LiveSurfaceDetail

V8 Message Definiton

LiveSurfaceDetail (surfaceType = 'Live') records are computed and publish continuously during trading hours and represent a current best implied volatility market fit details.\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'
ticker_at	enum - AssetType		'None'	underlying stock key that this option expiration attaches to
ticker_ts	enum - TickerSrc		'None'	underlying stock key that this option expiration attaches to
ticker_tk	VARCHAR(12)		''	underlying stock key that this option expiration attaches to
fkey_at	enum - AssetType		'None'	underlying future key if any
fkey_ts	enum - TickerSrc		'None'	underlying future key if any
fkey_tk	VARCHAR(12)		''	underlying future key if any
fkey_yr	SMALLINT UNSIGNED		0	underlying future key if any
fkey_mn	TINYINT UNSIGNED		0	underlying future key if any
fkey_dy	TINYINT UNSIGNED		0	underlying future key if any
uPrcDriverKey_at	enum - AssetType		'None'	underlier driver key
uPrcDriverKey_ts	enum - TickerSrc		'None'	underlier driver key
uPrcDriverKey_tk	VARCHAR(12)		''	underlier driver key
uPrcDriverKey_yr	SMALLINT UNSIGNED		0	underlier driver key
uPrcDriverKey_mn	TINYINT UNSIGNED		0	underlier driver key
uPrcDriverKey_dy	TINYINT UNSIGNED		0	underlier driver key
uPrcDriverType	enum - SpdrKeyType		'None'	underlier driver key type stock or future
ddiv	FLOAT		0	expected cumulative discrete dividend amounts prior to expiration
ddivPv	FLOAT		0	expected cumulative npv of discrete dividend amounts prior to expiration SR global rate curve
ddivSource	enum - DDivSource		'None'	Forecast if any of the dividends prior to expiry are forecast rather than announced
symbolRatio	FLOAT		0	underlier price ratio usually 10 or a multihedge option price ratio if one exists
exType	enum - ExerciseType		'None'	exercise type American or European
modelType	enum - CalcModelType		'None'	option pricing model used for price calcs Normal LogNormal etc
priceType	enum - CalcPriceType		'None'	Equity has independent sdiv and rate Future has sdiv rate
earnCnt	FLOAT		0	number of qualifying earnings events prior to expiration can be fractional from StockEarningsCalendar
earnCntAdj	FLOAT		0	number of qualifying earnings events prior to expiration adjusted from StockEarningsCalendar LiveSurfaceTerm
moneynessType	enum - MoneynessType		'None'	moneyness xAxis convention
priceQuoteType	enum - PriceQuoteType		'None'	Price or Vol
atmVolHist	FLOAT		0	historical realized volatility includes eMoveHist x earnCntAdj adjustment Note that this is the default atmVol if no implied markets existed previous day
atmCenHist	FLOAT		0	censored earnings events removed historical realized volatility Trailing periods is 2x forward time to expiration From HistoricalVolatilitywindowTypehlCenmvnnn
uBetaHist	FLOAT		0	beta this underlier vs basis underlier T 1 week
eMove	FLOAT		0	implied earnings move from LiveSurfaceTerm
eMoveHist	FLOAT		0	historical earnings move avg of trailing 8 moves From StockEarningsCalendareMoveHist
minXAxis	FLOAT		0	minimum xAxis value left most point with a valid supporting strike
maxXAxis	FLOAT		0	maximum xAxis value right most point with a valid supporting strike
atmPhi	FLOAT		0	surface phi xAxis 0
atmRho	FLOAT		0	surface rho xAxis 0
atmVega	FLOAT		0	surface vega xAxis 0
uPrcRatio	DOUBLE		0	uPrcAdj uPrc uPrcRatioFit
pwidth	FLOAT		0	minimum mkt premium width
vwidth	FLOAT		0	minimum mkt volatility width
cCnt	SMALLINT UNSIGNED		0	num call strikes in base fit
pCnt	SMALLINT UNSIGNED		0	num put strikes in base fit
hasBracketMin	enum - YesNo		'None'
surfaceSkewType	enum - SurfaceSkewType		'None'
cBidMiss	TINYINT UNSIGNED		0	number of call bid violations surface outside the market
cAskMiss	TINYINT UNSIGNED		0	number of call ask violations surface outside the market
pBidMiss	TINYINT UNSIGNED		0	number of put bid violations
pAskMiss	TINYINT UNSIGNED		0	number of put ask violations
fitScoreT0	FLOAT		0
fitScoreT1	FLOAT		0
cumFitScoreT0	FLOAT		0
cumFitScoreT1	FLOAT		0
fitCounter	INT		0	number of fitcount passes current trade date market open
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`.`MsgLiveSurfaceDetail` (
    `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',
    `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 'underlying stock key that this option expiration attaches to',
    `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' COMMENT 'underlying stock key that this option expiration attaches to',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'underlying stock key that this option expiration attaches to',
    `fkey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'underlying future key (if any)',
    `fkey_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' COMMENT 'underlying future key (if any)',
    `fkey_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'underlying future key (if any)',
    `fkey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'underlying future key (if any)',
    `fkey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'underlying future key (if any)',
    `fkey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'underlying future key (if any)',
    `uPrcDriverKey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'underlier driver key',
    `uPrcDriverKey_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' COMMENT 'underlier driver key',
    `uPrcDriverKey_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'underlier driver key',
    `uPrcDriverKey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'underlier driver key',
    `uPrcDriverKey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'underlier driver key',
    `uPrcDriverKey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'underlier driver key',
    `uPrcDriverType` ENUM('None','Stock','Future','Option','MLeg') NOT NULL DEFAULT 'None' COMMENT 'underlier driver key type (stock or future)',
    `ddiv` FLOAT NOT NULL DEFAULT 0 COMMENT '(expected) cumulative discrete dividend $ amounts prior to expiration',
    `ddivPv` FLOAT NOT NULL DEFAULT 0 COMMENT '(expected) cumulative npv of discrete dividend $ amounts prior to expiration (SR global rate curve)',
    `ddivSource` ENUM('None','Announced','Forecast') NOT NULL DEFAULT 'None' COMMENT 'Forecast if any of the dividends prior to expiry are forecast rather than announced',
    `symbolRatio` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier price ratio (usually 1.0 or a multi-hedge option price ratio; if one exists)',
    `exType` ENUM('None','American','European','Asian','Cliquet') NOT NULL DEFAULT 'None' COMMENT 'exercise type (American or European)',
    `modelType` ENUM('None','LogNormalExact','NormalExact','LogNormalApprox','NormalApprox') NOT NULL DEFAULT 'None' COMMENT 'option pricing model used for price calcs (Normal, LogNormal, etc.)',
    `priceType` ENUM('None','Equity','Future') NOT NULL DEFAULT 'None' COMMENT 'Equity has independent sdiv and rate, Future has sdiv = rate',
    `earnCnt` FLOAT NOT NULL DEFAULT 0 COMMENT 'number of qualifying earnings events prior to expiration [can be fractional] (from StockEarningsCalendar)',
    `earnCntAdj` FLOAT NOT NULL DEFAULT 0 COMMENT 'number of qualifying earnings events prior to expiration [adjusted] (from StockEarningsCalendar + LiveSurfaceTerm)',
    `moneynessType` ENUM('None','PctStd','LogStd','NormStd') NOT NULL DEFAULT 'None' COMMENT 'moneyness (xAxis) convention',
    `priceQuoteType` ENUM('None','Price','Vol') NOT NULL DEFAULT 'None' COMMENT 'Price or Vol',
    `atmVolHist` FLOAT NOT NULL DEFAULT 0 COMMENT 'historical realized volatility (includes eMoveHist x earnCntAdj adjustment).  Note that this is the default atmVol if no implied markets existed previous day.',
    `atmCenHist` FLOAT NOT NULL DEFAULT 0 COMMENT 'censored (earnings events removed) historical realized volatility.  Trailing periods is 2x forward time to expiration.  From HistoricalVolatility(windowType=hlCen).mv_nnn',
    `uBetaHist` FLOAT NOT NULL DEFAULT 0 COMMENT 'beta (this underlier vs basis underlier; T + 1 week)',
    `eMove` FLOAT NOT NULL DEFAULT 0 COMMENT 'implied earnings move (from LiveSurfaceTerm)',
    `eMoveHist` FLOAT NOT NULL DEFAULT 0 COMMENT 'historical earnings move (avg of trailing 8 moves). From StockEarningsCalendar.eMoveHist',
    `minXAxis` FLOAT NOT NULL DEFAULT 0 COMMENT 'minimum xAxis value; left most point with a valid supporting strike',
    `maxXAxis` FLOAT NOT NULL DEFAULT 0 COMMENT 'maximum xAxis value; right most point with a valid supporting strike',
    `atmPhi` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface phi @ xAxis = 0',
    `atmRho` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface rho @ xAxis = 0',
    `atmVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface vega @ xAxis = 0',
    `uPrcRatio` DOUBLE NOT NULL DEFAULT 0 COMMENT 'uPrcAdj = uPrc * uPrcRatioFit',
    `pwidth` FLOAT NOT NULL DEFAULT 0 COMMENT 'minimum mkt premium width',
    `vwidth` FLOAT NOT NULL DEFAULT 0 COMMENT 'minimum mkt volatility width',
    `cCnt` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'num call strikes in base fit',
    `pCnt` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'num put strikes in base fit',
    `hasBracketMin` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `surfaceSkewType` ENUM('None','Param1','Param2','Param3','Param4') NOT NULL DEFAULT 'None',
    `cBidMiss` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'number of call bid violations (surface outside the market)',
    `cAskMiss` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'number of call ask violations (surface outside the market)',
    `pBidMiss` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'number of put bid violations',
    `pAskMiss` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'number of put ask violations',
    `fitScoreT0` FLOAT NOT NULL DEFAULT 0,
    `fitScoreT1` FLOAT NOT NULL DEFAULT 0,
    `cumFitScoreT0` FLOAT NOT NULL DEFAULT 0,
    `cumFitScoreT1` FLOAT NOT NULL DEFAULT 0,
    `fitCounter` INT NOT NULL DEFAULT 0 COMMENT 'number of fit/count passes (current trade date / market open)',
    `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='LiveSurfaceDetail (surfaceType = \'Live\') records are computed and publish continuously during trading hours and represent a current best implied volatility market fit details.\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`,
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `fkey_at`,
    `fkey_ts`,
    `fkey_tk`,
    `fkey_yr`,
    `fkey_mn`,
    `fkey_dy`,
    `uPrcDriverKey_at`,
    `uPrcDriverKey_ts`,
    `uPrcDriverKey_tk`,
    `uPrcDriverKey_yr`,
    `uPrcDriverKey_mn`,
    `uPrcDriverKey_dy`,
    `uPrcDriverType`,
    `ddiv`,
    `ddivPv`,
    `ddivSource`,
    `symbolRatio`,
    `exType`,
    `modelType`,
    `priceType`,
    `earnCnt`,
    `earnCntAdj`,
    `moneynessType`,
    `priceQuoteType`,
    `atmVolHist`,
    `atmCenHist`,
    `uBetaHist`,
    `eMove`,
    `eMoveHist`,
    `minXAxis`,
    `maxXAxis`,
    `atmPhi`,
    `atmRho`,
    `atmVega`,
    `uPrcRatio`,
    `pwidth`,
    `vwidth`,
    `cCnt`,
    `pCnt`,
    `hasBracketMin`,
    `surfaceSkewType`,
    `cBidMiss`,
    `cAskMiss`,
    `pBidMiss`,
    `pAskMiss`,
    `fitScoreT0`,
    `fitScoreT1`,
    `cumFitScoreT0`,
    `cumFitScoreT1`,
    `fitCounter`,
    `timestamp`
FROM `SRAnalytics`.`MsgLiveSurfaceDetail`
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='LiveSurfaceDetail' ORDER BY ordinal_position ASC;