LiveImpliedQuoteAdj

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'
okey_ts	enum - TickerSrc	PRI	'None'
okey_tk	VARCHAR(12)	PRI	''
okey_yr	SMALLINT UNSIGNED	PRI, SEC	0
okey_mn	TINYINT UNSIGNED	PRI, SEC	0
okey_dy	TINYINT UNSIGNED	PRI, SEC	0
okey_xx	DOUBLE	PRI	0
okey_cp	enum - CallPut	PRI	'Call'
ticker_at	enum - AssetType		'None'
ticker_ts	enum - TickerSrc		'None'
ticker_tk	VARCHAR(12)	SEC	''
uprc	FLOAT		0	underlier price usually midmarket
years	FLOAT		0	years to expiration
rate	FLOAT		0	interest rate
sdiv	FLOAT		0	sdiv stock dividend rate
ddiv	FLOAT		0	cumulative discrete dividend values
obid	FLOAT		0	option bid price
oask	FLOAT		0	option ask price
obiv	FLOAT		0	volatility implied by option bid price
oaiv	FLOAT		0	volatility implied by option ask price
satm	FLOAT		0	option atm volatility from SR surface
smny	FLOAT		0	option moneyness
svol	FLOAT		0	option surface volatility
sprc	FLOAT		0	option surface price
smrk	FLOAT		0	option surface price wbounding rules
veSlope	FLOAT		0	veSlope dVol dUprc assuming vol xAxis 0 remains constanthedgeDelta de ve 100 veSlope if hedging with this assumption
de	FLOAT		0	option delta
ga	FLOAT		0	option gamma
th	FLOAT		0	option theta
ve	FLOAT		0	option vega
va	FLOAT		0	option vanna
vo	FLOAT		0	option volga
ro	FLOAT		0	option rho
ph	FLOAT		0	option phi
deDecay	FLOAT		0	option delta decay
up50	FLOAT		0	underlier up 50 slide
dn50	FLOAT		0	underlier dn 50 slide
up15	FLOAT		0	underlier up 15 slide
dn15	FLOAT		0	underlier dn 15 slide
up06	FLOAT		0	underlier up 6 slide
dn08	FLOAT		0	underlier dn 8 slide
synSpot	DOUBLE		0	Synthetic spot price marketderived spot when the underlying is not a traded instrument
priceType	enum - CalcPriceType		'None'	Equity or Future Black76 pricing framework if Future then uPrc is the forwardUPrc and sdiv rate
calcErr	VARCHAR(24)		''	option pricing error if any
calcSource	enum - CalcSource		'None'
uPrcAdjResult	enum - AdjResult		'None'
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'

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

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`.`MsgLiveImpliedQuoteAdj` (
    `okey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
    `okey_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',
    `okey_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `okey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_xx` DOUBLE NOT NULL DEFAULT 0,
    `okey_cp` ENUM('Call','Put','Pair') NOT NULL DEFAULT 'Call',
    `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','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `uprc` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier price (usually mid-market)',
    `years` FLOAT NOT NULL DEFAULT 0 COMMENT 'years to expiration',
    `rate` FLOAT NOT NULL DEFAULT 0 COMMENT 'interest rate',
    `sdiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'sdiv (stock dividend) rate',
    `ddiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'cumulative discrete dividend values',
    `obid` FLOAT NOT NULL DEFAULT 0 COMMENT 'option bid price',
    `oask` FLOAT NOT NULL DEFAULT 0 COMMENT 'option ask price',
    `obiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'volatility implied by option bid price',
    `oaiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'volatility implied by option ask price',
    `satm` FLOAT NOT NULL DEFAULT 0 COMMENT 'option atm volatility (from SR surface)',
    `smny` FLOAT NOT NULL DEFAULT 0 COMMENT 'option moneyness',
    `svol` FLOAT NOT NULL DEFAULT 0 COMMENT 'option surface volatility',
    `sprc` FLOAT NOT NULL DEFAULT 0 COMMENT 'option surface price',
    `smrk` FLOAT NOT NULL DEFAULT 0 COMMENT 'option surface price (w/bounding rules)',
    `veSlope` FLOAT NOT NULL DEFAULT 0 COMMENT 'veSlope = dVol / dUprc (assuming vol @ xAxis = 0 remains constant);hedgeDelta = (de + ve * 100 * veSlope) if hedging with this assumption',
    `de` FLOAT NOT NULL DEFAULT 0 COMMENT 'option delta',
    `ga` FLOAT NOT NULL DEFAULT 0 COMMENT 'option gamma',
    `th` FLOAT NOT NULL DEFAULT 0 COMMENT 'option theta',
    `ve` FLOAT NOT NULL DEFAULT 0 COMMENT 'option vega',
    `va` FLOAT NOT NULL DEFAULT 0 COMMENT 'option vanna',
    `vo` FLOAT NOT NULL DEFAULT 0 COMMENT 'option volga',
    `ro` FLOAT NOT NULL DEFAULT 0 COMMENT 'option rho',
    `ph` FLOAT NOT NULL DEFAULT 0 COMMENT 'option phi',
    `deDecay` FLOAT NOT NULL DEFAULT 0 COMMENT 'option delta decay',
    `up50` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier up 50% slide',
    `dn50` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier dn 50% slide',
    `up15` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier up 15% slide',
    `dn15` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier dn 15% slide',
    `up06` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier up 6% slide',
    `dn08` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier dn 8% slide',
    `synSpot` DOUBLE NOT NULL DEFAULT 0 COMMENT 'Synthetic spot price (market-derived spot when the underlying is not a traded instrument)',
    `priceType` ENUM('None','Equity','Future') NOT NULL DEFAULT 'None' COMMENT 'Equity or Future (Black76) pricing framework;  if Future then uPrc is the forwardUPrc and sdiv = rate',
    `calcErr` VARCHAR(24) NOT NULL DEFAULT '' COMMENT 'option pricing error (if any)',
    `calcSource` ENUM('None','Tick','Loop') NOT NULL DEFAULT 'None',
    `uPrcAdjResult` ENUM('None','OK','InvalidUPrc','UPrcRangeErr','OtherError','NullOption','StaleUPrc') NOT NULL DEFAULT 'None',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    PRIMARY KEY USING HASH (`okey_tk`,`okey_yr`,`okey_mn`,`okey_dy`,`okey_xx`,`okey_cp`,`okey_at`,`okey_ts`),
    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`,
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `uprc`,
    `years`,
    `rate`,
    `sdiv`,
    `ddiv`,
    `obid`,
    `oask`,
    `obiv`,
    `oaiv`,
    `satm`,
    `smny`,
    `svol`,
    `sprc`,
    `smrk`,
    `veSlope`,
    `de`,
    `ga`,
    `th`,
    `ve`,
    `va`,
    `vo`,
    `ro`,
    `ph`,
    `deDecay`,
    `up50`,
    `dn50`,
    `up15`,
    `dn15`,
    `up06`,
    `dn08`,
    `synSpot`,
    `priceType`,
    `calcErr`,
    `calcSource`,
    `uPrcAdjResult`,
    `timestamp`
FROM `SRAnalytics`.`MsgLiveImpliedQuoteAdj`
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','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','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';

Doc Columns Query

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