TheoSurfacePerf
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. TheoSurfacePerf 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;