LiveSurfaceFixedGrid
LiveSurfaceFixedGrid records contain live interpolated censored surface volatilities across a range of delta strikes and fixed days to expiration. Each record contains the implied and realized earnings move for the ticker, along with the forecasted earnings count, forward, sdiv, skew slope, and vol width correspoding to its days to expiration.
METADATA
| Attribute | Value |
|---|---|
| Topic | 1000-analytics |
| MLink Token | OptSurface |
| Product | SRAnalytics |
| accessType | SELECT |
| MLink Endpoint | MLink-Live |
Table Definition
| Field | Type | Key | Default Value | Comment |
|---|---|---|---|---|
| ticker_at | enum - AssetType | PRI | 'None' | |
| ticker_ts | enum - TickerSrc | PRI | 'None' | |
| ticker_tk | VARCHAR(12) | PRI | '' | |
| days | SMALLINT | PRI | 0 | days to expiration 5 10 21 42 63 84 105 126 189 252 378 504 |
| surfaceType | enum - SurfaceCurveType | PRI | 'None' | |
| date | VARCHAR(10) | '' | ||
| time | VARCHAR(8) | '' | ||
| sDiv | FLOAT | 0 | Interpolated implied sdiv rate from LiveSurfaceFixedTermsDivN | |
| fwdUPrc | FLOAT | 0 | Interpolated implied forward price from LiveSurfaceFixedTermfwdUPrcN | |
| eCnt | INT | 0 | Number of expected earnings dates from LiveSurfaceFixedTermeCntN | |
| iEMove | FLOAT | 0 | Implied earnings move from LiveSurfaceFixedTermeMove | |
| hEMove | FLOAT | 0 | Historical earnings move from LiveSurfaceFixedTermeMoveHist | |
| volD45 | FLOAT | 0 | xde 45 censored volatility | |
| volD40 | FLOAT | 0 | xde 40 | |
| volD35 | FLOAT | 0 | xde 35 | |
| volD30 | FLOAT | 0 | xde 30 | |
| volD25 | FLOAT | 0 | xde 25 | |
| volD20 | FLOAT | 0 | xde 20 | |
| volD15 | FLOAT | 0 | xde 15 | |
| volD10 | FLOAT | 0 | xde 10 | |
| volD05 | FLOAT | 0 | xde 5 | |
| volA00 | FLOAT | 0 | xde 0 | |
| volU05 | FLOAT | 0 | xde 5 | |
| volU10 | FLOAT | 0 | xde 10 | |
| volU15 | FLOAT | 0 | xde 15 | |
| volU20 | FLOAT | 0 | xde 20 | |
| volU25 | FLOAT | 0 | xde 25 | |
| volU30 | FLOAT | 0 | xde 30 | |
| volU35 | FLOAT | 0 | xde 35 | |
| volU40 | FLOAT | 0 | xde 40 | |
| volU45 | FLOAT | 0 | xde 45 | |
| vWidth | FLOAT | 0 | atm volatility width from LiveSurfaceFixedTermvWidthN | |
| vSlope | FLOAT | 0 | atm volatility slope from LiveSurfaceFixedTermvSlopeN | |
| loYears | FLOAT | 0 | LiveSurfaceCurveyears before days 1 none | |
| hiYears | FLOAT | 0 | LiveSurfaceCurveyears after days 1 none | |
| minDelta | FLOAT | 0 | minimum valid strike delta | |
| maxDelta | FLOAT | 0 | maximum valid strike delta | |
| timestamp | DATETIME(6) | '1900-01-01 00:00:00.000000' | surface fit timestamp |
PRIMARY KEY DEFINITION (Unique)
| Field | Sequence |
|---|---|
| ticker_tk | 1 |
| ticker_at | 2 |
| ticker_ts | 3 |
| days | 4 |
| surfaceType | 5 |
CREATE TABLE EXAMPLE QUERY
CREATE TABLE `SRAnalytics`.`MsgLiveSurfaceFixedGrid` (
`ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') NOT NULL DEFAULT 'None',
`ticker_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF') NOT NULL DEFAULT 'None',
`ticker_tk` VARCHAR(12) NOT NULL DEFAULT '',
`days` SMALLINT NOT NULL DEFAULT 0 COMMENT 'days to expiration [5, 10, 21, 42, 63, 84, 105, 126, 189, 252, 378, 504]',
`surfaceType` ENUM('None','Live','PrevDay','Interp','Close','Test') NOT NULL DEFAULT 'None',
`date` VARCHAR(10) NOT NULL DEFAULT '',
`time` VARCHAR(8) NOT NULL DEFAULT '',
`sDiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated implied sdiv rate (from LiveSurfaceFixedTerm.sDiv_N)',
`fwdUPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated implied forward price (from LiveSurfaceFixedTerm.fwdUPrc_N)',
`eCnt` INT NOT NULL DEFAULT 0 COMMENT 'Number of expected earnings dates (from LiveSurfaceFixedTerm.eCnt_N)',
`iEMove` FLOAT NOT NULL DEFAULT 0 COMMENT 'Implied earnings move (from LiveSurfaceFixedTerm.eMove)',
`hEMove` FLOAT NOT NULL DEFAULT 0 COMMENT 'Historical earnings move (from LiveSurfaceFixedTerm.eMoveHist)',
`volD45` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -45 (censored volatility)',
`volD40` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -40',
`volD35` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -35',
`volD30` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -30',
`volD25` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -25',
`volD20` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -20',
`volD15` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -15',
`volD10` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -10',
`volD05` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -5',
`volA00` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = 0',
`volU05` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +5',
`volU10` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +10',
`volU15` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +15',
`volU20` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +20',
`volU25` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +25',
`volU30` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +30',
`volU35` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +35',
`volU40` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +40',
`volU45` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +45',
`vWidth` FLOAT NOT NULL DEFAULT 0 COMMENT 'atm volatility width (from LiveSurfaceFixedTerm.vWidth_N)',
`vSlope` FLOAT NOT NULL DEFAULT 0 COMMENT 'atm volatility slope (from LiveSurfaceFixedTerm.vSlope_N)',
`loYears` FLOAT NOT NULL DEFAULT 0 COMMENT 'LiveSurfaceCurve.years before days [-1 = none]',
`hiYears` FLOAT NOT NULL DEFAULT 0 COMMENT 'LiveSurfaceCurve.years after days [-1 = none]',
`minDelta` FLOAT NOT NULL DEFAULT 0 COMMENT 'minimum valid strike delta',
`maxDelta` FLOAT NOT NULL DEFAULT 0 COMMENT 'maximum valid strike delta',
`timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'surface fit timestamp',
PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`,`days`,`surfaceType`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='LiveSurfaceFixedGrid records contain live interpolated censored surface volatilities across a range of delta strikes and fixed days to expiration.\nEach record contains the implied and realized earnings move for the ticker, along with the forecasted earnings count, forward, sdiv, skew slope, and vol width correspoding to its days to expiration.';
SELECT TABLE EXAMPLE QUERY
SELECT
`ticker_at`,
`ticker_ts`,
`ticker_tk`,
`days`,
`surfaceType`,
`date`,
`time`,
`sDiv`,
`fwdUPrc`,
`eCnt`,
`iEMove`,
`hEMove`,
`volD45`,
`volD40`,
`volD35`,
`volD30`,
`volD25`,
`volD20`,
`volD15`,
`volD10`,
`volD05`,
`volA00`,
`volU05`,
`volU10`,
`volU15`,
`volU20`,
`volU25`,
`volU30`,
`volU35`,
`volU40`,
`volU45`,
`vWidth`,
`vSlope`,
`loYears`,
`hiYears`,
`minDelta`,
`maxDelta`,
`timestamp`
FROM `SRAnalytics`.`MsgLiveSurfaceFixedGrid`
WHERE
/* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */
`ticker_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','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF') */
`ticker_ts` = 'None'
AND
/* Replace with a VARCHAR(12) */
`ticker_tk` = 'Example_ticker_tk'
AND
/* Replace with a SMALLINT */
`days` = 0
AND
/* Replace with a ENUM('None','Live','PrevDay','Interp','Close','Test') */
`surfaceType` = 'None';
Doc Columns Query
SELECT * FROM SRAnalytics.doccolumns WHERE TABLE_NAME='LiveSurfaceFixedGrid' ORDER BY ordinal_position ASC;