LiveBasisCurve

V8 Message Definiton

var = vol^2 = skewMult * skewFN[ xMult * (xAxis - xShift) ]

METADATA

Attribute	Value
Topic	1000-analytics
MLink Token	SRMLinkAnalytics
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
surfaceType	enum - SurfaceCurveType	PRI	'None'
minX	DOUBLE		0	for x in minX maxX y spline for x minX y leftA leftB x for x maxX y rightA rightB x
maxX	DOUBLE		0
leftA	DOUBLE		0
leftB	DOUBLE		0
rightA	DOUBLE		0
rightB	DOUBLE		0
numPoints	INT		0	number of points used in basisFN fit
numExpiries	INT		0	number of underlierexpiries used in basisFN fit
fitMAE	DOUBLE		0	final basisFN fit mean abs error
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'
PointList	JSON		'JSON_ARRAY()'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
ekey_tk	1
ekey_yr	2
ekey_mn	3
ekey_dy	4
ekey_at	5
ekey_ts	6
surfaceType	7

JSON Block (PointList)

Field	Type	Comment
x	enum - x	skew x axis
y	enum - y	skew fn value usually y10 x00

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgLiveBasisCurve` (
    `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','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','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,
    `surfaceType` ENUM('None','Live','PrevDay','Interp','Close','Test') NOT NULL DEFAULT 'None',
    `minX` DOUBLE NOT NULL DEFAULT 0 COMMENT 'for x in (minX, maxX) y = spline(.); for x < minX: y = leftA + leftB * x; for x > maxX: y = rightA + rightB * x;',
    `maxX` DOUBLE NOT NULL DEFAULT 0,
    `leftA` DOUBLE NOT NULL DEFAULT 0,
    `leftB` DOUBLE NOT NULL DEFAULT 0,
    `rightA` DOUBLE NOT NULL DEFAULT 0,
    `rightB` DOUBLE NOT NULL DEFAULT 0,
    `numPoints` INT NOT NULL DEFAULT 0 COMMENT 'number of points used in basisFN fit',
    `numExpiries` INT NOT NULL DEFAULT 0 COMMENT 'number of underlier/expiries used in basisFN fit',
    `fitMAE` DOUBLE NOT NULL DEFAULT 0 COMMENT 'final basisFN fit mean abs error',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    `PointList` JSON NOT NULL DEFAULT JSON_ARRAY() CHECK(JSON_VALID(PointList)),
    PRIMARY KEY USING HASH (`ekey_tk`,`ekey_yr`,`ekey_mn`,`ekey_dy`,`ekey_at`,`ekey_ts`,`surfaceType`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='var = vol^2 = skewMult * skewFN[ xMult * (xAxis - xShift) ]';

SELECT TABLE EXAMPLE QUERY

SELECT
    `ekey_at`,
    `ekey_ts`,
    `ekey_tk`,
    `ekey_yr`,
    `ekey_mn`,
    `ekey_dy`,
    `surfaceType`,
    `minX`,
    `maxX`,
    `leftA`,
    `leftB`,
    `rightA`,
    `rightB`,
    `numPoints`,
    `numExpiries`,
    `fitMAE`,
    `timestamp`,
    `PointList`
FROM `SRAnalytics`.`MsgLiveBasisCurve`
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','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','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
  AND
    /* Replace with a ENUM('None','Live','PrevDay','Interp','Close','Test') */ 
    `surfaceType` = 'None';

Doc Columns Query

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