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Version: Staging

StockBetaExt

V8 Message Definiton

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

METADATA

AttributeValue
Topic3225-market-statistics
MLink TokenSystemData
ProductSRAnalytics
accessTypeSELECT

Table Definition

FieldTypeKeyDefault ValueComment
ticker_atenum - AssetTypePRI'None'
ticker_tsenum - TickerSrcPRI'None'
ticker_tkVARCHAR(12)PRI''
statusenum - BetaStatus'None'
betaIndFLOAT0SR beta to IND
betaSubFLOAT0SR beta to SUB
betaGrpFLOAT0SR beta to GRP
betaNbrFLOAT0SR beta to NBR
betaSPYFLOAT0SR beta 2 year weekly fri fri
betaSPY_R2FLOAT0SR beta R2 2 year weekly fri fri
betaQQQFLOAT0SR beta 2 year weekly fri fri
betaQQQ_R2FLOAT0SR beta R2 2 year weekly fri fri
betaIWMFLOAT0SR beta 2 year weekly fri fri
betaIWM_R2FLOAT0SR beta R2 2 year weekly fri fri
betaEEMFLOAT0SR beta 2 year weekly fri fri
betaEEM_R2FLOAT0SR beta R2 2 year weekly fri fri
betaEFAFLOAT0SR beta 2 year weekly fri fri
betaEFA_R2FLOAT0SR beta R2 2 year weekly fri fri
betaTicker_atenum - AssetType'None'ETF ticker with the largest beta R2 from the set of ETFs with significant option volume
betaTicker_tsenum - TickerSrc'None'ETF ticker with the largest beta R2 from the set of ETFs with significant option volume
betaTicker_tkVARCHAR(12)''ETF ticker with the largest beta R2 from the set of ETFs with significant option volume
betaValueFLOAT0beta value for the above ticker
betaR2FLOAT0R2 value for the above ticker
betaTickerA_atenum - AssetType'None'ETF ticker A with the largest joint AB beta R2 Y a betaA A betaB B
betaTickerA_tsenum - TickerSrc'None'ETF ticker A with the largest joint AB beta R2 Y a betaA A betaB B
betaTickerA_tkVARCHAR(12)''ETF ticker A with the largest joint AB beta R2 Y a betaA A betaB B
betaTickerB_atenum - AssetType'None'ETF ticker B with the largest joint AB beta R2
betaTickerB_tsenum - TickerSrc'None'ETF ticker B with the largest joint AB beta R2
betaTickerB_tkVARCHAR(12)''ETF ticker B with the largest joint AB beta R2
betaValueAFLOAT0joint beta value for TickerA
betaValueBFLOAT0joint beta value for TickerB
betaR2BFLOAT0joint R2 value for the TickerA TickerB
betaSPY1yFLOAT0SR beta 1 year weekly fri fri
betaSPY1y_R2FLOAT0SR beta R2 1 year weekly fri fri
timestampDATETIME(6)'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

FieldSequence
ticker_tk1
ticker_at2
ticker_ts3

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;