LiveSurfaceFixedGrid

V8 Message Definiton

LiveSurfaceFixedGrid records contain live interpolated censored surface volatilities across a range of delta strikes and fixed days to expiration. Each record contains the implied and realized earnings move for the ticker, along with the forecasted earnings count, forward, sdiv, skew slope, and vol width correspoding to its days to expiration.

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
ticker_at	enum - AssetType	PRI	'None'
ticker_ts	enum - TickerSrc	PRI	'None'
ticker_tk	VARCHAR(12)	PRI	''
days	SMALLINT	PRI	0	days to expiration 5 10 21 42 63 84 105 126 189 252 378 504
surfaceType	enum - SurfaceCurveType	PRI	'None'
date	VARCHAR(10)		''
time	VARCHAR(8)		''
sDiv	FLOAT		0	Interpolated implied sdiv rate from LiveSurfaceFixedTermsDivN
fwdUPrc	FLOAT		0	Interpolated implied forward price from LiveSurfaceFixedTermfwdUPrcN
eCnt	INT		0	Number of expected earnings dates from LiveSurfaceFixedTermeCntN
iEMove	FLOAT		0	Implied earnings move from LiveSurfaceFixedTermeMove
hEMove	FLOAT		0	Historical earnings move from LiveSurfaceFixedTermeMoveHist
volD45	FLOAT		0	xde 45 censored volatility
volD40	FLOAT		0	xde 40
volD35	FLOAT		0	xde 35
volD30	FLOAT		0	xde 30
volD25	FLOAT		0	xde 25
volD20	FLOAT		0	xde 20
volD15	FLOAT		0	xde 15
volD10	FLOAT		0	xde 10
volD05	FLOAT		0	xde 5
volA00	FLOAT		0	xde 0
volU05	FLOAT		0	xde 5
volU10	FLOAT		0	xde 10
volU15	FLOAT		0	xde 15
volU20	FLOAT		0	xde 20
volU25	FLOAT		0	xde 25
volU30	FLOAT		0	xde 30
volU35	FLOAT		0	xde 35
volU40	FLOAT		0	xde 40
volU45	FLOAT		0	xde 45
vWidth	FLOAT		0	atm volatility width from LiveSurfaceFixedTermvWidthN
vSlope	FLOAT		0	atm volatility slope from LiveSurfaceFixedTermvSlopeN
loYears	FLOAT		0	LiveSurfaceCurveyears before days 1 none
hiYears	FLOAT		0	LiveSurfaceCurveyears after days 1 none
minDelta	FLOAT		0	minimum valid strike delta
maxDelta	FLOAT		0	maximum valid strike delta
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	surface fit timestamp

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
ticker_tk	1
ticker_at	2
ticker_ts	3
days	4
surfaceType	5

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRAnalytics`.`MsgLiveSurfaceFixedGrid`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */ 
    `ticker_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') */ 
    `ticker_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ticker_tk` = 'Example_ticker_tk'
  AND
    /* Replace with a SMALLINT */ 
    `days` = 0
  AND
    /* Replace with a ENUM('None','Live','PrevDay','Interp','Close','Test') */ 
    `surfaceType` = 'None';

Doc Columns Query

SELECT * FROM SRAnalytics.doccolumns WHERE TABLE_NAME='LiveSurfaceFixedGrid' ORDER BY ordinal_position ASC;