TheoSurfacePerf

V8 Message Definiton

TheoSurfacePerf records are published throughout he day for each active client theoretical model in the SpiderRock system. They are suitable for tracking performance of a theoretical model surface whether or not it is being traded.\nTheoSurfacePerf records are published to the SpiderRock elastic cluster at the end of each day.

METADATA

Attribute	Value
Topic	1000-analytics
MLink Token	ClientTheo
Product	SRTheo
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
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
theoModel	VARCHAR(16)	PRI	''	theo model
clientFirm	VARCHAR(16)	PRI	''	client firm this theo model is associated with controls visibility
perfSurfType	enum - PerfSurfaceType	PRI	'None'
date	VARCHAR(10)		''
time	VARCHAR(8)		''
ticker_at	enum - AssetType		'None'	SpiderRock underlier stock key
ticker_ts	enum - TickerSrc		'None'	SpiderRock underlier stock key
ticker_tk	VARCHAR(12)		''	SpiderRock underlier stock key
strike	FLOAT		0	atm strike fwd uPrcfrom LiveSurfacePerf record
tEMove	FLOAT		0	theoretical event move if any
cTVol	FLOAT		0	theo call volatility from theoModel strike strike
pTVol	FLOAT		0	theo put volatility from theoModel strike strike
cTOpx	FLOAT		0	theo call price cTVol uMark years sdiv rate ddiv
pTOpx	FLOAT		0	theo put price pTVol uMark years sdiv rate ddiv
fixCTVol	FLOAT		0	fixed strike theo call volatility from theoModel strike prvStrike
fixPTVol	FLOAT		0	fixed strike theo put volatility from theoModel strike prvStrike
fixCTOpx	FLOAT		0	fixed strike theo call price fixTVol uMark years sdiv rate ddivstrike prvStrike
fixPTOpx	FLOAT		0	fixed strike theo put price fixTVol uMark years sdiv rate ddivstrike prvStrike
prvStrike	FLOAT		0	prior period atm strike
prvTEMove	FLOAT		0	prior period theoretical event move if any
prvCTVol	FLOAT		0	prior period theo call volatility strike prvStrike
prvPTVol	FLOAT		0	prior period theo put volatility strike prvStrike
prvCTOpx	FLOAT		0	prior period theo call price strike prvStrike
prvPTOpx	FLOAT		0	prior period theo call price strike prvStrike
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
ekey_tk	1
ekey_yr	2
ekey_mn	3
ekey_dy	4
ekey_at	5
ekey_ts	6
theoModel	7
clientFirm	8
perfSurfType	9

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRTheo`.`MsgTheoSurfacePerf` (
    `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','EUX','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,
    `theoModel` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'theo model',
    `clientFirm` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'client firm this theo model is associated with (controls visibility)',
    `perfSurfType` ENUM('None','Live','PriorDay') NOT NULL DEFAULT 'None',
    `date` VARCHAR(10) NOT NULL DEFAULT '',
    `time` VARCHAR(8) NOT NULL DEFAULT '',
    `ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'SpiderRock underlier stock key',
    `ticker_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'SpiderRock underlier stock key',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'SpiderRock underlier stock key',
    `strike` FLOAT NOT NULL DEFAULT 0 COMMENT 'atm strike (fwd uPrc);from LiveSurfacePerf record',
    `tEMove` FLOAT NOT NULL DEFAULT 0 COMMENT 'theoretical event move (if any)',
    `cTVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'theo call volatility (from theoModel @ strike = strike)',
    `pTVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'theo put volatility (from theoModel @ strike = strike)',
    `cTOpx` FLOAT NOT NULL DEFAULT 0 COMMENT 'theo call price @ (cTVol, uMark, years, sdiv, rate, ddiv)',
    `pTOpx` FLOAT NOT NULL DEFAULT 0 COMMENT 'theo put price @ (pTVol, uMark, years, sdiv, rate, ddiv)',
    `fixCTVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'fixed strike theo call volatility (from theoModel @ strike = prvStrike)',
    `fixPTVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'fixed strike theo put volatility (from theoModel @ strike = prvStrike)',
    `fixCTOpx` FLOAT NOT NULL DEFAULT 0 COMMENT 'fixed strike theo call price @ (fixTVol, uMark, years, sdiv, rate, ddiv);strike = prvStrike',
    `fixPTOpx` FLOAT NOT NULL DEFAULT 0 COMMENT 'fixed strike theo put price @ (fixTVol, uMark, years, sdiv, rate, ddiv);strike = prvStrike',
    `prvStrike` FLOAT NOT NULL DEFAULT 0 COMMENT 'prior period atm strike',
    `prvTEMove` FLOAT NOT NULL DEFAULT 0 COMMENT 'prior period theoretical event move (if any)',
    `prvCTVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'prior period theo call volatility @ strike = prvStrike',
    `prvPTVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'prior period theo put volatility @ strike = prvStrike',
    `prvCTOpx` FLOAT NOT NULL DEFAULT 0 COMMENT 'prior period theo call price @ strike = prvStrike',
    `prvPTOpx` FLOAT NOT NULL DEFAULT 0 COMMENT 'prior period theo call price @ strike = prvStrike',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    PRIMARY KEY USING HASH (`ekey_tk`,`ekey_yr`,`ekey_mn`,`ekey_dy`,`ekey_at`,`ekey_ts`,`theoModel`,`clientFirm`,`perfSurfType`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='TheoSurfacePerf records are published throughout he day for each active client theoretical model in the SpiderRock system.  They are suitable for tracking performance of a theoretical model surface whether or not it is being traded.\nTheoSurfacePerf records are published to the SpiderRock elastic cluster at the end of each day.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `ekey_at`,
    `ekey_ts`,
    `ekey_tk`,
    `ekey_yr`,
    `ekey_mn`,
    `ekey_dy`,
    `theoModel`,
    `clientFirm`,
    `perfSurfType`,
    `date`,
    `time`,
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `strike`,
    `tEMove`,
    `cTVol`,
    `pTVol`,
    `cTOpx`,
    `pTOpx`,
    `fixCTVol`,
    `fixPTVol`,
    `fixCTOpx`,
    `fixPTOpx`,
    `prvStrike`,
    `prvTEMove`,
    `prvCTVol`,
    `prvPTVol`,
    `prvCTOpx`,
    `prvPTOpx`,
    `timestamp`
FROM `SRTheo`.`MsgTheoSurfacePerf`
WHERE 
    /* 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','EUX','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 VARCHAR(16) */ 
    `theoModel` = 'Example_theoModel'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm'
  AND
    /* Replace with a ENUM('None','Live','PriorDay') */ 
    `perfSurfType` = 'None';

Doc Columns Query

SELECT * FROM SRTheo.doccolumns WHERE TABLE_NAME='TheoSurfacePerf' ORDER BY ordinal_position ASC;