Alternative Data
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      Mariner Backtesting - SpiderRock Printsets

      SpiderRock Options Print Set ID Alternative Data Set

      Option Print Set records contain every option print along with quote, surface, and SR probability details at print time.

      These records also contain T+1M and T+10M forward mark details.

      These records are created for every print at the time of print and are published 10 minutes later when T + 10M forward marks are available.

      CAUTION - THIS IS A VERY LARGE DATASET

      CQAI Notebooks

      CQAI Notebooks are available under CQAI > Tutorials > SpiderRock

      Liberator Call 
       symbols = ['SPY','AAPL'] # submit a list of one or more symbols or use None for all symbols
asof = '2020-01-09'
backto = '2020-01-08'
df = liberator.get_dataframe(liberator.query(symbols=symbols, as_of = asof, back_to = backto, name = 'spiderrock_printsets' ))
df
      Fields

      88 fields returned per data record

      Field Name Description Data Type Comments
      okey_ts Option 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','MIAX'
      okey_tk Option symbol varchar(12)  
      okey_yr Option expiration year smallint(5) unsigned  
      okey_mn Option expiration month tinyint(3) unsigned  
      okey_dy Option expiration day tinyint(3) unsigned  
      okey_xx Option strike double  
      okey_cp Option call/put indicator enum ('Call','Put','Pair')
      prtNumber Unique print set identifier bigint(20) will increment but not guaranteed to be sequential
      ticker_ts Underlying 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','MIAX'
      ticker_tk Underlying ticker varchar(12)  
      prtExch Exchange on which print took place enum 'None','AMEX','BOX','CBOE','ISE','NYSE','PHLX','NSDQ','BATS','C2','NQBX',
      'MIAX','GMNI','CME','CBOT','NYMEX','COMEX','ICE','EDGO','MCRY','MPRL',
      'SDRK','DQTE','MEMLD'
      prtSize Print size [contracts] int(11)  
      prtPrice Print price float  
      prtType Print type tinyint(3) unsigned  
      prtOrders Number of participating orders smallint(5) unsigned  
      prtClusterNum Incremental print cluster counter   one counter per okey; used to group prints into clusters
      prtClusterSize Cumulative size of prints in this sequence int(11) prints @ same or more aggressive price with less than 25 ms elapsing since first print; can span exchanges
      prtVolume Day print volume in contracts int(11) this exchange
      cxlVolume Day print/cancel volume int(11) num of contracts printed and then cancelled
      bidCount Number of bid prints smallint(5) unsigned  
      askCount Number of ask prints smallint(5) unsigned  
      bidVolume Bid print volume in contracts int(11)  
      askVolume Ask print volume in contracts int(11)  
      ebid Exchange bid (@ print time) float  
      eask Exchange ask (@ print time) float  
      ebsz Exchange bid size smallint(5) unsigned  
      easz Exchange ask size smallint(5) unsigned  
      eage Age of prevailing quote at time of print float  
      prtSide Print Side: None; Mid; Bid; Ask enum ('None','Mid','Bid','Ask')
      prtTimestamp Exchange high precision timestamp (if available) bigint(20)  
      netTimestamp Inbound packet PTP timestamp from SR gateway switch bigint(20) usually syncronized with facility grandfather clock
      timestamp YYYY-MM-DD HH:mm:ss datetime  
      oBid Option NBBO bid at the time the print was received float  
      oAsk Option NBBO ask at the time the print was received float  
      oBidSz Option NBBO cumulative bid size at the time the print was received int(11)  
      oAskSz Option NBBO cumulative ask size at the time the print was received int(11)  
      oBidEx First (or largest) option exchange on the bid enum ('None','AMEX','BOX','CBOE','ISE','NYSE','PHLX','NSDQ','BATS','C2','NQBX',
      'MIAX','GMNI','CME','CBOT','NYMEX','COMEX','ICE','EDGO','MCRY','MPRL',
      'SDRK','DQTE','MEMLD')
      oAskEx First (or largest) option exchange on the ask enum ('None','AMEX','BOX','CBOE','ISE','NYSE','PHLX','NSDQ','BATS','C2','NQBX',
      'MIAX','GMNI','CME','CBOT','NYMEX','COMEX','ICE','EDGO','MCRY','MPRL',
      'SDRK','DQTE','MEMLD')
      oBidExSz Option bid size of the largest exchange on the bid at the time the print was received int(11)  
      oAskExSz Option ask size of the largest exchange on the ask at the time the print was received int(11)  
      oBidCnt Number of exchanges on the NBBO bid tinyint(3) unsigned  
      oAskCnt Number of exchanges on the NBBO ask tinyint(3) unsigned  
      uPrc Underlier price double 44
      rate Interest rate float  
      sdiv Continuous stock dividend float  
      ddiv Discrete stock dividend value float sum of dividends <= expiration
      oBid2 Second level bid price float  
      oAsk2 Second level ask price float  
      oBidSz2 Cumulative size on the second level bid price int(11)  
      oAskSz2 Cumulative size on the second level ask price int(11)  
      uBid Underlier bid double  
      uAsk Underlier ask double  
      xDe xDelta float  
      xAxis SR surface xAxis value float  
      prtIv Print implied vol float  
      prtDe Print delta float  
      prtGa Print gamma float  
      prtTh Print theta float  
      prtVe Print vega float  
      prtRo Print rho float  
      calcErr Calc error flag varchar(24)  
      surfVol SR surface volatility float  
      surfOpx SR surface price float  
      surfAtm SR surface ATM vol float  
      prtProbability Probability that buying prtSize contracts @ prtPrice will have positive m10 pnl (prtPriceM10 >= prtPrice) [recorded at time of print] float -2 is missing quote probability, -3 is bad predicted result, -4 bid-ask spread < 0.000001
      oBidM1 NBBO option bid 1 minute after print was received float  
      oAskM1 NBBO option ask 1 minute after print was received float  
      uBidM1 NBBO underlying bid 1 minute after print was received double  
      uAskM1 NBBO underlying ask 1 minute after print was received double  
      uPrcM1 Underlying price 1 minute after print was received double  
      sVolM1 Suface volatility 1 minute after print was received float  
      sOpxM1 Surface option price 1 minute after print was received float  
      sDivM1 Continuous stock dividend 1 minute after print was received float  
      sErrM1 Surface error condition (if any) 1 minute after print was received varchar(12)  
      pnlM1 PnL after 1 minute float  
      pnlM1Err Error condition for PnL calculated over the first 1 minute after the print was received enum ('None','Yes','No')
      oBidM10 NBBO option bid 10 minutes after print was received float  
      oAskM10 NBBO option ask 10 minutes after print was received float  
      uBidM10 NBBO underlying bid 10 minutes after print was received double  
      uAskM10 NBBO underlying ask 10 minutes after print was received double  
      uPrcM10 Underlying price 10 minutes after print was received double  
      sVolM10 Suface volatility 10 minutes after print was received float  
      sOpxM10 Surface option price 10 minutes after print was received float  
      sDivM10 Continuous stock dividend 10 minutes after print was received float  
      sErrM10 Surface error condition (if any) 10 minutes after print was received varchar(12)  
      pnlM10 PnL after 10 minutes float  
      pnlM10Err Error condition for PnL calculated 10 minutes after the print was received enum ('None','Yes','No')