LiveSurfaceAtm

V8 Message Definiton

METADATA

Attribute	Value
Topic	1000-analytics
MLink Token	OptSurface
Product	SRAnalytics
accessType	SELECT
MLink Endpoint	MLink-Live

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'
ticker_at	enum - AssetType		'None'	underlying stock key that this option expiration attaches to
ticker_ts	enum - TickerSrc		'None'	underlying stock key that this option expiration attaches to
ticker_tk	VARCHAR(12)		''	underlying stock key that this option expiration attaches to
fkey_at	enum - AssetType		'None'	future that this option expiration month written on if any
fkey_ts	enum - TickerSrc		'None'	future that this option expiration month written on if any
fkey_tk	VARCHAR(12)		''	future that this option expiration month written on if any
fkey_yr	SMALLINT UNSIGNED		0	future that this option expiration month written on if any
fkey_mn	TINYINT UNSIGNED		0	future that this option expiration month written on if any
fkey_dy	TINYINT UNSIGNED		0	future that this option expiration month written on if any
uBid	DOUBLE		0	underlier bid price
uAsk	DOUBLE		0	underlier ask price
years	FLOAT		0	time to expiration in years
rate	FLOAT		0	interest rate
sdiv	FLOAT		0	stock dividend borrow rate
ddiv	FLOAT		0	present value of discrete dividend stream
exType	TINYINT UNSIGNED		0	exercise type of the options used to compute this surface
modelType	TINYINT UNSIGNED		0	option pricing model used for price calcs
earnCnt	FLOAT		0	number of qualifying earnings events prior to expiration can be fractional from StockEarningsCalendar
earnCntAdj	FLOAT		0	number of qualifying earnings events prior to expiration adjusted from StockEarningsCalendar LiveSurfaceTerm
axisVolRT	FLOAT		0	axis volatility x sqrtyears used to compute xAxis usually 4m atm vol
axisFUPrc	FLOAT		0	axis FwdUPrc fwd underlying price used to compute xAxis
moneynessType	enum - MoneynessType		'None'	moneyness xAxis convention
underlierMode	enum - UnderlierMode		'None'	underlier pricing mode Noneuse spotstock market FrontMonthuse front month future market uPrcRatio Actual use actual underlier future market
priceQuoteType	enum - PriceQuoteType		'None'	Price or Vol
atmVol	FLOAT		0	atm vol xAxis 0
atmCen	FLOAT		0	atm vol xAxis 0 eMoveearnCntAdj censored
atmVolHist	FLOAT		0	historical realized volatility includes eMoveHist x earnCntAdj adjustment Note that this is the default atmVol if no implied markets existed previous day
atmCenHist	FLOAT		0	censored earnings events removed historical realized volatility Trailing periods is 2x forward time to expiration From HistoricalVolatilitywindowTypehlCenmvnnn
minAtmVol	FLOAT		0	minimum estimated atm vol
maxAtmVol	FLOAT		0	maximum estimated atm vol
iEMove	FLOAT		0	implied earnings move from LiveSurfaceTerm
hEMove	FLOAT		0	historical earnings move avg of trailing 8 moves From StockEarningsCalendareMoveHist
atmMove	FLOAT		0	fixed strike atm move from prior period
atmCenMove	FLOAT		0	fixed strike atm censored move from prior period
atmPhi	FLOAT		0	surface phi xAxis 0
atmVega	FLOAT		0	surface vega xAxis 0
slope	FLOAT		0	volatility surface slope dVol dXAxis ATM xAxis0
varSwapFV	FLOAT		0	variance swap fair value estimated by numerical integration over OTM price surface
gridType	enum - GridType		'None'	gridType defines D11 U12 xAxis points spline type
minXAxis	FLOAT		0	minimum xAxis value xAxis values to the left extrapolate horizontally
maxXAxis	FLOAT		0	maximum xAxis value xAxis values to the right extrapolate horizontally
minCurvValue	FLOAT		0	minimum curvature 2nd derivative of skew curve can be negative if curve is not strictly convex
minCurvXAxis	FLOAT		0	xAxis of minimum curvature point
maxCurvValue	FLOAT		0	maximum curvature 2nd derivative of skew curve
maxCurvXAxis	FLOAT		0	xAxis of maximum curvature point
skewMinX	FLOAT		0	xAxis effStrike effAxisFUPrc 10 axisVolRT effStrike strike strikeRatio effAxisFUPrc axisFUPrc symbolRatio
skewMinY	FLOAT		0	skewMinX skewMinY are the skew curve minimum point usually a positive x value and a negative y value
skewD11	FLOAT		0	skew D11 point volatility skew curve
skewD10	FLOAT		0	skew D10 point
skewD9	FLOAT		0	skew D9 point
skewD8	FLOAT		0	skew D8 point
skewD7	FLOAT		0	skew D7 point
skewD6	FLOAT		0	skew D6 point
skewD5	FLOAT		0	skew D5 point
skewD4	FLOAT		0	skew D4 point
skewD3	FLOAT		0	skew D3 point
skewD2	FLOAT		0	skew D2 point
skewD1	FLOAT		0	skew D1 point
skewC0	FLOAT		0	central value xAxis 0 usually zero
skewU1	FLOAT		0	skew U1 point
skewU2	FLOAT		0	skew U2 point
skewU3	FLOAT		0	skew U3 point
skewU4	FLOAT		0	skew U4 point
skewU5	FLOAT		0	skew U5 point
skewU6	FLOAT		0	skew U6 point
skewU7	FLOAT		0	skew U7 point
skewU8	FLOAT		0	skew U8 point
skewU9	FLOAT		0	skew U9 point
skewU10	FLOAT		0	skew U10 point
skewU11	FLOAT		0	skew U11 point
sdivD3	FLOAT		0	sdiv D3 point
sdivD2	FLOAT		0	sdiv D2 point
sdivD1	FLOAT		0	sdiv D1 point
sdivU1	FLOAT		0	sdiv U1 point
sdivU2	FLOAT		0	sdiv U2 point
sdivU3	FLOAT		0	sdiv U3 point
pwidth	FLOAT		0	minimum mkt premium width
vwidth	FLOAT		0	minimum mkt volatility width
cCnt	TINYINT UNSIGNED		0	num call strikes
pCnt	TINYINT UNSIGNED		0	num put strikes
cBidMiss	TINYINT UNSIGNED		0	number of call bid violations surface outside the market
cAskMiss	TINYINT UNSIGNED		0	number of call ask violations surface outside the market
pBidMiss	TINYINT UNSIGNED		0	number of put bid violations surface outside the market
pAskMiss	TINYINT UNSIGNED		0	number of put ask violations surface outside the market
fitAvgErr	FLOAT		0	surface fit R2 midmarket values
fitAvgAbsErr	FLOAT		0	mean square error midmarket values
fitMaxPrcErr	FLOAT		0	worst case surface premium violation
fitErrXX	FLOAT		0	okeyxx of the option with the largest fit error in this expiration
fitErrCP	enum - CallPut		'Call'	okeycp of the option with the largest fit error in this expiration
fitErrDe	FLOAT		0	delta of the option with the largest fit error in this expiration
fitErrBid	FLOAT		0	bid of the option with the largest fit error in this expiration
fitErrAsk	FLOAT		0	ask of the option with the largest fit error in this expiration
fitErrPrc	FLOAT		0	surface prc of the option with the largest fit error in this expiration
fitErrVol	FLOAT		0	surface vol of the option with the largest fit error in this expiration
counter	INT		0	message counter number of surface fits today
skewCounter	INT		0	skew surface fit counter
sdivCounter	INT		0	sdiv surface fit counter
tradingSession	enum - TradingSession		'None'	trading session this surface is from
tradeableStatus	enum - TradeableStatus		'None'	indicates whether the surface is currently tradeable or not all server surface integrity checks pass
surfaceResult	enum - SurfaceResult		'None'
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
surfaceType	7

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRAnalytics`.`MsgLiveSurfaceAtm`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */ 
    `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','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX') */ 
    `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='LiveSurfaceAtm' ORDER BY ordinal_position ASC;