Err* Error condition for PnL calculated over the first 1 minute After the print was received enum ('None','Yes','No')
    30 bidPriceM10* Bid price 10 minutes after the print was received float
    31 askPriceM10* Ask price 10 minutes after the print was received float
    32 prtPriceM10* Market price 10 minutes after the print was received [mid-quote if not intervening prints;most recent print otherwise] float
    33 pnlM10* PnL after 10 minutes float
    34 pnlM10Err* Error condition for PnL calculated over the first 10 minutes after the print was received enum ('None','Yes','No')

    About the Vendor

    SpiderRock is a technology provider that creates and deploys some of the most innovative algorithmic execution and risk management solutions commercially available to service large hedge funds, bank trading desks and proprietary trading firms around the world. The platform is a high-performance, cloud-based trading system empowering institutional clients with tools to construct, manage, and scale equity, futures and option strategies.

    SpiderRock is also a market data vendor specializing in low latency data and analytics services. In addition, they offer electronic execution and market access services via SpiderRock EXS, an agency broker dealer regulated by FINRA and NFA.