LiveRevConQuote

V8 Message Definiton

METADATA

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

Table Definition

Field	Type	Key	Default Value	Comment
okey_at	enum - AssetType	PRI	'None'	cp Both
okey_ts	enum - TickerSrc	PRI	'None'	cp Both
okey_tk	VARCHAR(12)	PRI	''	cp Both
okey_yr	SMALLINT UNSIGNED	PRI, SEC	0	cp Both
okey_mn	TINYINT UNSIGNED	PRI, SEC	0	cp Both
okey_dy	TINYINT UNSIGNED	PRI, SEC	0	cp Both
okey_xx	DOUBLE	PRI	0	cp Both
okey_cp	enum - CallPut	PRI	'Call'	cp Both
tradeDate	DATE	PRI	'1900-01-01'
ticker_at	enum - AssetType		'None'	SR Ticker Product Group
ticker_ts	enum - TickerSrc		'None'	SR Ticker Product Group
ticker_tk	VARCHAR(12)	SEC	''	SR Ticker Product Group
xAxis	FLOAT		0	xAxis Moneyness
cDe	FLOAT		0	call delta
pDe	FLOAT		0	put delta
uPrc	DOUBLE		0	live underlier price
atmVol	FLOAT		0
years	FLOAT		0	number of volatility years to exiry date volatility time metric
globalRate	FLOAT		0	global rate average discount rate to expiry date
ddiv	FLOAT		0	sum of estimated discrete dividend stream to expiry date
ddivPv	FLOAT		0	present value of estimated discrete dividend stream to expiry date
ddivSource	enum - DDivSource		'None'	present value of estimated discrete dividend stream to expiry date
iDays	INT		0	number of interest calendar days to expiry
ddivDisc	FLOAT		0	dividend discount factor SUMdiv iDays 3650 divYrs due to dividends being paid thereby lowering the uPrc basis prior to expiry
strikePv	FLOAT		0	strike EXPglobalRate iDays 365
fairSVol	FLOAT		0	callput surface volatility value
fairSDiv	FLOAT		0	callput surface alignment sdiv value
fairCallPrc	FLOAT		0	fairPrice PRICEAMERICANuPrc years fairVol fairSDiv globalRate ddivStream
fairCallPrcE	FLOAT		0	fairPrice PRICEEUROPEANuPrc years fairVol fairSDiv globalRate ddivStream
fairPutPrc	FLOAT		0	fairPrice PRICEAMERICANuPrc years fairVol fairSDiv globalRate ddivStream
fairPutPrcE	FLOAT		0	fairPrice PRICEEUROPEANuPrc years fairVol fairSDiv globalRate ddivStream
rcFairPrc	FLOAT		0	fairCallPrc fairPutPrc uPrc strike revCon fairMid price
rcEExPrem	FLOAT		0	fairPutPrc fairPutPrcE fairCallPrc fairCallPrcE
fairLoanPv	FLOAT		0	fairCallPrc fairPutPrc uPrc strike strikePv ddivPv total present value of letting out shares term to expiry per share
fairLoanRate	FLOAT		0	fairLoanPv uPrc iDays 3650 ddivDisc
rcBidPrc	FLOAT		0	callBid putAsk uPrc strike best way join markets
rcAskPrc	FLOAT		0	callAsk putBid uPrc strike worst way cross markets
calcError	VARCHAR(16)		''
cpOI	INT		0	cp open interest market upper bound
cpVlm	INT		0	cp print volume this exchange upper bound
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	last update time Date

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
okey_tk	1
okey_yr	2
okey_mn	3
okey_dy	4
okey_xx	5
okey_cp	6
okey_at	7
okey_ts	8
tradeDate	9

SECONDARY INDEX (ExpirationIndex) (Not Unique)

Field	Sequence
okey_yr	1
okey_mn	2
okey_dy	3

SECONDARY INDEX (TickerIndex) (Not Unique)

Field	Sequence
ticker_tk	1

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgLiveRevConQuote` (
    `okey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'cp = Both',
    `okey_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 'cp = Both',
    `okey_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'cp = Both',
    `okey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'cp = Both',
    `okey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'cp = Both',
    `okey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'cp = Both',
    `okey_xx` DOUBLE NOT NULL DEFAULT 0 COMMENT 'cp = Both',
    `okey_cp` ENUM('Call','Put','Pair') NOT NULL DEFAULT 'Call' COMMENT 'cp = Both',
    `tradeDate` DATE NOT NULL DEFAULT '1900-01-01',
    `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 'SR Ticker (Product Group)',
    `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 'SR Ticker (Product Group)',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'SR Ticker (Product Group)',
    `xAxis` FLOAT NOT NULL DEFAULT 0 COMMENT 'xAxis = Moneyness',
    `cDe` FLOAT NOT NULL DEFAULT 0 COMMENT 'call delta',
    `pDe` FLOAT NOT NULL DEFAULT 0 COMMENT 'put delta',
    `uPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'live underlier price',
    `atmVol` FLOAT NOT NULL DEFAULT 0,
    `years` FLOAT NOT NULL DEFAULT 0 COMMENT 'number of volatility years to exiry date (volatility time metric)',
    `globalRate` FLOAT NOT NULL DEFAULT 0 COMMENT 'global rate (average discount rate) to expiry date',
    `ddiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'sum of estimated discrete dividend stream to expiry date',
    `ddivPv` FLOAT NOT NULL DEFAULT 0 COMMENT 'present value of estimated discrete dividend stream to expiry date',
    `ddivSource` ENUM('None','Announced','Forecast') NOT NULL DEFAULT 'None' COMMENT 'present value of estimated discrete dividend stream to expiry date',
    `iDays` INT NOT NULL DEFAULT 0 COMMENT 'number of interest (calendar) days to expiry',
    `ddivDisc` FLOAT NOT NULL DEFAULT 0 COMMENT 'dividend discount factor: SUM(div * iDays / 365.0 - divYrs) due to dividends being paid (thereby lowering the uPrc basis) prior to expiry',
    `strikePv` FLOAT NOT NULL DEFAULT 0 COMMENT 'strike * EXP(-globalRate * iDays / 365)',
    `fairSVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'call/put surface volatility value',
    `fairSDiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'call/put surface alignment sdiv value',
    `fairCallPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'fairPrice = PRICE.AMERICAN(uPrc, years, fairVol, fairSDiv, globalRate, {ddivStream})',
    `fairCallPrcE` FLOAT NOT NULL DEFAULT 0 COMMENT 'fairPrice = PRICE.EUROPEAN(uPrc, years, fairVol, fairSDiv, globalRate, {ddivStream})',
    `fairPutPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'fairPrice = PRICE.AMERICAN(uPrc, years, fairVol, fairSDiv, globalRate, {ddivStream})',
    `fairPutPrcE` FLOAT NOT NULL DEFAULT 0 COMMENT 'fairPrice = PRICE.EUROPEAN(uPrc, years, fairVol, fairSDiv, globalRate, {ddivStream})',
    `rcFairPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'fairCallPrc - fairPutPrc - uPrc + strike  (revCon fairMid price)',
    `rcEExPrem` FLOAT NOT NULL DEFAULT 0 COMMENT '(fairPutPrc - fairPutPrcE) - (fairCallPrc - fairCallPrcE)',
    `fairLoanPv` FLOAT NOT NULL DEFAULT 0 COMMENT 'fairCallPrc - fairPutPrc - uPrc + strike + strikePv + ddivPv  (total present value of letting out shares) (term to expiry) (per share)',
    `fairLoanRate` FLOAT NOT NULL DEFAULT 0 COMMENT 'fairLoanPv / (uPrc * iDays / 365.0 - ddivDisc)',
    `rcBidPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'callBid - putAsk - uPrc + strike (best way) (join markets)',
    `rcAskPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'callAsk - putBid - uPrc + strike (worst way) (cross markets)',
    `calcError` VARCHAR(16) NOT NULL DEFAULT '',
    `cpOI` INT NOT NULL DEFAULT 0 COMMENT 'c/p open interest (market) [upper bound]',
    `cpVlm` INT NOT NULL DEFAULT 0 COMMENT 'c/p print volume (this exchange) [upper bound]',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'last update time (Date)',
    PRIMARY KEY USING HASH (`okey_tk`,`okey_yr`,`okey_mn`,`okey_dy`,`okey_xx`,`okey_cp`,`okey_at`,`okey_ts`,`tradeDate`),
    KEY `ExpirationIndex` (`okey_yr`,`okey_mn`,`okey_dy`) USING HASH,
    KEY `TickerIndex` (`ticker_tk`) USING HASH
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='';

SELECT TABLE EXAMPLE QUERY

SELECT
    `okey_at`,
    `okey_ts`,
    `okey_tk`,
    `okey_yr`,
    `okey_mn`,
    `okey_dy`,
    `okey_xx`,
    `okey_cp`,
    `tradeDate`,
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `xAxis`,
    `cDe`,
    `pDe`,
    `uPrc`,
    `atmVol`,
    `years`,
    `globalRate`,
    `ddiv`,
    `ddivPv`,
    `ddivSource`,
    `iDays`,
    `ddivDisc`,
    `strikePv`,
    `fairSVol`,
    `fairSDiv`,
    `fairCallPrc`,
    `fairCallPrcE`,
    `fairPutPrc`,
    `fairPutPrcE`,
    `rcFairPrc`,
    `rcEExPrem`,
    `fairLoanPv`,
    `fairLoanRate`,
    `rcBidPrc`,
    `rcAskPrc`,
    `calcError`,
    `cpOI`,
    `cpVlm`,
    `timestamp`
FROM `SRAnalytics`.`MsgLiveRevConQuote`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `okey_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') */ 
    `okey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `okey_tk` = 'Example_okey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `okey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_dy` = 1
  AND
    /* Replace with a DOUBLE */ 
    `okey_xx` = 4.56
  AND
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `okey_cp` = 'Call'
  AND
    /* Replace with a DATE */
    `tradeDate` = '2022-01-01';

Doc Columns Query

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