GetFlexSpreadPrice

V8 Message Definiton

METADATA

Attribute	Value
Topic	3480-mlink-custom
MLink Token	RiskCalc
Product	SRFlex
accessType	SELECT,UPDATE,INSERT,DELETE

Table Definition

Field	Type	Key	Default Value	Comment
userName	VARCHAR(24)	PRI	''
calcId	INT	PRI	0
uPrc	DOUBLE		0	live uPrc on arrival if not supplied
fixedPremUPct	DOUBLE		0	premium as a percent of the underlying price required if a leg with strikeTypePctVariable is included can be zero
incGreeks	enum - YesNo		'No'	whether greeks should be computed
ticker_at	enum - AssetType		'None'	underlier ticker all legs must have the same underlier ticker
ticker_ts	enum - TickerSrc		'None'	underlier ticker all legs must have the same underlier ticker
ticker_tk	VARCHAR(12)		''	underlier ticker all legs must have the same underlier ticker
sprdPrem	DOUBLE		0	spread premium
sprdDelta	FLOAT		0	delta
sprdGamma	FLOAT		0	gamma
sprdTheta	FLOAT		0	theta
sprdVega	FLOAT		0	vega
sprdVolga	FLOAT		0	volga
sprdVanna	FLOAT		0	vanna
sprdRho	FLOAT		0	rho
sprdPhi	FLOAT		0	phi
calcDetail	TINYTEXT		''	calculation details
error	TINYTEXT		''	overall error for the calculation
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'
DiscreteDividendList	JSON		'JSON_ARRAY()'
LegsList	JSON		'JSON_ARRAY()'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
userName	1
calcId	2

JSON Block (DiscreteDividendList)

Field	Type	Comment
date	enum - date
amount	enum - amount

JSON Block (LegsList)

Field	Type	Comment
okey	enum - okey	should be in OSI root format strike can be zero for the variable strike leg
side	enum - BuySell
ratio	enum - ratio	leg ratio
strikeType	enum - StrikeType	DollarAmt Percent or PctVariable exactly one leg can be PctVariable
flexTypeOut	enum - FlexType	reflects the type of flex decoded from the okey root
vYearsOut	enum - vYearsOut	volatility years to expiry
dYearsOut	enum - dYearsOut	calendar days to expiry 3650
sdivOut	enum - sdivOut	continuous stock dividend used for pricing
rateOut	enum - rateOut	discount rate used for pricing
effStrikeOut	enum - effStrikeOut	effective strike will be the implied surface strike if strikeTypePctVariable
sVolOut	enum - sVolOut	leg surface volatility
sPrcOut	enum - sPrcOut	leg surface price
deltaOut	enum - deltaOut	delta
gammaOut	enum - gammaOut	gamma
thetaOut	enum - thetaOut	theta
vegaOut	enum - vegaOut	vega
volgaOut	enum - volgaOut	volga
vannaOut	enum - vannaOut	vanna
rhoOut	enum - rhoOut	rho
phiOut	enum - phiOut	phi
errorOut	enum - errorOut	leg error if any

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRFlex`.`MsgGetFlexSpreadPrice` (
    `userName` VARCHAR(24) NOT NULL DEFAULT '',
    `calcId` INT NOT NULL DEFAULT 0,
    `uPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'live uPrc on arrival (if not supplied)',
    `fixedPremUPct` DOUBLE NOT NULL DEFAULT 0 COMMENT 'premium as a percent of the underlying price. required if a leg with strikeType=PctVariable is included (can be zero).',
    `incGreeks` ENUM('None','Yes','No') NOT NULL DEFAULT 'No' COMMENT 'whether greeks should be computed',
    `ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'underlier ticker (all legs must have the same underlier ticker)',
    `ticker_ts` 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','ICEFE','ICEUS') NOT NULL DEFAULT 'None' COMMENT 'underlier ticker (all legs must have the same underlier ticker)',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'underlier ticker (all legs must have the same underlier ticker)',
    `sprdPrem` DOUBLE NOT NULL DEFAULT 0 COMMENT 'spread premium ($)',
    `sprdDelta` FLOAT NOT NULL DEFAULT 0 COMMENT 'delta',
    `sprdGamma` FLOAT NOT NULL DEFAULT 0 COMMENT 'gamma',
    `sprdTheta` FLOAT NOT NULL DEFAULT 0 COMMENT 'theta',
    `sprdVega` FLOAT NOT NULL DEFAULT 0 COMMENT 'vega',
    `sprdVolga` FLOAT NOT NULL DEFAULT 0 COMMENT 'volga',
    `sprdVanna` FLOAT NOT NULL DEFAULT 0 COMMENT 'vanna',
    `sprdRho` FLOAT NOT NULL DEFAULT 0 COMMENT 'rho',
    `sprdPhi` FLOAT NOT NULL DEFAULT 0 COMMENT 'phi',
    `calcDetail` TINYTEXT NOT NULL DEFAULT '' COMMENT 'calculation details',
    `error` TINYTEXT NOT NULL DEFAULT '' COMMENT 'overall error for the calculation',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    `DiscreteDividendList` JSON NOT NULL DEFAULT JSON_ARRAY() CHECK(JSON_VALID(DiscreteDividendList)),
    `LegsList` JSON NOT NULL DEFAULT JSON_ARRAY() CHECK(JSON_VALID(LegsList)),
    PRIMARY KEY USING HASH (`userName`,`calcId`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='';

SELECT TABLE EXAMPLE QUERY

SELECT
    `userName`,
    `calcId`,
    `uPrc`,
    `fixedPremUPct`,
    `incGreeks`,
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `sprdPrem`,
    `sprdDelta`,
    `sprdGamma`,
    `sprdTheta`,
    `sprdVega`,
    `sprdVolga`,
    `sprdVanna`,
    `sprdRho`,
    `sprdPhi`,
    `calcDetail`,
    `error`,
    `timestamp`,
    `DiscreteDividendList`,
    `LegsList`
FROM `SRFlex`.`MsgGetFlexSpreadPrice`
WHERE 
    /* Replace with a VARCHAR(24) */ 
    `userName` = 'Example_userName'
  AND
    /* Replace with a INT */ 
    `calcId` = 5;

UPDATE TABLE EXAMPLE QUERY

UPDATE `SRFlex`.`MsgGetFlexSpreadPrice` 
SET
    /* Replace with a DOUBLE */
    `uPrc` = 4.56,
    /* Replace with a DOUBLE */
    `fixedPremUPct` = 4.56,
    /* Replace with a ENUM('None','Yes','No') */
    `incGreeks` = 'No',
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `ticker_at` = 'None',
    /* 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','ICEFE','ICEUS') */ 
    `ticker_ts` = 'None',
    /* Replace with a VARCHAR(12) */ 
    `ticker_tk` = 'Example_ticker_tk',
    /* Replace with a DOUBLE */ 
    `sprdPrem` = 4.56,
    /* Replace with a FLOAT */ 
    `sprdDelta` = 1.23,
    /* Replace with a FLOAT */ 
    `sprdGamma` = 1.23,
    /* Replace with a FLOAT */ 
    `sprdTheta` = 1.23,
    /* Replace with a FLOAT */ 
    `sprdVega` = 1.23,
    /* Replace with a FLOAT */ 
    `sprdVolga` = 1.23,
    /* Replace with a FLOAT */ 
    `sprdVanna` = 1.23,
    /* Replace with a FLOAT */ 
    `sprdRho` = 1.23,
    /* Replace with a FLOAT */ 
    `sprdPhi` = 1.23,
    /* Replace with a TINYTEXT */ 
    `calcDetail` = 'dummy tiny text',
    /* Replace with a TINYTEXT */ 
    `error` = 'dummy tiny text',
    /* Replace with a DATETIME(6) */
    `timestamp` = '2022-01-01 12:34:56.000000',
    /* Replace with a JSON */
    `DiscreteDividendList` = '{"key": "value"}',
    /* Replace with a JSON */
    `LegsList` = '{"key": "value"}'
WHERE
    /* Replace with a VARCHAR(24) */ 
    `userName` = 'Example_userName'
  AND
    /* Replace with a INT */ 
    `calcId` = 5;

INSERT TABLE EXAMPLE QUERY

INSERT INTO `SRFlex`.`MsgGetFlexSpreadPrice`(
    /* Replace with a VARCHAR(24) */ 
    `userName`,
    /* Replace with a INT */ 
    `calcId`,
    /* Replace with a DOUBLE */
    `uPrc`,
    /* Replace with a DOUBLE */
    `fixedPremUPct`,
    /* Replace with a ENUM('None','Yes','No') */
    `incGreeks`,
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `ticker_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','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE','ICEUS') */ 
    `ticker_ts`,
    /* Replace with a VARCHAR(12) */ 
    `ticker_tk`,
    /* Replace with a DOUBLE */ 
    `sprdPrem`,
    /* Replace with a FLOAT */ 
    `sprdDelta`,
    /* Replace with a FLOAT */ 
    `sprdGamma`,
    /* Replace with a FLOAT */ 
    `sprdTheta`,
    /* Replace with a FLOAT */ 
    `sprdVega`,
    /* Replace with a FLOAT */ 
    `sprdVolga`,
    /* Replace with a FLOAT */ 
    `sprdVanna`,
    /* Replace with a FLOAT */ 
    `sprdRho`,
    /* Replace with a FLOAT */ 
    `sprdPhi`,
    /* Replace with a TINYTEXT */ 
    `calcDetail`,
    /* Replace with a TINYTEXT */ 
    `error`,
    /* Replace with a DATETIME(6) */
    `timestamp`,
    /* Replace with a JSON */
    `DiscreteDividendList`,
    /* Replace with a JSON */
    `LegsList`
) 
VALUES(
    'Example_userName',
    5,
    4.56,
    4.56,
    'No',
    'None',
    'None',
    'Example_ticker_tk',
    4.56,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    'dummy tiny text',
    'dummy tiny text',
    '2022-01-01 12:34:56.000000',
    '{"key": "value"}',
    '{"key": "value"}'
);

DELETE TABLE EXAMPLE QUERY

DELETE FROM `SRFlex`.`MsgGetFlexSpreadPrice` 
WHERE
    /* Replace with a VARCHAR(24) */ 
    `userName` = 'Example_userName'
  AND
    /* Replace with a INT */ 
    `calcId` = 5;

Doc Columns Query

SELECT * FROM SRFlex.doccolumns WHERE TABLE_NAME='GetFlexSpreadPrice' ORDER BY ordinal_position ASC;