LiveAtmVol

V8 Message Definiton

LiveAtmVol records are computed and publish continuously during trading hours

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 tickerKey stock or product group that this option expiration is associated with
ticker_ts	enum - TickerSrc		'None'	underlying tickerKey stock or product group that this option expiration is associated with
ticker_tk	VARCHAR(12)		''	underlying tickerKey stock or product group that this option expiration is associated with
uPrc	DOUBLE		0	effective underlier price
years	FLOAT		0	SR years to expiry metric
rate	FLOAT		0	average expected interest rate to expiry SR global rate curve
ddiv	FLOAT		0	expected cumulative discrete dividend amounts prior to expiration if any
ddivPv	FLOAT		0	expected cumulative npv of discrete dividend amounts prior to expiration SR global rate curve if any
ddivSource	enum - DDivSource		'None'	Forecast if any of the dividends prior to expiry are forecast rather than announced
atmVol	FLOAT		0	atm vol xAxis 0
atmEMA	FLOAT		0	atm vol exp moving average halflife 30 seconds
uPrcRatio	DOUBLE		0	uPrc uPrcDriver uPrcRatio when priceType Future uPrc uPrcDriver when priceType Equity
uPrcRatioEMA	DOUBLE		0	time smoothed implied uPrcRatio halflife 30 seconds
sdiv	FLOAT		0	stock dividend borrow rate derived from callput balance when priceTypeStock rate otherwise
sdivEMA	FLOAT		0	sdiv exp moving average halflife 30 seconds
minCPAdjVal	DOUBLE		0	minimum cpAdjVal sdiv or uPrcRatio
maxCPAdjVal	DOUBLE		0	minimum cpAdjVal sdiv or uPrcRatio
cpAdjType	enum - CPAdjType		'None'	adjustment used to align callsputs
prcFramework	enum - PricingFramework		'None'	Spot Equity Forward Cash Future Physical
uPrcDriverKey_at	enum - AssetType		'None'	underlier driver key
uPrcDriverKey_ts	enum - TickerSrc		'None'	underlier driver key
uPrcDriverKey_tk	VARCHAR(12)		''	underlier driver key
uPrcDriverKey_yr	SMALLINT UNSIGNED		0	underlier driver key
uPrcDriverKey_mn	TINYINT UNSIGNED		0	underlier driver key
uPrcDriverKey_dy	TINYINT UNSIGNED		0	underlier driver key
uPrcDriverType	enum - SpdrKeyType		'None'	underlier driver key type stock or future
uPrcDriver	DOUBLE		0	underlier driver midmarket
axisFUPrc	FLOAT		0	forward underlier price also atthemoney xAxis 0 synthetic strike
synSpot	DOUBLE		0	Synthetic spot price marketderived spot when the underlying is not a traded instrument
vWidth	FLOAT		0	atm volatility market width estimated from near expiries
numAtmStrikes	TINYINT UNSIGNED		0
tradeableStatus	enum - TradeableStatus		'None'	indicates whether the surface is currently tradeable or not all server surface integrity checks pass
surfaceResult	enum - SurfaceAdjResult		'None'
netTimestamp	BIGINT		0	most recent unix timestamp all option quotes
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`.`MsgLiveAtmVol`
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='LiveAtmVol' ORDER BY ordinal_position ASC;