LiveExpirySurface

V8 Message Definiton

LiveExpirySurface (surfaceType = 'Live') records are computed and publish continuously during trading hours and represent a current best implied volatility market fit.\nSurfaceType = 'PriorDay' records contain the `closing surface record from the prior trading period (usually from just before the last main session close).

METADATA

Attribute	Value
Topic	1000-analytics
MLink Token	SystemData
Product	SRAnalytics
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
surfaceType	enum - SurfaceCurveType	PRI	'None'
uPrc	DOUBLE		0	effective uPrc used for surface fitting
uPrcDriver	DOUBLE		0	underlier driver midmarket
years	FLOAT		0	time to expiration in years
rate	FLOAT		0	average interest rate to expiration discount rate
sdiv	FLOAT		0	stock dividend borrow rate
atmVol	FLOAT		0	atm vol xAxis 0
atmSlope	FLOAT		0	volatility surface slope dVol dXAxis ATM xAxis0
fitRate	FLOAT		0
axisFUPrc	FLOAT		0	axis FwdUPrc fwd underlying price used to compute xAxis
axisVolRT	FLOAT		0	axis volatility x sqrtyears used to compute xAxis usually the minimum curve volatility
skewMult	FLOAT		0	sVol skewMult BasisSkewFnxMult xAxis xShift
xMult	FLOAT		0
xShift	FLOAT		0
skewC00	FLOAT		0	curve coeff0
skewC01	FLOAT		0	curve coeff1
skewC02	FLOAT		0
skewC03	FLOAT		0
skewC04	FLOAT		0
skewC05	FLOAT		0
skewC06	FLOAT		0
skewC07	FLOAT		0
skewC08	FLOAT		0
skewC09	FLOAT		0
skewC10	FLOAT		0
skewC11	FLOAT		0
skewC12	FLOAT		0
skewC13	FLOAT		0
skewC14	FLOAT		0
skewC15	FLOAT		0
skewC16	FLOAT		0
skewC17	FLOAT		0
skewC18	FLOAT		0
skewC19	FLOAT		0
skewC20	FLOAT		0
skewC21	FLOAT		0
skewC22	FLOAT		0
skewC23	FLOAT		0
skewC24	FLOAT		0
skewC25	FLOAT		0
skewC26	FLOAT		0
skewC27	FLOAT		0
skewC28	FLOAT		0
cpAdjD04	FLOAT		0	xAxis 40
cpAdjD03	FLOAT		0	xAxis 30
cpAdjD02	FLOAT		0	xAxis 20
cpAdjD01	FLOAT		0	xAxis 10
cpAdjU01	FLOAT		0	xAxis 10
cpAdjU02	FLOAT		0	xAxis 20
cpAdjU03	FLOAT		0	xAxis 30
cpAdjU04	FLOAT		0	xAxis 40
tradeableStatus	enum - TradeableStatus		'None'	indicates whether the surface is currently tradeable or not all server surface integrity checks pass
surfaceResult	enum - SurfaceResult		'None'
marketSession	enum - MarketSession		'None'	market session this surface is from
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
surfaceType	7

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgLiveExpirySurface` (
    `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','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','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,
    `surfaceType` ENUM('None','Live','PrevDay','Interp','Close','Test') NOT NULL DEFAULT 'None',
    `uPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'effective uPrc used for surface fitting',
    `uPrcDriver` DOUBLE NOT NULL DEFAULT 0 COMMENT 'underlier driver (mid-market)',
    `years` FLOAT NOT NULL DEFAULT 0 COMMENT 'time to expiration (in years)',
    `rate` FLOAT NOT NULL DEFAULT 0 COMMENT 'average interest rate to expiration (discount rate)',
    `sdiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'stock dividend (borrow rate)',
    `atmVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'atm vol (xAxis = 0)',
    `atmSlope` FLOAT NOT NULL DEFAULT 0 COMMENT 'volatility surface slope (dVol / dXAxis) @ ATM (xAxis=0)',
    `fitRate` FLOAT NOT NULL DEFAULT 0,
    `axisFUPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'axis FwdUPrc (fwd underlying price used to compute xAxis)',
    `axisVolRT` FLOAT NOT NULL DEFAULT 0 COMMENT 'axis volatility x sqrt(years) (used to compute xAxis) [usually the minimum curve volatility]',
    `skewMult` FLOAT NOT NULL DEFAULT 0 COMMENT 'sVol = skewMult * BasisSkewFn(xMult * xAxis - xShift)',
    `xMult` FLOAT NOT NULL DEFAULT 0,
    `xShift` FLOAT NOT NULL DEFAULT 0,
    `skewC00` FLOAT NOT NULL DEFAULT 0 COMMENT 'curve coeff[0]',
    `skewC01` FLOAT NOT NULL DEFAULT 0 COMMENT 'curve coeff[1]',
    `skewC02` FLOAT NOT NULL DEFAULT 0,
    `skewC03` FLOAT NOT NULL DEFAULT 0,
    `skewC04` FLOAT NOT NULL DEFAULT 0,
    `skewC05` FLOAT NOT NULL DEFAULT 0,
    `skewC06` FLOAT NOT NULL DEFAULT 0,
    `skewC07` FLOAT NOT NULL DEFAULT 0,
    `skewC08` FLOAT NOT NULL DEFAULT 0,
    `skewC09` FLOAT NOT NULL DEFAULT 0,
    `skewC10` FLOAT NOT NULL DEFAULT 0,
    `skewC11` FLOAT NOT NULL DEFAULT 0,
    `skewC12` FLOAT NOT NULL DEFAULT 0,
    `skewC13` FLOAT NOT NULL DEFAULT 0,
    `skewC14` FLOAT NOT NULL DEFAULT 0,
    `skewC15` FLOAT NOT NULL DEFAULT 0,
    `skewC16` FLOAT NOT NULL DEFAULT 0,
    `skewC17` FLOAT NOT NULL DEFAULT 0,
    `skewC18` FLOAT NOT NULL DEFAULT 0,
    `skewC19` FLOAT NOT NULL DEFAULT 0,
    `skewC20` FLOAT NOT NULL DEFAULT 0,
    `skewC21` FLOAT NOT NULL DEFAULT 0,
    `skewC22` FLOAT NOT NULL DEFAULT 0,
    `skewC23` FLOAT NOT NULL DEFAULT 0,
    `skewC24` FLOAT NOT NULL DEFAULT 0,
    `skewC25` FLOAT NOT NULL DEFAULT 0,
    `skewC26` FLOAT NOT NULL DEFAULT 0,
    `skewC27` FLOAT NOT NULL DEFAULT 0,
    `skewC28` FLOAT NOT NULL DEFAULT 0,
    `cpAdjD04` FLOAT NOT NULL DEFAULT 0 COMMENT 'xAxis = -4.0',
    `cpAdjD03` FLOAT NOT NULL DEFAULT 0 COMMENT 'xAxis = -3.0',
    `cpAdjD02` FLOAT NOT NULL DEFAULT 0 COMMENT 'xAxis = -2.0',
    `cpAdjD01` FLOAT NOT NULL DEFAULT 0 COMMENT 'xAxis = -1.0',
    `cpAdjU01` FLOAT NOT NULL DEFAULT 0 COMMENT 'xAxis = +1.0',
    `cpAdjU02` FLOAT NOT NULL DEFAULT 0 COMMENT 'xAxis = +2.0',
    `cpAdjU03` FLOAT NOT NULL DEFAULT 0 COMMENT 'xAxis = +3.0',
    `cpAdjU04` FLOAT NOT NULL DEFAULT 0 COMMENT 'xAxis = +4.0',
    `tradeableStatus` ENUM('None','OK','SurfaceErr','LowCCnt','LowPCnt','FitPrcErr','BidAskMiss','LowCounter','DefaultSkew','SessionMiss','BaseErr','SwitchDelay','WideMktV','WideMktP','WideUMkt','UWidthEma','CCntEma','PCntEma','VWidthEma','PWidthEma','Closed') NOT NULL DEFAULT 'None' COMMENT 'indicates whether the surface is currently tradeable or not (all server surface integrity checks pass)',
    `surfaceResult` ENUM('None','OK','EOD','Init','Cache','PrevDay','NullExpIdx','NoStrikes','NoBaseCurve','BadBootAtm','NoGoodStrikes','BadAtmVol','Bootstrap','NoUPrc','NoIVols','NoModelPts','ZeroYears','NoSimpleVol','OptMktNotOpn','NoBaseSurface','UPrcOffCnt','SkewKnotCnt','Exception','AxisError','CAskFit1Err','CAskFit2Err','PAskFit1Err','PAskFit2Err','CBidFit1Err','CBidFit2Err','PBidFit1Err','PBidFit2Err','CobsSampleErr','NoPrcFit','NumStrikes','CMidFitErr','PMidFitErr','StrikeCount','VolKnotCnt','InterpError','NoAtmStrike','CobsConvexFitErr','CobsMidFitErr','ProxyError','NoOptExp','Expired','NoUnderlier','NoBaseUnderlier','InvalidUPrc','ZeroUPrc','WideUMkt','StalePrcFit','NoPrcCurves','PriceError','ConvergeFail','NoUPrcRatio','NoSDivValue') NOT NULL DEFAULT 'None',
    `marketSession` ENUM('None','PreMkt','RegMkt','PostMkt','PreRegMkt','RegPostMkt','AllDay') NOT NULL DEFAULT 'None' COMMENT 'market session this surface is from',
    `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`,`surfaceType`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='LiveExpirySurface (surfaceType = \'Live\') records are computed and publish continuously during trading hours and represent a current best implied volatility market fit.\nSurfaceType = \'PriorDay\' records contain the `closing surface record from the prior trading period (usually from just before the last main session close).';

SELECT TABLE EXAMPLE QUERY

SELECT
    `ekey_at`,
    `ekey_ts`,
    `ekey_tk`,
    `ekey_yr`,
    `ekey_mn`,
    `ekey_dy`,
    `surfaceType`,
    `uPrc`,
    `uPrcDriver`,
    `years`,
    `rate`,
    `sdiv`,
    `atmVol`,
    `atmSlope`,
    `fitRate`,
    `axisFUPrc`,
    `axisVolRT`,
    `skewMult`,
    `xMult`,
    `xShift`,
    `skewC00`,
    `skewC01`,
    `skewC02`,
    `skewC03`,
    `skewC04`,
    `skewC05`,
    `skewC06`,
    `skewC07`,
    `skewC08`,
    `skewC09`,
    `skewC10`,
    `skewC11`,
    `skewC12`,
    `skewC13`,
    `skewC14`,
    `skewC15`,
    `skewC16`,
    `skewC17`,
    `skewC18`,
    `skewC19`,
    `skewC20`,
    `skewC21`,
    `skewC22`,
    `skewC23`,
    `skewC24`,
    `skewC25`,
    `skewC26`,
    `skewC27`,
    `skewC28`,
    `cpAdjD04`,
    `cpAdjD03`,
    `cpAdjD02`,
    `cpAdjD01`,
    `cpAdjU01`,
    `cpAdjU02`,
    `cpAdjU03`,
    `cpAdjU04`,
    `tradeableStatus`,
    `surfaceResult`,
    `marketSession`,
    `timestamp`
FROM `SRAnalytics`.`MsgLiveExpirySurface`
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','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','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 ENUM('None','Live','PrevDay','Interp','Close','Test') */ 
    `surfaceType` = 'None';

Doc Columns Query

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