getStockPrintSet
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.