LiveExpiryAtm

V8 Message Definiton

LiveExpiryAtm (surfaceType = 'Live') records are computed and publish continuously during trading hours and represent a current best implied volatility market fit. SurfaceType = '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	SRMLinkAnalytics
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
uPrc	DOUBLE		0	effective uPrc used for surface fitting
uPrcDriver	DOUBLE		0	underlier driver midmarket
atmVol	FLOAT		0	atm surface volatility xAxis 0
atmSlope	FLOAT		0	volatility surface slope dVol dXAxis ATM xAxis0
axisFUPrc	FLOAT		0	axis fwdUPrc used to compute xAxis
xMult	FLOAT		0
xShift	FLOAT		0
skewMult	FLOAT		0	sVol skewMult BasisSkewFnxMult xAxis xShift
sTimestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	timestamp of the corresponding LiveExpirySurface record
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

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgLiveExpiryAtm` (
    `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,
    `uPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'effective uPrc used for surface fitting',
    `uPrcDriver` DOUBLE NOT NULL DEFAULT 0 COMMENT 'underlier driver (mid-market)',
    `atmVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'atm surface volatility (xAxis = 0)',
    `atmSlope` FLOAT NOT NULL DEFAULT 0 COMMENT 'volatility surface slope (dVol / dXAxis) @ ATM (xAxis=0)',
    `axisFUPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'axis fwdUPrc (used to compute xAxis)',
    `xMult` FLOAT NOT NULL DEFAULT 0,
    `xShift` FLOAT NOT NULL DEFAULT 0,
    `skewMult` FLOAT NOT NULL DEFAULT 0 COMMENT 'sVol = skewMult * BasisSkewFn(xMult * (xAxis - xShift))',
    `sTimestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'timestamp of the corresponding LiveExpirySurface record',
    `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`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='LiveExpiryAtm (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`,
    `uPrc`,
    `uPrcDriver`,
    `atmVol`,
    `atmSlope`,
    `axisFUPrc`,
    `xMult`,
    `xShift`,
    `skewMult`,
    `sTimestamp`,
    `timestamp`
FROM `SRAnalytics`.`MsgLiveExpiryAtm`
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;

Doc Columns Query

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