StockBetaExt

V8 Message Definiton

Beta values are computed nightly for a few different indexes and industries.

METADATA

Attribute	Value
Topic	3225-market-statistics
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	''
status	enum - BetaStatus		'None'
betaInd	FLOAT		0	SR beta to IND
betaSub	FLOAT		0	SR beta to SUB
betaGrp	FLOAT		0	SR beta to GRP
betaNbr	FLOAT		0	SR beta to NBR
betaSPY	FLOAT		0	SR beta 2 year weekly fri fri
betaSPY_R2	FLOAT		0	SR beta R2 2 year weekly fri fri
betaQQQ	FLOAT		0	SR beta 2 year weekly fri fri
betaQQQ_R2	FLOAT		0	SR beta R2 2 year weekly fri fri
betaIWM	FLOAT		0	SR beta 2 year weekly fri fri
betaIWM_R2	FLOAT		0	SR beta R2 2 year weekly fri fri
betaEEM	FLOAT		0	SR beta 2 year weekly fri fri
betaEEM_R2	FLOAT		0	SR beta R2 2 year weekly fri fri
betaEFA	FLOAT		0	SR beta 2 year weekly fri fri
betaEFA_R2	FLOAT		0	SR beta R2 2 year weekly fri fri
betaTicker_at	enum - AssetType		'None'	ETF ticker with the largest beta R2 from the set of ETFs with significant option volume
betaTicker_ts	enum - TickerSrc		'None'	ETF ticker with the largest beta R2 from the set of ETFs with significant option volume
betaTicker_tk	VARCHAR(12)		''	ETF ticker with the largest beta R2 from the set of ETFs with significant option volume
betaValue	FLOAT		0	beta value for the above ticker
betaR2	FLOAT		0	R2 value for the above ticker
betaTickerA_at	enum - AssetType		'None'	ETF ticker A with the largest joint AB beta R2 Y a betaA A betaB B
betaTickerA_ts	enum - TickerSrc		'None'	ETF ticker A with the largest joint AB beta R2 Y a betaA A betaB B
betaTickerA_tk	VARCHAR(12)		''	ETF ticker A with the largest joint AB beta R2 Y a betaA A betaB B
betaTickerB_at	enum - AssetType		'None'	ETF ticker B with the largest joint AB beta R2
betaTickerB_ts	enum - TickerSrc		'None'	ETF ticker B with the largest joint AB beta R2
betaTickerB_tk	VARCHAR(12)		''	ETF ticker B with the largest joint AB beta R2
betaValueA	FLOAT		0	joint beta value for TickerA
betaValueB	FLOAT		0	joint beta value for TickerB
betaR2B	FLOAT		0	joint R2 value for the TickerA TickerB
betaSPY1y	FLOAT		0	SR beta 1 year weekly fri fri
betaSPY1y_R2	FLOAT		0	SR beta R2 1 year weekly fri fri
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
ticker_tk	1
ticker_at	2
ticker_ts	3

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgStockBetaExt` (
    `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 '',
    `status` ENUM('None','InsuffPrcPts','Ok') NOT NULL DEFAULT 'None',
    `betaInd` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta to IND',
    `betaSub` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta to SUB',
    `betaGrp` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta to GRP',
    `betaNbr` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta to NBR',
    `betaSPY` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta [2 year; weekly (fri - fri)]',
    `betaSPY_R2` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta R2 [2 year; weekly (fri - fri)]',
    `betaQQQ` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta [2 year; weekly (fri - fri)]',
    `betaQQQ_R2` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta R2 [2 year; weekly (fri - fri)]',
    `betaIWM` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta [2 year; weekly (fri - fri)]',
    `betaIWM_R2` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta R2 [2 year; weekly (fri - fri)]',
    `betaEEM` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta [2 year; weekly (fri - fri)]',
    `betaEEM_R2` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta R2 [2 year; weekly (fri - fri)]',
    `betaEFA` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta [2 year; weekly (fri - fri)]',
    `betaEFA_R2` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta R2 [2 year; weekly (fri - fri)]',
    `betaTicker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'ETF ticker with the largest beta R2 [from the set of ETF''s with significant option volume]',
    `betaTicker_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 'ETF ticker with the largest beta R2 [from the set of ETF''s with significant option volume]',
    `betaTicker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'ETF ticker with the largest beta R2 [from the set of ETF''s with significant option volume]',
    `betaValue` FLOAT NOT NULL DEFAULT 0 COMMENT 'beta value for the above ticker',
    `betaR2` FLOAT NOT NULL DEFAULT 0 COMMENT 'R2 value for the above ticker',
    `betaTickerA_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'ETF ticker A with the largest joint (A+B) beta R2 [Y ~ a + betaA * A + betaB * B]',
    `betaTickerA_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 'ETF ticker A with the largest joint (A+B) beta R2 [Y ~ a + betaA * A + betaB * B]',
    `betaTickerA_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'ETF ticker A with the largest joint (A+B) beta R2 [Y ~ a + betaA * A + betaB * B]',
    `betaTickerB_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'ETF ticker B with the largest joint (A+B) beta R2',
    `betaTickerB_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 'ETF ticker B with the largest joint (A+B) beta R2',
    `betaTickerB_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'ETF ticker B with the largest joint (A+B) beta R2',
    `betaValueA` FLOAT NOT NULL DEFAULT 0 COMMENT 'joint beta value for TickerA',
    `betaValueB` FLOAT NOT NULL DEFAULT 0 COMMENT 'joint beta value for TickerB',
    `betaR2B` FLOAT NOT NULL DEFAULT 0 COMMENT 'joint R2 value for the TickerA + TickerB',
    `betaSPY1y` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta [1 year; weekly (fri - fri)]',
    `betaSPY1y_R2` FLOAT NOT NULL DEFAULT 0 COMMENT 'SR beta R2 [1 year; weekly (fri - fri)]',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='Beta values are computed nightly for a few different indexes and industries.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `status`,
    `betaInd`,
    `betaSub`,
    `betaGrp`,
    `betaNbr`,
    `betaSPY`,
    `betaSPY_R2`,
    `betaQQQ`,
    `betaQQQ_R2`,
    `betaIWM`,
    `betaIWM_R2`,
    `betaEEM`,
    `betaEEM_R2`,
    `betaEFA`,
    `betaEFA_R2`,
    `betaTicker_at`,
    `betaTicker_ts`,
    `betaTicker_tk`,
    `betaValue`,
    `betaR2`,
    `betaTickerA_at`,
    `betaTickerA_ts`,
    `betaTickerA_tk`,
    `betaTickerB_at`,
    `betaTickerB_ts`,
    `betaTickerB_tk`,
    `betaValueA`,
    `betaValueB`,
    `betaR2B`,
    `betaSPY1y`,
    `betaSPY1y_R2`,
    `timestamp`
FROM `SRAnalytics`.`MsgStockBetaExt`
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';

Doc Columns Query

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