LiveIVarSwapFixedTerm

V8 Message Definiton

LiveVarSwapFixedTerm records contain a live implied variance term record at standardized days-to-expiration.

METADATA

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

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	''
surfaceType	enum - SurfaceCurveType	PRI	'None'
iVarSwap_5d	FLOAT		0	Interpolated 5 day integrated surface variance
iVarSwap_10d	FLOAT		0	Interpolated 10 day integrated surface variance
iVarSwap_21d	FLOAT		0	Interpolated 21 day integrated surface variance
iVarSwap_42d	FLOAT		0	Interpolated 42 day integrated surface variance
iVarSwap_63d	FLOAT		0	Interpolated 63 day integrated surface variance
iVarSwap_84d	FLOAT		0	Interpolated 84 day integrated surface variance
iVarSwap_105d	FLOAT		0	Interpolated 105 day integrated surface variance
iVarSwap_126d	FLOAT		0	Interpolated 126 day integrated surface variance
iVarSwap_189d	FLOAT		0	Interpolated 189 day integrated surface variance
iVarSwap_252d	FLOAT		0	Interpolated 252 day integrated surface variance
iVarSwap_378d	FLOAT		0	Interpolated 378 day integrated surface variance
iVarSwap_504d	FLOAT		0	Interpolated 504 day integrated surface variance
status	enum - CurveStatus		'None'
time	TIME(6)		'00:00:00.000000'
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	update timestamp

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
ticker_tk	1
ticker_at	2
ticker_ts	3
surfaceType	4

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgLiveIVarSwapFixedTerm` (
    `ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') 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','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `surfaceType` ENUM('None','Live','PrevDay','Interp','Close','Test') NOT NULL DEFAULT 'None',
    `iVarSwap_5d` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated 5 day integrated surface variance',
    `iVarSwap_10d` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated 10 day integrated surface variance',
    `iVarSwap_21d` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated 21 day integrated surface variance',
    `iVarSwap_42d` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated 42 day integrated surface variance',
    `iVarSwap_63d` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated 63 day integrated surface variance',
    `iVarSwap_84d` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated 84 day integrated surface variance',
    `iVarSwap_105d` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated 105 day integrated surface variance',
    `iVarSwap_126d` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated 126 day integrated surface variance',
    `iVarSwap_189d` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated 189 day integrated surface variance',
    `iVarSwap_252d` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated 252 day integrated surface variance',
    `iVarSwap_378d` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated 378 day integrated surface variance',
    `iVarSwap_504d` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated 504 day integrated surface variance',
    `status` ENUM('None','Normal','Closed') NOT NULL DEFAULT 'None',
    `time` TIME(6) NOT NULL DEFAULT '00:00:00.000000',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'update timestamp',
    PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`,`surfaceType`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='LiveVarSwapFixedTerm records contain a live implied variance term record at standardized days-to-expiration.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `surfaceType`,
    `iVarSwap_5d`,
    `iVarSwap_10d`,
    `iVarSwap_21d`,
    `iVarSwap_42d`,
    `iVarSwap_63d`,
    `iVarSwap_84d`,
    `iVarSwap_105d`,
    `iVarSwap_126d`,
    `iVarSwap_189d`,
    `iVarSwap_252d`,
    `iVarSwap_378d`,
    `iVarSwap_504d`,
    `status`,
    `time`,
    `timestamp`
FROM `SRAnalytics`.`MsgLiveIVarSwapFixedTerm`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `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','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','NXOS','NXP','EUREX','CEDX','ICEFE') */ 
    `ticker_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ticker_tk` = 'Example_ticker_tk'
  AND
    /* Replace with a ENUM('None','Live','PrevDay','Interp','Close','Test') */ 
    `surfaceType` = 'None';

Doc Columns Query

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