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Version: 8.4.08.4

HistoricalVolatilities

V8 Message Definiton

Values in this table are computed daily and are calculated from end-of-day marks from the previous period. Official exchange closing values are used where possible.\nHistoricalVolatility records are published to the SpiderRock elastic cluster nightly.

METADATA

AttributeValue
Topic3225-market-statistics
MLink TokenOptSurface
ProductSRAnalytics
accessTypeSELECT

Table Definition

FieldTypeKeyDefault ValueComment
ticker_atenum - AssetTypePRI'None'
ticker_tsenum - TickerSrcPRI'None'
ticker_tkVARCHAR(12)PRI''
windowTypeVARCHAR(12)PRI''eg cc ccCen ccClCen hl hlCen iv63 iv126 etc
dateVARCHAR(10)''most recent closing date
securityIDINT0
valueFLOAT0most recent historical value
mv_5dFLOAT0historical mean value 5 day window
sd_5dFLOAT0historical std dev 5 day window
mv_10dFLOAT0
sd_10dFLOAT0
mv_21dFLOAT0
sd_21dFLOAT0
mv_42dFLOAT0
sd_42dFLOAT0
mv_63dFLOAT0
sd_63dFLOAT0
mv_84dFLOAT0
sd_84dFLOAT0
mv_105dFLOAT0
sd_105dFLOAT0
mv_126dFLOAT0
sd_126dFLOAT0
mv_189dFLOAT0
sd_189dFLOAT0
mv_252dFLOAT0
sd_252dFLOAT0
mv_378dFLOAT0
sd_378dFLOAT0
mv_504dFLOAT0
sd_504dFLOAT0
timestampDATETIME(6)'1900-01-01 00:00:00.000000'record update timestamp

PRIMARY KEY DEFINITION (Unique)

FieldSequence
ticker_tk1
ticker_at2
ticker_ts3
windowType4

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgHistoricalVolatilities` (
`ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
`ticker_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None',
`ticker_tk` VARCHAR(12) NOT NULL DEFAULT '',
`windowType` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'eg. cc, ccCen, ccClCen, hl, hlCen, iv63, iv126, etc',
`date` VARCHAR(10) NOT NULL DEFAULT '' COMMENT 'most recent closing date',
`securityID` INT NOT NULL DEFAULT 0,
`value` FLOAT NOT NULL DEFAULT 0 COMMENT 'most recent historical value',
`mv_5d` FLOAT NOT NULL DEFAULT 0 COMMENT 'historical mean value (5 day window)',
`sd_5d` FLOAT NOT NULL DEFAULT 0 COMMENT 'historical std dev (5 day window)',
`mv_10d` FLOAT NOT NULL DEFAULT 0,
`sd_10d` FLOAT NOT NULL DEFAULT 0,
`mv_21d` FLOAT NOT NULL DEFAULT 0,
`sd_21d` FLOAT NOT NULL DEFAULT 0,
`mv_42d` FLOAT NOT NULL DEFAULT 0,
`sd_42d` FLOAT NOT NULL DEFAULT 0,
`mv_63d` FLOAT NOT NULL DEFAULT 0,
`sd_63d` FLOAT NOT NULL DEFAULT 0,
`mv_84d` FLOAT NOT NULL DEFAULT 0,
`sd_84d` FLOAT NOT NULL DEFAULT 0,
`mv_105d` FLOAT NOT NULL DEFAULT 0,
`sd_105d` FLOAT NOT NULL DEFAULT 0,
`mv_126d` FLOAT NOT NULL DEFAULT 0,
`sd_126d` FLOAT NOT NULL DEFAULT 0,
`mv_189d` FLOAT NOT NULL DEFAULT 0,
`sd_189d` FLOAT NOT NULL DEFAULT 0,
`mv_252d` FLOAT NOT NULL DEFAULT 0,
`sd_252d` FLOAT NOT NULL DEFAULT 0,
`mv_378d` FLOAT NOT NULL DEFAULT 0,
`sd_378d` FLOAT NOT NULL DEFAULT 0,
`mv_504d` FLOAT NOT NULL DEFAULT 0,
`sd_504d` FLOAT NOT NULL DEFAULT 0,
`timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'record update timestamp',
PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`,`windowType`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='Values in this table are computed daily and are calculated from end-of-day marks from the previous period. Official exchange closing values are used where possible.\nHistoricalVolatility records are published to the SpiderRock elastic cluster nightly.';

SELECT TABLE EXAMPLE QUERY

SELECT
`ticker_at`,
`ticker_ts`,
`ticker_tk`,
`windowType`,
`date`,
`securityID`,
`value`,
`mv_5d`,
`sd_5d`,
`mv_10d`,
`sd_10d`,
`mv_21d`,
`sd_21d`,
`mv_42d`,
`sd_42d`,
`mv_63d`,
`sd_63d`,
`mv_84d`,
`sd_84d`,
`mv_105d`,
`sd_105d`,
`mv_126d`,
`sd_126d`,
`mv_189d`,
`sd_189d`,
`mv_252d`,
`sd_252d`,
`mv_378d`,
`sd_378d`,
`mv_504d`,
`sd_504d`,
`timestamp`
FROM `SRAnalytics`.`MsgHistoricalVolatilities`
WHERE
/* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */
`ticker_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','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','NXOS','NXP','EUREX','CEDX','ICEFE') */
`ticker_ts` = 'None'
AND
/* Replace with a VARCHAR(12) */
`ticker_tk` = 'Example_ticker_tk'
AND
/* Replace with a VARCHAR(12) */
`windowType` = 'Example_windowType';

Doc Columns Query

SELECT * FROM SRAnalytics.doccolumns WHERE TABLE_NAME='HistoricalVolatilities' ORDER BY ordinal_position ASC;