SROptTheoRecord

V8 Message Definiton

SpdrOptTheoRecords can be used to override theoretical volatilities for specific strikes when using SpdrTheoExpSurface records.

METADATA

Attribute	Value
Topic	1945-client-theos
MLink Token	ClientTheo
Product	SRTheo
accessType	SELECT,UPDATE,INSERT,DELETE

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	0
okey_mn	TINYINT UNSIGNED	PRI	0
okey_dy	TINYINT UNSIGNED	PRI	0
okey_xx	DOUBLE	PRI	0
okey_cp	enum - CallPut	PRI	'Call'
theoModel	VARCHAR(16)	PRI	''
clientFirm	VARCHAR(16)	PRI	''	client firm this theo model is associated with controls visibility
TheoVol	FLOAT		0	midpoint fair volatility
BVol	FLOAT		0	buy vol
SVol	FLOAT		0	sell vol
BEdge	FLOAT		0	edge premium spread when buying
SEdge	FLOAT		0	edge premium spread when selling
buySellConvention	enum - BuySellConvention		'None'	rule used to interpret BVol SVol BEdge and SEdge
refUPrc	FLOAT		0	Reference uPrc for dynamic vol vol TheoVol vegaSlope uPrc refUPrc
vegaSlope	FLOAT		0	Set to zero for no dynamic hedge delta delta vegaSlope vegarequires accounthedgeType TVol theo delta vegaSlope or TvS surface delta vegaSlope default is surface delta only
theoStatus	enum - TheoStatus		'Hold'	indicates where theos for this ticker will be utilized
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
theoModel	9
clientFirm	10

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRTheo`.`MsgSROptTheoRecord` (
    `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',
    `theoModel` VARCHAR(16) NOT NULL DEFAULT '',
    `clientFirm` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'client firm this theo model is associated with (controls visibility)',
    `TheoVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'mid-point (fair) volatility',
    `BVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'buy vol',
    `SVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'sell vol',
    `BEdge` FLOAT NOT NULL DEFAULT 0 COMMENT 'edge premium spread when buying',
    `SEdge` FLOAT NOT NULL DEFAULT 0 COMMENT 'edge premium spread when selling',
    `buySellConvention` ENUM('None','Minimum','BSSpread','BSPctSprd','BSOffsetPts','BSOffsetPct') NOT NULL DEFAULT 'None' COMMENT 'rule used to interpret BVol, SVol, BEdge, and SEdge',
    `refUPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'Reference uPrc for dynamic vol: vol = TheoVol + vegaSlope * (uPrc - refUPrc).',
    `vegaSlope` FLOAT NOT NULL DEFAULT 0 COMMENT 'Set to zero for no dynamic.  hedge delta = delta + vegaSlope * vega;requires account.hedgeType = [TVol (theo delta + vegaSlope) or TvS (surface delta + vegaSlope)] (default is surface delta only)',
    `theoStatus` ENUM('Hold','Auto','Scanner','Markup','CloseOnly') NOT NULL DEFAULT 'Hold' COMMENT 'indicates where theos for this ticker will be utilized',
    `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`,`theoModel`,`clientFirm`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='SpdrOptTheoRecords can be used to override theoretical volatilities for specific strikes when using SpdrTheoExpSurface records.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `okey_at`,
    `okey_ts`,
    `okey_tk`,
    `okey_yr`,
    `okey_mn`,
    `okey_dy`,
    `okey_xx`,
    `okey_cp`,
    `theoModel`,
    `clientFirm`,
    `TheoVol`,
    `BVol`,
    `SVol`,
    `BEdge`,
    `SEdge`,
    `buySellConvention`,
    `refUPrc`,
    `vegaSlope`,
    `theoStatus`,
    `timestamp`
FROM `SRTheo`.`MsgSROptTheoRecord`
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'
  AND
    /* Replace with a VARCHAR(16) */ 
    `theoModel` = 'Example_theoModel'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

UPDATE TABLE EXAMPLE QUERY

UPDATE `SRTheo`.`MsgSROptTheoRecord` 
SET
    /* Replace with a FLOAT */ 
    `TheoVol` = 1.23,
    /* Replace with a FLOAT */ 
    `BVol` = 1.23,
    /* Replace with a FLOAT */ 
    `SVol` = 1.23,
    /* Replace with a FLOAT */ 
    `BEdge` = 1.23,
    /* Replace with a FLOAT */ 
    `SEdge` = 1.23,
    /* Replace with a ENUM('None','Minimum','BSSpread','BSPctSprd','BSOffsetPts','BSOffsetPct') */ 
    `buySellConvention` = 'None',
    /* Replace with a FLOAT */ 
    `refUPrc` = 1.23,
    /* Replace with a FLOAT */
    `vegaSlope` = 1.23,
    /* Replace with a ENUM('Hold','Auto','Scanner','Markup','CloseOnly') */ 
    `theoStatus` = 'Hold',
    /* Replace with a DATETIME(6) */
    `timestamp` = '2022-01-01 12:34:56.000000'
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'
  AND
    /* Replace with a VARCHAR(16) */ 
    `theoModel` = 'Example_theoModel'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

INSERT TABLE EXAMPLE QUERY

INSERT INTO `SRTheo`.`MsgSROptTheoRecord`(
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `okey_at`,
    /* 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`,
    /* Replace with a VARCHAR(12) */ 
    `okey_tk`,
    /* Replace with a SMALLINT UNSIGNED */ 
    `okey_yr`,
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_mn`,
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_dy`,
    /* Replace with a DOUBLE */ 
    `okey_xx`,
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `okey_cp`,
    /* Replace with a VARCHAR(16) */ 
    `theoModel`,
    /* Replace with a VARCHAR(16) */ 
    `clientFirm`,
    /* Replace with a FLOAT */ 
    `TheoVol`,
    /* Replace with a FLOAT */ 
    `BVol`,
    /* Replace with a FLOAT */ 
    `SVol`,
    /* Replace with a FLOAT */ 
    `BEdge`,
    /* Replace with a FLOAT */ 
    `SEdge`,
    /* Replace with a ENUM('None','Minimum','BSSpread','BSPctSprd','BSOffsetPts','BSOffsetPct') */ 
    `buySellConvention`,
    /* Replace with a FLOAT */ 
    `refUPrc`,
    /* Replace with a FLOAT */
    `vegaSlope`,
    /* Replace with a ENUM('Hold','Auto','Scanner','Markup','CloseOnly') */ 
    `theoStatus`,
    /* Replace with a DATETIME(6) */
    `timestamp`
) 
VALUES(
    'None',
    'None',
    'Example_okey_tk',
    123,
    1,
    1,
    4.56,
    'Call',
    'Example_theoModel',
    'Example_clientFirm',
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    'None',
    1.23,
    1.23,
    'Hold',
    '2022-01-01 12:34:56.000000'
);

DELETE TABLE EXAMPLE QUERY

DELETE FROM `SRTheo`.`MsgSROptTheoRecord` 
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'
  AND
    /* Replace with a VARCHAR(16) */ 
    `theoModel` = 'Example_theoModel'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

Doc Columns Query

SELECT * FROM SRTheo.doccolumns WHERE TABLE_NAME='SROptTheoRecord' ORDER BY ordinal_position ASC;