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Version: 8.4.08.4

Schema: LiveSurfaceDetail (ID: 1130)

LiveSurfaceDetail (surfaceType = 'Live') records are computed and publish continuously during trading hours and represent a current best implied volatility market fit details.

SurfaceType = 'PriorDay' records contain the `closing surface record from the prior trading period (usually from just before the last main session close).

METADATA​

AttributeValue
Topic1000-analytics
MLink TokenSystemData
SRSE ProductSRAnalytics

Note: The symbol = next to a field number indicates that it is a primary key.

BODY​

#FieldTypeComment
10=ekeyExpiryKey
11=surfaceTypeenum : SurfaceCurveType
100tickerTickerKeyunderlying stock key that this option expiration attaches to
101fkeyExpiryKeyunderlying future key (if any)
102uPrcDriverKeyExpiryKeyunderlier driver key
103uPrcDriverTypeenum : SpdrKeyTypeunderlier driver key type (stock or future)
104ddivfloat(expected) cumulative discrete dividend $ amounts prior to expiration
105ddivPvfloat(expected) cumulative npv of discrete dividend $ amounts prior to expiration (SR global rate curve)
106ddivSourceenum : DDivSourceForecast if any of the dividends prior to expiry are forecast rather than announced
107symbolRatiofloatunderlier price ratio (usually 1.0 or a multi-hedge option price ratio; if one exists)
108exTypeenum : ExerciseTypeexercise type (American or European)
109modelTypeenum : CalcModelTypeoption pricing model used for price calcs (Normal, LogNormal, etc.)
110priceTypeenum : CalcPriceTypeEquity has independent sdiv and rate, Future has sdiv = rate
111earnCntfloatnumber of qualifying earnings events prior to expiration [can be fractional] (from StockEarningsCalendar)
112earnCntAdjfloatnumber of qualifying earnings events prior to expiration [adjusted] (from StockEarningsCalendar + LiveSurfaceTerm)
113moneynessTypeenum : MoneynessTypemoneyness (xAxis) convention
114priceQuoteTypeenum : PriceQuoteTypePrice or Vol
115atmVolHistfloathistorical realized volatility (includes eMoveHist x earnCntAdj adjustment). Note that this is the default atmVol if no implied markets existed previous day.
116atmCenHistfloatcensored (earnings events removed) historical realized volatility. Trailing periods is 2x forward time to expiration. From HistoricalVolatility(windowType=hlCen).mv_nnn
117uBetaHistfloatbeta (this underlier vs basis underlier; T + 1 week)
118eMovefloatimplied earnings move (from LiveSurfaceTerm)
119eMoveHistfloathistorical earnings move (avg of trailing 8 moves). From StockEarningsCalendar.eMoveHist
120minXAxisfloatminimum xAxis value; left most point with a valid supporting strike
121maxXAxisfloatmaximum xAxis value; right most point with a valid supporting strike
122atmPhifloatsurface phi @ xAxis = 0
123atmRhofloatsurface rho @ xAxis = 0
124atmVegafloatsurface vega @ xAxis = 0
125uPrcRatiodoubleuPrcAdj = uPrc * uPrcRatioFit
126pwidthfloatminimum mkt premium width
127vwidthfloatminimum mkt volatility width
128cCntushortnum call strikes in base fit
129pCntushortnum put strikes in base fit
130hasBracketMinenum : YesNo
131surfaceSkewTypeenum : SurfaceSkewType
132cBidMissbytenumber of call bid violations (surface outside the market)
133cAskMissbytenumber of call ask violations (surface outside the market)
134pBidMissbytenumber of put bid violations
135pAskMissbytenumber of put ask violations
136fitScoreT0float
137fitScoreT1float
138cumFitScoreT0float
139cumFitScoreT1float
140fitCounterintnumber of fit/count passes (current trade date / market open)
141timestampDateTime

Get Schema API Call​

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 = 'LiveSurfaceDetail'

# 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)

Get Msg API Call​

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 = 'LiveSurfaceDetail'

# 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 = 'ticker|fkey|uPrcDriverKey|uPrcDriverType|ddiv|ddivPv|ddivSource|symbolRatio|exType|modelType|priceType|earnCnt|earnCntAdj|moneynessType|priceQuoteType|atmVolHist|atmCenHist|uBetaHist|eMove|eMoveHist|minXAxis|maxXAxis|atmPhi|atmRho|atmVega|uPrcRatio|pwidth|vwidth|cCnt|pCnt|hasBracketMin|surfaceSkewType|cBidMiss|cAskMiss|pBidMiss|pAskMiss|fitScoreT0|fitScoreT1|cumFitScoreT0|cumFitScoreT1|fitCounter|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)

Get Msgs API Call​

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 = 'LiveSurfaceDetail'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'ticker|fkey|uPrcDriverKey|uPrcDriverType|ddiv|ddivPv|ddivSource|symbolRatio|exType|modelType|priceType|earnCnt|earnCntAdj|moneynessType|priceQuoteType|atmVolHist|atmCenHist|uBetaHist|eMove|eMoveHist|minXAxis|maxXAxis|atmPhi|atmRho|atmVega|uPrcRatio|pwidth|vwidth|cCnt|pCnt|hasBracketMin|surfaceSkewType|cBidMiss|cAskMiss|pBidMiss|pAskMiss|fitScoreT0|fitScoreT1|cumFitScoreT0|cumFitScoreT1|fitCounter|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 = 'ticker: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)

Get Aggregate API Call​

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 = 'LiveSurfaceDetail'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|fkey|uPrcDriverKey|uPrcDriverType|ddiv|ddivPv|ddivSource|symbolRatio|exType|modelType|priceType|earnCnt|earnCntAdj|moneynessType|priceQuoteType|atmVolHist|atmCenHist|uBetaHist|eMove|eMoveHist|minXAxis|maxXAxis|atmPhi|atmRho|atmVega|uPrcRatio|pwidth|vwidth|cCnt|pCnt|hasBracketMin|surfaceSkewType|cBidMiss|cAskMiss|pBidMiss|pAskMiss|fitScoreT0|fitScoreT1|cumFitScoreT0|cumFitScoreT1|fitCounter|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'uPrcDriverType|ddivSource|exType|modelType|priceType|moneynessType|priceQuoteType|hasBracketMin|surfaceSkewType'

# 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)

Get Count API Call​

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 = 'LiveSurfaceDetail'

# 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)