TheoSurfacePerf

V8 Message Definiton

TheoSurfacePerf records are published throughout he day for each active client theoretical model in the SpiderRock system. They are suitable for tracking performance of a theoretical model surface whether or not it is being traded. TheoSurfacePerf records are published to the SpiderRock elastic cluster at the end of each day.

METADATA

Attribute	Value
Topic	1000-analytics
MLink Token	ClientTheo
Product	SRTheo
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
theoModel	VARCHAR(16)	PRI	''	theo model
clientFirm	VARCHAR(16)	PRI	''	client firm this theo model is associated with controls visibility
perfSurfType	enum - PerfSurfaceType	PRI	'None'
date	VARCHAR(10)		''
time	VARCHAR(8)		''
ticker_at	enum - AssetType		'None'	SpiderRock underlier stock key
ticker_ts	enum - TickerSrc		'None'	SpiderRock underlier stock key
ticker_tk	VARCHAR(12)		''	SpiderRock underlier stock key
strike	FLOAT		0	atm strike fwd uPrcfrom LiveSurfacePerf record
tEMove	FLOAT		0	theoretical event move if any
cTVol	FLOAT		0	theo call volatility from theoModel strike strike
pTVol	FLOAT		0	theo put volatility from theoModel strike strike
cTOpx	FLOAT		0	theo call price cTVol uMark years sdiv rate ddiv
pTOpx	FLOAT		0	theo put price pTVol uMark years sdiv rate ddiv
fixCTVol	FLOAT		0	fixed strike theo call volatility from theoModel strike prvStrike
fixPTVol	FLOAT		0	fixed strike theo put volatility from theoModel strike prvStrike
fixCTOpx	FLOAT		0	fixed strike theo call price fixTVol uMark years sdiv rate ddivstrike prvStrike
fixPTOpx	FLOAT		0	fixed strike theo put price fixTVol uMark years sdiv rate ddivstrike prvStrike
prvStrike	FLOAT		0	prior period atm strike
prvTEMove	FLOAT		0	prior period theoretical event move if any
prvCTVol	FLOAT		0	prior period theo call volatility strike prvStrike
prvPTVol	FLOAT		0	prior period theo put volatility strike prvStrike
prvCTOpx	FLOAT		0	prior period theo call price strike prvStrike
prvPTOpx	FLOAT		0	prior period theo call price strike prvStrike
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
theoModel	7
clientFirm	8
perfSurfType	9

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRTheo`.`MsgTheoSurfacePerf`
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 VARCHAR(16) */ 
    `theoModel` = 'Example_theoModel'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm'
  AND
    /* Replace with a ENUM('None','Live','PriorDay') */ 
    `perfSurfType` = 'None';

Doc Columns Query

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