LiveSurfaceCurve

V8 Message Definiton

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

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'	underlying future key if any
fkey_ts	enum - TickerSrc		'None'	underlying future key if any
fkey_tk	VARCHAR(12)		''	underlying future key if any
fkey_yr	SMALLINT UNSIGNED		0	underlying future key if any
fkey_mn	TINYINT UNSIGNED		0	underlying future key if any
fkey_dy	TINYINT UNSIGNED		0	underlying future key if any
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
uPrc	DOUBLE		0	effective uPrc used for surface fitting
uBid	DOUBLE		0	effective uBid
uAsk	DOUBLE		0	effective uAsk
symbolRatio	FLOAT		0	underlier price ratio usually 10 or a multihedge option price ratio if one exists
modelType	enum - CalcModelType		'None'	option pricing model used for price calcs Normal LogNormal etc
prcFramework	enum - PricingFramework		'None'	Spot Equity Forward Cash Future Physical
exType	enum - ExerciseType		'None'	exercise type American or European
years	FLOAT		0	time to expiration in years
rate	FLOAT		0	average interest rate to expiration SR global rate curve
sdiv	FLOAT		0	stock dividend borrow rate
ddiv	FLOAT		0	expected cumulative discrete dividend amounts prior to expiration
ddivPv	FLOAT		0	expected cumulative npv of discrete dividend amounts prior to expiration SR global rate curve
ddivSource	enum - DDivSource		'None'	Forecast if any of the dividends prior to expiry are forecast rather than announced
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
axisFUPrc	FLOAT		0	axis FwdUPrc fwd underlying price used to compute xAxis
synSpot	DOUBLE		0	Synthetic spot price marketderived spot when the underlying is not a traded instrument
synCarry	DOUBLE		0	Synthetic carry rate corresponds to the relationship between uPrc and synSpot set when the underlying is not a traded instrument
synSpotDriverRatio	DOUBLE		0	Ratio of synthetic spot to underlier driver price set when underlying is not a traded instrument
atmStrike	FLOAT		0	synthetic strike with cPrice pPrice
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
cpAdjType	enum - CPAdjType		'None'	adjustment used to align callsputs if any
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
iEMove	FLOAT		0	implied earnings move from LiveSurfaceTerm
hEMove	FLOAT		0	historical earnings move avg of trailing 8 moves From StockEarningsCalendareMoveHist
uPrcRatio	DOUBLE		0	uPrcAdj uPrc uPrcRatio
minAtmVol	FLOAT		0	minimum estimated atm vol
maxAtmVol	FLOAT		0	maximum estimated atm vol
minCPAdjVal	DOUBLE		0	minimum cpAdjVal sdiv or uPrcRatio
maxCPAdjVal	DOUBLE		0	minimum cpAdjVal sdiv or uPrcRatio
atmFixedMove	FLOAT		0	fixed strike atm move from prior period
atmPhi	FLOAT		0	surface phi xAxis 0
atmRho	FLOAT		0	surface rho 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 skew curve coeff points spline type
knotShift	FLOAT		0	constant that should be added to each base knot location 30 30
fitPowerC	FLOAT		0	fit power of the vol fit call wing
fitPowerP	FLOAT		0	fit power of the vol fit put wing
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
asymptoticVolC	FLOAT		0	asymptotic volatility call wing
asymptoticVolP	FLOAT		0	asymptotic volatility put wing
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
surfaceFit	enum - SurfaceFit		'None'
skewC00	FLOAT		0	curve coeff0
skewC01	FLOAT		0	curve coeff1
skewC02	FLOAT		0
skewC03	FLOAT		0
skewC04	FLOAT		0
skewC05	FLOAT		0
skewC06	FLOAT		0
skewC07	FLOAT		0
skewC08	FLOAT		0
skewC09	FLOAT		0
skewC10	FLOAT		0
skewC11	FLOAT		0
skewC12	FLOAT		0
skewC13	FLOAT		0
skewC14	FLOAT		0
skewC15	FLOAT		0
skewC16	FLOAT		0
skewC17	FLOAT		0
skewC18	FLOAT		0
skewC19	FLOAT		0
skewC20	FLOAT		0
skewC21	FLOAT		0
skewC22	FLOAT		0
skewC23	FLOAT		0
skewC24	FLOAT		0
skewC25	FLOAT		0
skewC26	FLOAT		0
skewC27	FLOAT		0
skewC28	FLOAT		0
ivAdjD07	FLOAT		0	xAxis 50
ivAdjD06	FLOAT		0	xAxis 40
ivAdjD05	FLOAT		0	xAxis 30
ivAdjD04	FLOAT		0	xAxis 20
ivAdjD03	FLOAT		0	xAxis 15
ivAdjD02	FLOAT		0	xAxis 10
ivAdjD01	FLOAT		0	xAxis 05
ivAdjU01	FLOAT		0	xAxis 05
ivAdjU02	FLOAT		0	xAxis 10
ivAdjU03	FLOAT		0	xAxis 15
ivAdjU04	FLOAT		0	xAxis 20
ivAdjU05	FLOAT		0	xAxis 30
ivAdjU06	FLOAT		0	xAxis 40
ivAdjU07	FLOAT		0	xAxis 50
cpAdjD04	FLOAT		0	xAxis 40
cpAdjD03	FLOAT		0	xAxis 30
cpAdjD02	FLOAT		0	xAxis 20
cpAdjD01	FLOAT		0	xAxis 10
cpAdjU01	FLOAT		0	xAxis 10
cpAdjU02	FLOAT		0	xAxis 20
cpAdjU03	FLOAT		0	xAxis 30
cpAdjU04	FLOAT		0	xAxis 40
pwidth	FLOAT		0	minimum mkt premium width
vwidth	FLOAT		0	minimum mkt volatility width
cCnt	TINYINT UNSIGNED		0	num call strikes in base fit
pCnt	TINYINT UNSIGNED		0	num put strikes in base fit
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	average error sPrc midPrc
fitAvgAbsErr	FLOAT		0	average absolute error sPrc midPrc
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
numSaddlePts	TINYINT UNSIGNED		0	number of saddle points
minSaddleSpan	FLOAT		0	smallest distance between saddle points
maxSaddleCurvature	FLOAT		0	maximum saddle point curvature
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'
sTimestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	last surface curve fit timestamp
time	TIME(6)		'00:00:00.000000'
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`.`MsgLiveSurfaceCurve`
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='LiveSurfaceCurve' ORDER BY ordinal_position ASC;