OptionLookback

V8 Message Definiton

OptionLookback records are published by the SurfaceModelServer and represent a stable frame lookback window on the option market (typically about 10 minutes)

METADATA

Attribute	Value
Topic	1000-analytics
MLink Token	SRMLinkAnalytics
Product	SRAnalytics
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
okey_at	enum - AssetType	PRI	'None'
okey_ts	enum - TickerSrc	PRI	'None'
okey_tk	VARCHAR(12)	PRI	''
okey_yr	SMALLINT UNSIGNED	PRI	0
okey_mn	TINYINT UNSIGNED	PRI	0
okey_dy	TINYINT UNSIGNED	PRI	0
okey_xx	DOUBLE	PRI	0
okey_cp	enum - CallPut	PRI	'Call'
tradeDate	DATE		'1900-01-01'
uPrc	DOUBLE		0
de	FLOAT		0	from SR surface volatility
ve	FLOAT		0
emaBidPrc	FLOAT		0
emaAskPrc	FLOAT		0
emaBidSize	FLOAT		0
emaAskSize	FLOAT		0
emaSPrc	FLOAT		0
emaSVol	FLOAT		0
emaSDiv	FLOAT		0
emaAtmVol	FLOAT		0
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	last record update time

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
okey_tk	1
okey_yr	2
okey_mn	3
okey_dy	4
okey_xx	5
okey_cp	6
okey_at	7
okey_ts	8

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgOptionLookback` (
    `okey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
    `okey_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',
    `okey_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `okey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_xx` DOUBLE NOT NULL DEFAULT 0,
    `okey_cp` ENUM('Call','Put','Pair') NOT NULL DEFAULT 'Call',
    `tradeDate` DATE NOT NULL DEFAULT '1900-01-01',
    `uPrc` DOUBLE NOT NULL DEFAULT 0,
    `de` FLOAT NOT NULL DEFAULT 0 COMMENT 'from SR surface volatility',
    `ve` FLOAT NOT NULL DEFAULT 0,
    `emaBidPrc` FLOAT NOT NULL DEFAULT 0,
    `emaAskPrc` FLOAT NOT NULL DEFAULT 0,
    `emaBidSize` FLOAT NOT NULL DEFAULT 0,
    `emaAskSize` FLOAT NOT NULL DEFAULT 0,
    `emaSPrc` FLOAT NOT NULL DEFAULT 0,
    `emaSVol` FLOAT NOT NULL DEFAULT 0,
    `emaSDiv` FLOAT NOT NULL DEFAULT 0,
    `emaAtmVol` FLOAT NOT NULL DEFAULT 0,
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'last record update time',
    PRIMARY KEY USING HASH (`okey_tk`,`okey_yr`,`okey_mn`,`okey_dy`,`okey_xx`,`okey_cp`,`okey_at`,`okey_ts`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='OptionLookback records are published by the SurfaceModelServer and represent a stable frame lookback window on the option market (typically about 10 minutes)';

SELECT TABLE EXAMPLE QUERY

SELECT
    `okey_at`,
    `okey_ts`,
    `okey_tk`,
    `okey_yr`,
    `okey_mn`,
    `okey_dy`,
    `okey_xx`,
    `okey_cp`,
    `tradeDate`,
    `uPrc`,
    `de`,
    `ve`,
    `emaBidPrc`,
    `emaAskPrc`,
    `emaBidSize`,
    `emaAskSize`,
    `emaSPrc`,
    `emaSVol`,
    `emaSDiv`,
    `emaAtmVol`,
    `timestamp`
FROM `SRAnalytics`.`MsgOptionLookback`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `okey_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') */ 
    `okey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `okey_tk` = 'Example_okey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `okey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_dy` = 1
  AND
    /* Replace with a DOUBLE */ 
    `okey_xx` = 4.56
  AND
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `okey_cp` = 'Call';

Doc Columns Query

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