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Version: Upcoming

LiveSurfaceDetail

V8 Message Definiton

LiveSurfaceDetail (surfaceType = 'Live') records are computed and publish continuously during trading hours and represent a current best implied volatility market fit details.\nSurfaceType = 'PriorDay' records contain the `closing surface record from the prior trading period (usually from just before the last main session close).

METADATA​

AttributeValue
Topic1000-analytics
MLink TokenSystemData
ProductSRAnalytics
accessTypeSELECT

Table Definition​

FieldTypeKeyDefault ValueComment
ekey_atenum - AssetTypePRI'None'
ekey_tsenum - TickerSrcPRI'None'
ekey_tkVARCHAR(12)PRI''
ekey_yrSMALLINT UNSIGNEDPRI0
ekey_mnTINYINT UNSIGNEDPRI0
ekey_dyTINYINT UNSIGNEDPRI0
surfaceTypeenum - SurfaceCurveTypePRI'None'
ticker_atenum - AssetType'None'underlying stock key that this option expiration attaches to
ticker_tsenum - TickerSrc'None'underlying stock key that this option expiration attaches to
ticker_tkVARCHAR(12)''underlying stock key that this option expiration attaches to
fkey_atenum - AssetType'None'underlying future key if any
fkey_tsenum - TickerSrc'None'underlying future key if any
fkey_tkVARCHAR(12)''underlying future key if any
fkey_yrSMALLINT UNSIGNED0underlying future key if any
fkey_mnTINYINT UNSIGNED0underlying future key if any
fkey_dyTINYINT UNSIGNED0underlying future key if any
uPrcDriverKey_atenum - AssetType'None'underlier driver key
uPrcDriverKey_tsenum - TickerSrc'None'underlier driver key
uPrcDriverKey_tkVARCHAR(12)''underlier driver key
uPrcDriverKey_yrSMALLINT UNSIGNED0underlier driver key
uPrcDriverKey_mnTINYINT UNSIGNED0underlier driver key
uPrcDriverKey_dyTINYINT UNSIGNED0underlier driver key
uPrcDriverTypeenum - SpdrKeyType'None'underlier driver key type stock or future
ddivFLOAT0expected cumulative discrete dividend amounts prior to expiration
ddivPvFLOAT0expected cumulative npv of discrete dividend amounts prior to expiration SR global rate curve
ddivSourceenum - DDivSource'None'Forecast if any of the dividends prior to expiry are forecast rather than announced
symbolRatioFLOAT0underlier price ratio usually 10 or a multihedge option price ratio if one exists
exTypeenum - ExerciseType'None'exercise type American or European
modelTypeenum - CalcModelType'None'option pricing model used for price calcs Normal LogNormal etc
priceTypeenum - CalcPriceType'None'Equity has independent sdiv and rate Future has sdiv rate
earnCntFLOAT0number of qualifying earnings events prior to expiration can be fractional from StockEarningsCalendar
earnCntAdjFLOAT0number of qualifying earnings events prior to expiration adjusted from StockEarningsCalendar LiveSurfaceTerm
moneynessTypeenum - MoneynessType'None'moneyness xAxis convention
priceQuoteTypeenum - PriceQuoteType'None'Price or Vol
atmVolHistFLOAT0historical realized volatility includes eMoveHist x earnCntAdj adjustment Note that this is the default atmVol if no implied markets existed previous day
atmCenHistFLOAT0censored earnings events removed historical realized volatility Trailing periods is 2x forward time to expiration From HistoricalVolatilitywindowTypehlCenmvnnn
uBetaHistFLOAT0beta this underlier vs basis underlier T 1 week
eMoveFLOAT0implied earnings move from LiveSurfaceTerm
eMoveHistFLOAT0historical earnings move avg of trailing 8 moves From StockEarningsCalendareMoveHist
minXAxisFLOAT0minimum xAxis value left most point with a valid supporting strike
maxXAxisFLOAT0maximum xAxis value right most point with a valid supporting strike
atmPhiFLOAT0surface phi xAxis 0
atmRhoFLOAT0surface rho xAxis 0
atmVegaFLOAT0surface vega xAxis 0
uPrcRatioDOUBLE0uPrcAdj uPrc uPrcRatioFit
pwidthFLOAT0minimum mkt premium width
vwidthFLOAT0minimum mkt volatility width
cCntSMALLINT UNSIGNED0num call strikes in base fit
pCntSMALLINT UNSIGNED0num put strikes in base fit
hasBracketMinenum - YesNo'None'
surfaceSkewTypeenum - SurfaceSkewType'None'
cBidMissTINYINT UNSIGNED0number of call bid violations surface outside the market
cAskMissTINYINT UNSIGNED0number of call ask violations surface outside the market
pBidMissTINYINT UNSIGNED0number of put bid violations
pAskMissTINYINT UNSIGNED0number of put ask violations
fitScoreT0FLOAT0
fitScoreT1FLOAT0
cumFitScoreT0FLOAT0
cumFitScoreT1FLOAT0
fitCounterINT0number of fitcount passes current trade date market open
timestampDATETIME(6)'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)​

FieldSequence
ekey_tk1
ekey_yr2
ekey_mn3
ekey_dy4
ekey_at5
ekey_ts6
surfaceType7

CREATE TABLE EXAMPLE QUERY​

CREATE TABLE `SRAnalytics`.`MsgLiveSurfaceDetail` (
    `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','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','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',
    `ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'underlying stock key that this option expiration attaches to',
    `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' COMMENT 'underlying stock key that this option expiration attaches to',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'underlying stock key that this option expiration attaches to',
    `fkey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'underlying future key (if any)',
    `fkey_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 'underlying future key (if any)',
    `fkey_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'underlying future key (if any)',
    `fkey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'underlying future key (if any)',
    `fkey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'underlying future key (if any)',
    `fkey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'underlying future key (if any)',
    `uPrcDriverKey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'underlier driver key',
    `uPrcDriverKey_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 'underlier driver key',
    `uPrcDriverKey_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'underlier driver key',
    `uPrcDriverKey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'underlier driver key',
    `uPrcDriverKey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'underlier driver key',
    `uPrcDriverKey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'underlier driver key',
    `uPrcDriverType` ENUM('None','Stock','Future','Option','MLeg') NOT NULL DEFAULT 'None' COMMENT 'underlier driver key type (stock or future)',
    `ddiv` FLOAT NOT NULL DEFAULT 0 COMMENT '(expected) cumulative discrete dividend $ amounts prior to expiration',
    `ddivPv` FLOAT NOT NULL DEFAULT 0 COMMENT '(expected) cumulative npv of discrete dividend $ amounts prior to expiration (SR global rate curve)',
    `ddivSource` ENUM('None','Announced','Forecast') NOT NULL DEFAULT 'None' COMMENT 'Forecast if any of the dividends prior to expiry are forecast rather than announced',
    `symbolRatio` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier price ratio (usually 1.0 or a multi-hedge option price ratio; if one exists)',
    `exType` ENUM('None','American','European','Asian','Cliquet') NOT NULL DEFAULT 'None' COMMENT 'exercise type (American or European)',
    `modelType` ENUM('None','LogNormalExact','NormalExact','LogNormalApprox','NormalApprox') NOT NULL DEFAULT 'None' COMMENT 'option pricing model used for price calcs (Normal, LogNormal, etc.)',
    `priceType` ENUM('None','Equity','Future') NOT NULL DEFAULT 'None' COMMENT 'Equity has independent sdiv and rate, Future has sdiv = rate',
    `earnCnt` FLOAT NOT NULL DEFAULT 0 COMMENT 'number of qualifying earnings events prior to expiration [can be fractional] (from StockEarningsCalendar)',
    `earnCntAdj` FLOAT NOT NULL DEFAULT 0 COMMENT 'number of qualifying earnings events prior to expiration [adjusted] (from StockEarningsCalendar + LiveSurfaceTerm)',
    `moneynessType` ENUM('None','PctStd','LogStd','NormStd') NOT NULL DEFAULT 'None' COMMENT 'moneyness (xAxis) convention',
    `priceQuoteType` ENUM('None','Price','Vol') NOT NULL DEFAULT 'None' COMMENT 'Price or Vol',
    `atmVolHist` FLOAT NOT NULL DEFAULT 0 COMMENT 'historical realized volatility (includes eMoveHist x earnCntAdj adjustment).  Note that this is the default atmVol if no implied markets existed previous day.',
    `atmCenHist` FLOAT NOT NULL DEFAULT 0 COMMENT 'censored (earnings events removed) historical realized volatility.  Trailing periods is 2x forward time to expiration.  From HistoricalVolatility(windowType=hlCen).mv_nnn',
    `uBetaHist` FLOAT NOT NULL DEFAULT 0 COMMENT 'beta (this underlier vs basis underlier; T + 1 week)',
    `eMove` FLOAT NOT NULL DEFAULT 0 COMMENT 'implied earnings move (from LiveSurfaceTerm)',
    `eMoveHist` FLOAT NOT NULL DEFAULT 0 COMMENT 'historical earnings move (avg of trailing 8 moves). From StockEarningsCalendar.eMoveHist',
    `minXAxis` FLOAT NOT NULL DEFAULT 0 COMMENT 'minimum xAxis value; left most point with a valid supporting strike',
    `maxXAxis` FLOAT NOT NULL DEFAULT 0 COMMENT 'maximum xAxis value; right most point with a valid supporting strike',
    `atmPhi` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface phi @ xAxis = 0',
    `atmRho` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface rho @ xAxis = 0',
    `atmVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'surface vega @ xAxis = 0',
    `uPrcRatio` DOUBLE NOT NULL DEFAULT 0 COMMENT 'uPrcAdj = uPrc * uPrcRatioFit',
    `pwidth` FLOAT NOT NULL DEFAULT 0 COMMENT 'minimum mkt premium width',
    `vwidth` FLOAT NOT NULL DEFAULT 0 COMMENT 'minimum mkt volatility width',
    `cCnt` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'num call strikes in base fit',
    `pCnt` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'num put strikes in base fit',
    `hasBracketMin` ENUM('None','Yes','No') NOT NULL DEFAULT 'None',
    `surfaceSkewType` ENUM('None','Param1','Param2','Param3','Param4') NOT NULL DEFAULT 'None',
    `cBidMiss` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'number of call bid violations (surface outside the market)',
    `cAskMiss` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'number of call ask violations (surface outside the market)',
    `pBidMiss` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'number of put bid violations',
    `pAskMiss` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'number of put ask violations',
    `fitScoreT0` FLOAT NOT NULL DEFAULT 0,
    `fitScoreT1` FLOAT NOT NULL DEFAULT 0,
    `cumFitScoreT0` FLOAT NOT NULL DEFAULT 0,
    `cumFitScoreT1` FLOAT NOT NULL DEFAULT 0,
    `fitCounter` INT NOT NULL DEFAULT 0 COMMENT 'number of fit/count passes (current trade date / market open)',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    PRIMARY KEY USING HASH (`ekey_tk`,`ekey_yr`,`ekey_mn`,`ekey_dy`,`ekey_at`,`ekey_ts`,`surfaceType`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='LiveSurfaceDetail (surfaceType = \'Live\') records are computed and publish continuously during trading hours and represent a current best implied volatility market fit details.\nSurfaceType = \'PriorDay\' records contain the `closing surface record from the prior trading period (usually from just before the last main session close).';

SELECT TABLE EXAMPLE QUERY​

SELECT
    `ekey_at`,
    `ekey_ts`,
    `ekey_tk`,
    `ekey_yr`,
    `ekey_mn`,
    `ekey_dy`,
    `surfaceType`,
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `fkey_at`,
    `fkey_ts`,
    `fkey_tk`,
    `fkey_yr`,
    `fkey_mn`,
    `fkey_dy`,
    `uPrcDriverKey_at`,
    `uPrcDriverKey_ts`,
    `uPrcDriverKey_tk`,
    `uPrcDriverKey_yr`,
    `uPrcDriverKey_mn`,
    `uPrcDriverKey_dy`,
    `uPrcDriverType`,
    `ddiv`,
    `ddivPv`,
    `ddivSource`,
    `symbolRatio`,
    `exType`,
    `modelType`,
    `priceType`,
    `earnCnt`,
    `earnCntAdj`,
    `moneynessType`,
    `priceQuoteType`,
    `atmVolHist`,
    `atmCenHist`,
    `uBetaHist`,
    `eMove`,
    `eMoveHist`,
    `minXAxis`,
    `maxXAxis`,
    `atmPhi`,
    `atmRho`,
    `atmVega`,
    `uPrcRatio`,
    `pwidth`,
    `vwidth`,
    `cCnt`,
    `pCnt`,
    `hasBracketMin`,
    `surfaceSkewType`,
    `cBidMiss`,
    `cAskMiss`,
    `pBidMiss`,
    `pAskMiss`,
    `fitScoreT0`,
    `fitScoreT1`,
    `cumFitScoreT0`,
    `cumFitScoreT1`,
    `fitCounter`,
    `timestamp`
FROM `SRAnalytics`.`MsgLiveSurfaceDetail`
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','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','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='LiveSurfaceDetail' ORDER BY ordinal_position ASC;