LiveAtmVol

V8 Message Definiton

LiveAtmVol records are computed and publish continuously during trading hours

METADATA

Attribute	Value
Topic	1000-analytics
MLink Token	OptSurface
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
ticker_at	enum - AssetType		'None'	underlying tickerKey stock or product group that this option expiration is associated with
ticker_ts	enum - TickerSrc		'None'	underlying tickerKey stock or product group that this option expiration is associated with
ticker_tk	VARCHAR(12)		''	underlying tickerKey stock or product group that this option expiration is associated with
uPrc	DOUBLE		0	effective underlier price
years	FLOAT		0	SR years to expiry metric
rate	FLOAT		0	average expected interest rate to expiry SR global rate curve
ddiv	FLOAT		0	expected cumulative discrete dividend amounts prior to expiration if any
ddivPv	FLOAT		0	expected cumulative npv of discrete dividend amounts prior to expiration SR global rate curve if any
ddivSource	enum - DDivSource		'None'	Forecast if any of the dividends prior to expiry are forecast rather than announced
atmVol	FLOAT		0	atm vol xAxis 0
atmEMA	FLOAT		0	atm vol exp moving average halflife 30 seconds
uPrcRatio	DOUBLE		0	uPrc uPrcDriver uPrcRatio when priceType Future uPrc uPrcDriver when priceType Equity
uPrcRatioEMA	DOUBLE		0	time smoothed implied uPrcRatio halflife 30 seconds
sdiv	FLOAT		0	stock dividend borrow rate derived from callput balance when priceTypeStock rate otherwise
sdivEMA	FLOAT		0	sdiv exp moving average halflife 30 seconds
minCPAdjVal	DOUBLE		0	minimum cpAdjVal sdiv or uPrcRatio
maxCPAdjVal	DOUBLE		0	minimum cpAdjVal sdiv or uPrcRatio
cpAdjType	enum - CPAdjType		'None'	adjustment used to align callsputs
priceType	enum - CalcPriceType		'None'	Equity has independent uPrc and rate with sdiv derived from callput balance Future has sdiv rate with uPrc derived from callput balance
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
uPrcDriver	DOUBLE		0	underlier driver midmarket
axisFUPrc	FLOAT		0	forward underlier price also atthemoney xAxis 0 synthetic strike
synSpot	DOUBLE		0	Synthetic spot price marketderived spot when the underlying is not a traded instrument
vWidth	FLOAT		0	atm volatility market width estimated from near expiries
numAtmStrikes	TINYINT UNSIGNED		0
tradeableStatus	enum - TradeableStatus		'None'	indicates whether the surface is currently tradeable or not all server surface integrity checks pass
surfaceResult	enum - SurfaceAdjResult		'None'
netTimestamp	BIGINT		0	most recent unix timestamp all option quotes
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`.`MsgLiveAtmVol` (
    `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,
    `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 tickerKey (stock or product group) that this option expiration is associated with',
    `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 tickerKey (stock or product group) that this option expiration is associated with',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'underlying tickerKey (stock or product group) that this option expiration is associated with',
    `uPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'effective underlier price',
    `years` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR years to expiry metric',
    `rate` FLOAT NOT NULL DEFAULT 0 COMMENT 'average expected interest rate to expiry (SR global rate curve)',
    `ddiv` FLOAT NOT NULL DEFAULT 0 COMMENT '(expected) cumulative discrete dividend $ amounts prior to expiration (if any)',
    `ddivPv` FLOAT NOT NULL DEFAULT 0 COMMENT '(expected) cumulative npv of discrete dividend $ amounts prior to expiration (SR global rate curve) (if any)',
    `ddivSource` ENUM('None','Announced','Forecast') NOT NULL DEFAULT 'None' COMMENT 'Forecast if any of the dividends prior to expiry are forecast rather than announced',
    `atmVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'atm vol (xAxis = 0)',
    `atmEMA` FLOAT NOT NULL DEFAULT 0 COMMENT 'atm vol exp moving average (half-life ~ 30 seconds)',
    `uPrcRatio` DOUBLE NOT NULL DEFAULT 0 COMMENT 'uPrc = uPrcDriver * uPrcRatio (when priceType = Future); uPrc = uPrcDriver (when priceType = Equity)',
    `uPrcRatioEMA` DOUBLE NOT NULL DEFAULT 0 COMMENT 'time smoothed implied uPrcRatio (half-life ~ 30 seconds)',
    `sdiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'stock dividend (borrow rate) (derived from call/put balance when priceType=Stock; =rate otherwise)',
    `sdivEMA` FLOAT NOT NULL DEFAULT 0 COMMENT 'sdiv exp moving average (half-life ~ 30 seconds)',
    `minCPAdjVal` DOUBLE NOT NULL DEFAULT 0 COMMENT 'minimum cpAdjVal (sdiv or uPrcRatio)',
    `maxCPAdjVal` DOUBLE NOT NULL DEFAULT 0 COMMENT 'minimum cpAdjVal (sdiv or uPrcRatio)',
    `cpAdjType` ENUM('None','SDiv','UPrcRatio') NOT NULL DEFAULT 'None' COMMENT 'adjustment used to align calls/puts',
    `priceType` ENUM('None','Equity','Future') NOT NULL DEFAULT 'None' COMMENT '[Equity] has independent uPrc and rate with sdiv derived from call/put balance; [Future] has sdiv = rate with uPrc'' derived from call/put balance',
    `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)',
    `uPrcDriver` DOUBLE NOT NULL DEFAULT 0 COMMENT 'underlier driver (mid-market)',
    `axisFUPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'forward underlier price;  also at-the-money (xAxis = 0) synthetic strike',
    `synSpot` DOUBLE NOT NULL DEFAULT 0 COMMENT 'Synthetic spot price (market-derived spot when the underlying is not a traded instrument)',
    `vWidth` FLOAT NOT NULL DEFAULT 0 COMMENT 'atm volatility market width (estimated from near expiries)',
    `numAtmStrikes` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `tradeableStatus` ENUM('None','OK','SurfaceErr','LowCCnt','LowPCnt','FitPrcErr','BidAskMiss','LowCounter','DefaultSkew','SessionMiss','BaseErr','SwitchDelay','WideMktV','WideMktP','WideUMkt','UWidthEma','CCntEma','PCntEma','VWidthEma','PWidthEma','Closed') NOT NULL DEFAULT 'None' COMMENT 'indicates whether the surface is currently tradeable or not (all server surface integrity checks pass)',
    `surfaceResult` ENUM('None','OK','Exception','AxisError','MarketClosed','NoBaseSurface','NoFutUPrc','NoStkUPrc','NullStock','UnknownFKey','ZeroYrs','MarketHalted','WideUMkt','BaseSurface','NotEnoughStrikes','KernelIVErr','KernelCPErr','ProxyError','BadAtmVol','BadSDiv','BadUOff','NoBaseAtmVol','NoDriverStock','NoDriverFuture') NOT NULL DEFAULT 'None',
    `netTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'most recent unix timestamp (all option quotes)',
    `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='LiveAtmVol records are computed and publish continuously during trading hours';

SELECT TABLE EXAMPLE QUERY

SELECT
    `ekey_at`,
    `ekey_ts`,
    `ekey_tk`,
    `ekey_yr`,
    `ekey_mn`,
    `ekey_dy`,
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `uPrc`,
    `years`,
    `rate`,
    `ddiv`,
    `ddivPv`,
    `ddivSource`,
    `atmVol`,
    `atmEMA`,
    `uPrcRatio`,
    `uPrcRatioEMA`,
    `sdiv`,
    `sdivEMA`,
    `minCPAdjVal`,
    `maxCPAdjVal`,
    `cpAdjType`,
    `priceType`,
    `uPrcDriverKey_at`,
    `uPrcDriverKey_ts`,
    `uPrcDriverKey_tk`,
    `uPrcDriverKey_yr`,
    `uPrcDriverKey_mn`,
    `uPrcDriverKey_dy`,
    `uPrcDriverType`,
    `uPrcDriver`,
    `axisFUPrc`,
    `synSpot`,
    `vWidth`,
    `numAtmStrikes`,
    `tradeableStatus`,
    `surfaceResult`,
    `netTimestamp`,
    `timestamp`
FROM `SRAnalytics`.`MsgLiveAtmVol`
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;

Doc Columns Query

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