Schema: LiveExpirySurface (ID: 1135)
LiveExpirySurface (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 | SystemData |
SRSE Product | SRAnalytics |
Note: The symbol
=
next to a field number indicates that it is a primary key.
BODY
# | Field | Type | Comment |
---|---|---|---|
10= | ekey | ExpiryKey | |
11= | surfaceType | enum : SurfaceCurveType | |
100 | uPrc | double | effective uPrc used for surface fitting |
101 | uPrcDriver | double | underlier driver (mid-market) |
102 | years | float | time to expiration (in years) |
103 | rate | float | average interest rate to expiration (discount rate) |
104 | sdiv | float | stock dividend (borrow rate) |
105 | atmVol | float | atm vol (xAxis = 0) |
106 | atmSlope | float | volatility surface slope (dVol / dXAxis) @ ATM (xAxis=0) |
107 | fitRate | float | |
108 | axisFUPrc | float | axis FwdUPrc (fwd underlying price used to compute xAxis) |
109 | axisVolRT | float | axis volatility x sqrt(years) (used to compute xAxis) [usually the minimum curve volatility] |
110 | skewMult | float | sVol = skewMult * BasisSkewFn(xMult * xAxis - xShift) |
111 | xMult | float | |
112 | xShift | float | |
113 | skewC00 | float | curve coeff[0] |
114 | skewC01 | float | curve coeff[1] |
115 | skewC02 | float | |
116 | skewC03 | float | |
117 | skewC04 | float | |
118 | skewC05 | float | |
119 | skewC06 | float | |
120 | skewC07 | float | |
121 | skewC08 | float | |
122 | skewC09 | float | |
123 | skewC10 | float | |
124 | skewC11 | float | |
125 | skewC12 | float | |
126 | skewC13 | float | |
127 | skewC14 | float | |
128 | skewC15 | float | |
129 | skewC16 | float | |
130 | skewC17 | float | |
131 | skewC18 | float | |
132 | skewC19 | float | |
133 | skewC20 | float | |
134 | skewC21 | float | |
135 | skewC22 | float | |
136 | skewC23 | float | |
137 | skewC24 | float | |
138 | skewC25 | float | |
139 | skewC26 | float | |
140 | skewC27 | float | |
141 | skewC28 | float | |
142 | cpAdjD04 | float | xAxis = -4.0 |
143 | cpAdjD03 | float | xAxis = -3.0 |
144 | cpAdjD02 | float | xAxis = -2.0 |
145 | cpAdjD01 | float | xAxis = -1.0 |
146 | cpAdjU01 | float | xAxis = +1.0 |
147 | cpAdjU02 | float | xAxis = +2.0 |
148 | cpAdjU03 | float | xAxis = +3.0 |
149 | cpAdjU04 | float | xAxis = +4.0 |
150 | tradeableStatus | enum : TradeableStatus | indicates whether the surface is currently tradeable or not (all server surface integrity checks pass) |
151 | surfaceResult | enum : SurfaceResult | |
152 | marketSession | enum : MarketSession | market session this surface is from |
153 | timestamp | DateTime |
Get Schema API Call
- Python
- cUrl
import requests
# Replace with your desired MLINK URL
MLINK_PROD_URL = 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json'
# Replace with your MLINK API Key
API_KEY = 'XXXX-XXXX-XXXX-XXXX'
# Replace with your desired MsgType.
MSG_TYPE = 'LiveExpirySurface'
# Request Parameters for Get Schema Of The MsgType
params = {
#Required Parameters
"apiKey": API_KEY,
"cmd": 'getschema',
"msgType": MSG_TYPE,
}
response = requests.get(MLINK_PROD_URL, params=params)
curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getschema' \
--data-urlencode 'msgType=LiveExpirySurface'
Get Msg API Call
- Python
- cUrl
import requests
# Replace with your desired MLINK URL
MLINK_PROD_URL = 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json'
# Replace with your MLINK API Key
API_KEY = 'XXXX-XXXX-XXXX-XXXX'
# Replace with your desired MsgType.
MSG_TYPE = 'LiveExpirySurface'
# Replace with your pkey value for getting the specific message desired
PKEY = 'ReplaceThisValueForTheQueryToWork'
# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned.
VIEW = 'uPrc|uPrcDriver|years|rate|sdiv|atmVol|atmSlope|fitRate|axisFUPrc|axisVolRT|skewMult|xMult|xShift|skewC00|skewC01|skewC02|skewC03|skewC04|skewC05|skewC06|skewC07|skewC08|skewC09|skewC10|skewC11|skewC12|skewC13|skewC14|skewC15|skewC16|skewC17|skewC18|skewC19|skewC20|skewC21|skewC22|skewC23|skewC24|skewC25|skewC26|skewC27|skewC28|cpAdjD04|cpAdjD03|cpAdjD02|cpAdjD01|cpAdjU01|cpAdjU02|cpAdjU03|cpAdjU04|tradeableStatus|surfaceResult|marketSession|timestamp'
# Replace with your desired where clause.
# a string in the form "field1:eq:valuse" or "(field1:ne:value1 & field1:ne:value2)
# "WHERE" clauses can contain the following comparison symbols:
# :gt: is greater than
# :ge: is greater than or equal to
# :lt: is less than
# :le: is less than or equal to
# :eq: is equal
# :ne: is not equal
# %26 is an AND statement
# | is an OR statement
# :sw: is starts with
# :ew: is ends with
# :cv: is contains values
# :nv: is does not contain value
# :cb: is contained between (two dates for instance) separated by '$'
WHERE = ''
# Request Parameters for getmsg Of The MsgType
params = {
# Required Parameters
"apiKey": API_KEY,
"cmd": 'getmsg',
"pkey": PKEY,
"msgType": MSG_TYPE,
# Optional Parameters
"view": VIEW,
"where": WHERE
}
response = requests.get(MLINK_PROD_URL, params=params)
curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getmsg' \
--data-urlencode 'pkey=ReplaceThisValueForTheQueryToWork' \
--data-urlencode 'msgType=LiveExpirySurface' \
--data-urlencode 'view=uPrc|uPrcDriver|years|rate|sdiv|atmVol|atmSlope|fitRate|axisFUPrc|axisVolRT|skewMult|xMult|xShift|skewC00|skewC01|skewC02|skewC03|skewC04|skewC05|skewC06|skewC07|skewC08|skewC09|skewC10|skewC11|skewC12|skewC13|skewC14|skewC15|skewC16|skewC17|skewC18|skewC19|skewC20|skewC21|skewC22|skewC23|skewC24|skewC25|skewC26|skewC27|skewC28|cpAdjD04|cpAdjD03|cpAdjD02|cpAdjD01|cpAdjU01|cpAdjU02|cpAdjU03|cpAdjU04|tradeableStatus|surfaceResult|marketSession|timestamp' \
--data-urlencode 'where='
Get Msgs API Call
- Python
- cUrl
import requests
# Replace with your desired MLINK URL
MLINK_PROD_URL = 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json'
# Replace with your MLINK API Key
API_KEY = 'XXXX-XXXX-XXXX-XXXX'
# Replace with your desired MsgType.
MSG_TYPE = 'LiveExpirySurface'
# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'uPrc|uPrcDriver|years|rate|sdiv|atmVol|atmSlope|fitRate|axisFUPrc|axisVolRT|skewMult|xMult|xShift|skewC00|skewC01|skewC02|skewC03|skewC04|skewC05|skewC06|skewC07|skewC08|skewC09|skewC10|skewC11|skewC12|skewC13|skewC14|skewC15|skewC16|skewC17|skewC18|skewC19|skewC20|skewC21|skewC22|skewC23|skewC24|skewC25|skewC26|skewC27|skewC28|cpAdjD04|cpAdjD03|cpAdjD02|cpAdjD01|cpAdjU01|cpAdjU02|cpAdjU03|cpAdjU04|tradeableStatus|surfaceResult|marketSession|timestamp'
# Replace with your desired where clause.
# a string in the form "field1:eq:value" or "(field1:ne:value1 & field1:ne:value2)
# "WHERE" clauses can contain the following comparison symbols:
# :gt: is greater than
# :ge: is greater than or equal to
# :lt: is less than
# :le: is less than or equal to
# :eq: is equal
# :ne: is not equal
# %26 is an AND statement
# | is an OR statement
# :sw: is starts with
# :ew: is ends with
# :cv: is contains values
# :nv: is does not contain value
# :cb: is contained between (two dates for instance) separated by '$'
WHERE = ''
# Replace with your desired limit of how many messages you receive. The default limit is 500
LIMIT = 500
# Order clause eg. "(field1:DESC | field1:ASC | field2:DESC:ABS | field2:ASC:ABS" (default is unordered; default is faster)
ORDER = 'uPrc:ASC'
# Request Parameters for getmsgs Of The MsgType
params = {
# Required Parameters
"apiKey": API_KEY,
"cmd": 'getmsgs',
"msgType": MSG_TYPE,
# Optional Parameters
"view": VIEW,
"where": WHERE,
"limit": LIMIT,
"order": ORDER
}
response = requests.get(MLINK_PROD_URL, params=params)
curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getmsgs' \
--data-urlencode 'msgType=LiveExpirySurface' \
--data-urlencode 'view=uPrc|uPrcDriver|years|rate|sdiv|atmVol|atmSlope|fitRate|axisFUPrc|axisVolRT|skewMult|xMult|xShift|skewC00|skewC01|skewC02|skewC03|skewC04|skewC05|skewC06|skewC07|skewC08|skewC09|skewC10|skewC11|skewC12|skewC13|skewC14|skewC15|skewC16|skewC17|skewC18|skewC19|skewC20|skewC21|skewC22|skewC23|skewC24|skewC25|skewC26|skewC27|skewC28|cpAdjD04|cpAdjD03|cpAdjD02|cpAdjD01|cpAdjU01|cpAdjU02|cpAdjU03|cpAdjU04|tradeableStatus|surfaceResult|marketSession|timestamp' \
--data-urlencode 'where=' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=uPrc:ASC'
Get Aggregate API Call
- Python
- cUrl
import requests
# Replace with your desired MLINK URL
MLINK_PROD_URL = 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json'
# Replace with your MLINK API Key
API_KEY = 'XXXX-XXXX-XXXX-XXXX'
# Replace with your desired MsgType.
MSG_TYPE = 'LiveExpirySurface'
# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'uPrc|uPrcDriver|years|rate|sdiv|atmVol|atmSlope|fitRate|axisFUPrc|axisVolRT|skewMult|xMult|xShift|skewC00|skewC01|skewC02|skewC03|skewC04|skewC05|skewC06|skewC07|skewC08|skewC09|skewC10|skewC11|skewC12|skewC13|skewC14|skewC15|skewC16|skewC17|skewC18|skewC19|skewC20|skewC21|skewC22|skewC23|skewC24|skewC25|skewC26|skewC27|skewC28|cpAdjD04|cpAdjD03|cpAdjD02|cpAdjD01|cpAdjU01|cpAdjU02|cpAdjU03|cpAdjU04|tradeableStatus|surfaceResult|marketSession|timestamp'
# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'tradeableStatus|surfaceResult|marketSession'
# Replace with your desired where clause.
# a string in the form "field1:eq:value" or "(field1:ne:value1 & field1:ne:value2)
# "WHERE" clauses can contain the following comparison symbols:
# :gt: is greater than
# :ge: is greater than or equal to
# :lt: is less than
# :le: is less than or equal to
# :eq: is equal
# :ne: is not equal
# %26 is an AND statement
# | is an OR statement
# :sw: is starts with
# :ew: is ends with
# :cv: is contains values
# :nv: is does not contain value
# :cb: is contained between (two dates for instance) separated by '$'
WHERE = ''
# Request Parameters for getaggregate Of The MsgType
params = {
# Required Parameters
"apiKey": API_KEY,
"cmd": 'getaggregate',
"msgType": MSG_TYPE,
"measure": MEASURE,
"group": GROUP,
# Optional Parameters
"where": WHERE,
}
response = requests.get(MLINK_PROD_URL, params=params)
curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getaggregate' \
--data-urlencode 'msgType=LiveExpirySurface' \
--data-urlencode 'measure=uPrc|uPrcDriver|years|rate|sdiv|atmVol|atmSlope|fitRate|axisFUPrc|axisVolRT|skewMult|xMult|xShift|skewC00|skewC01|skewC02|skewC03|skewC04|skewC05|skewC06|skewC07|skewC08|skewC09|skewC10|skewC11|skewC12|skewC13|skewC14|skewC15|skewC16|skewC17|skewC18|skewC19|skewC20|skewC21|skewC22|skewC23|skewC24|skewC25|skewC26|skewC27|skewC28|cpAdjD04|cpAdjD03|cpAdjD02|cpAdjD01|cpAdjU01|cpAdjU02|cpAdjU03|cpAdjU04|tradeableStatus|surfaceResult|marketSession|timestamp' \
--data-urlencode 'group=tradeableStatus|surfaceResult|marketSession' \
--data-urlencode 'where='
Get Count API Call
- Python
- cUrl
import requests
# Replace with your desired MLINK URL
MLINK_PROD_URL = 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json'
# Replace with your MLINK API Key
API_KEY = 'XXXX-XXXX-XXXX-XXXX'
# Replace with your desired MsgType.
MSG_TYPE = 'LiveExpirySurface'
# Replace with your desired where clause.
# a string in the form "field1:eq:value" or "(field1:ne:value1 & field1:ne:value2)
# "WHERE" clauses can contain the following comparison symbols:
# :gt: is greater than
# :ge: is greater than or equal to
# :lt: is less than
# :le: is less than or equal to
# :eq: is equal
# :ne: is not equal
# %26 is an AND statement
# | is an OR statement
# :sw: is starts with
# :ew: is ends with
# :cv: is contains values
# :nv: is does not contain value
# :cb: is contained between (two dates for instance) separated by '$'
WHERE = ''
# Request Parameters for getCount Of The MsgType
params = {
# Required Parameters
"apiKey": API_KEY,
"cmd": 'getcount',
"msgType": MSG_TYPE,
# Optional Parameters
"where": WHERE,
}
response = requests.get(MLINK_PROD_URL, params=params)
curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getcount' \
--data-urlencode 'msgType=LiveExpirySurface' \
--data-urlencode 'where='