Schema: SpanRiskCalculator (ID: 5060)
This table allows custom span risk calculations based on either user or SR supplied input values.
METADATA
Attribute | Value |
---|---|
Topic | 5030-srse-calculators |
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= | secKey | OptionKey | |
11= | secType | enum : SpdrKeyType | |
12= | userName | string(24) | |
100 | vol | double | volatility |
103 | volSrc | enum : FieldSrc | |
106 | uPrc | double | underlying price |
109 | uPrcSrc | enum : FieldSrc | |
112 | years | double | years-to-expiration (default uses SR volatility time value) |
115 | yearsSrc | enum : FieldSrc | |
118 | sdiv | double | continuous stock dividend using for pricing |
121 | sdivSrc | enum : FieldSrc | |
124 | rate | double | discount rate used for pricing |
127 | rateSrc | enum : FieldSrc | |
130 | exType | enum : ExerciseType | exercise type of the option (American or European) |
133 | exTypeSrc | enum : FieldSrc | |
136 | effStrike | double | effective strike used for pricing (default is okey.Strike) |
139 | effStrikeSrc | enum : FieldSrc | |
142 | symRatio | double | underlying symbol ratio (for non-standard options); discrete dividend will be scaled by this factor |
145 | symRatioSrc | enum : FieldSrc | |
148 | divString | text1 | discrete dividend string [ yearsToExpiry, years1:amt1, years2:amt2, ...] or [ -1, date1:amt1, date2:amt2, ... ] |
151 | divSrc | enum : FieldSrc | |
154 | modelType | enum : CalcModelType | LogNormalExact, LogNormalApprox, NormalExact, NormalApprox |
157 | modelTypeSrc | enum : FieldSrc | |
160 | calcPrecision | enum : CalcPrecision | numerical precision (# of steps) if a numerical method is used; [more steps will be slower to calculate] |
163 | pointValue | double | $ value of a point in the underlying product |
166 | pointValueSrc | enum : FieldSrc | |
169 | prcSpanUp | float | |
172 | prcSpanDn | float | |
175 | prcSpanType | enum : PrcSpanType | |
178 | volSpan | float | |
181 | volSpanType | enum : VolSpanType | |
184 | spanCalcType | enum : SpanCalcType | |
187 | hedgeDeltaNeutral | enum : YesNo | all option will be assumed hedged delta neutral, stock and futures will not have slide values |
190 | adjYears | double | year adjustment: effYears = years + adjYears (-1 = no limit) |
193 | maxYears | double | upper bound for years: effYears = MIN(maxYears, effYears) (-1 = no limit) |
196 | span01 | float | span1: uPrc=unch, vol=up |
199 | span02 | float | span2: uPrc=unch, vol=down |
202 | span03 | float | span3: uPrc=+33%, vol=up |
205 | span04 | float | span4: uPrc=+33%, vol=dn |
208 | span05 | float | span5: uPrc=-33%, vol=up |
211 | span06 | float | span6: uPrc=-33%, vol=down |
214 | span07 | float | span7: uPrc=+67%, vol=up |
217 | span08 | float | span8: uPrc=+67%, vol=down |
220 | span09 | float | span9: uPrc=-67%, vol=up |
223 | span10 | float | span10: uPrc=-67%, vol=down |
226 | span11 | float | span11: uPrc=+100%, vol=up |
229 | span12 | float | span12: uPrc=+100%, vol=down |
232 | span13 | float | span13: uPrc=-100%, vol=up |
235 | span14 | float | span14: uPrc=-100%, vol=down |
238 | span15 | float | span15: uPrc=+300%; price slide * 0.33 |
241 | span16 | float | span16: uPrc=-300%, price slide * 0.33 |
244 | error | string(32) | calculation error |
247 | 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 = 'SpanRiskCalculator'
# 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=SpanRiskCalculator'
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 = 'SpanRiskCalculator'
# 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 = 'vol|volSrc|uPrc|uPrcSrc|years|yearsSrc|sdiv|sdivSrc|rate|rateSrc|exType|exTypeSrc|effStrike|effStrikeSrc|symRatio|symRatioSrc|divString|divSrc|modelType|modelTypeSrc|calcPrecision|pointValue|pointValueSrc|prcSpanUp|prcSpanDn|prcSpanType|volSpan|volSpanType|spanCalcType|hedgeDeltaNeutral|adjYears|maxYears|span01|span02|span03|span04|span05|span06|span07|span08|span09|span10|span11|span12|span13|span14|span15|span16|error|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 = 'userName:eq:ExampleString'
# 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=SpanRiskCalculator' \
--data-urlencode 'view=vol|volSrc|uPrc|uPrcSrc|years|yearsSrc|sdiv|sdivSrc|rate|rateSrc|exType|exTypeSrc|effStrike|effStrikeSrc|symRatio|symRatioSrc|divString|divSrc|modelType|modelTypeSrc|calcPrecision|pointValue|pointValueSrc|prcSpanUp|prcSpanDn|prcSpanType|volSpan|volSpanType|spanCalcType|hedgeDeltaNeutral|adjYears|maxYears|span01|span02|span03|span04|span05|span06|span07|span08|span09|span10|span11|span12|span13|span14|span15|span16|error|timestamp' \
--data-urlencode 'where=userName:eq:ExampleString'
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 = 'SpanRiskCalculator'
# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'vol|volSrc|uPrc|uPrcSrc|years|yearsSrc|sdiv|sdivSrc|rate|rateSrc|exType|exTypeSrc|effStrike|effStrikeSrc|symRatio|symRatioSrc|divString|divSrc|modelType|modelTypeSrc|calcPrecision|pointValue|pointValueSrc|prcSpanUp|prcSpanDn|prcSpanType|volSpan|volSpanType|spanCalcType|hedgeDeltaNeutral|adjYears|maxYears|span01|span02|span03|span04|span05|span06|span07|span08|span09|span10|span11|span12|span13|span14|span15|span16|error|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 = 'userName:eq:ExampleString'
# 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 = 'vol: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=SpanRiskCalculator' \
--data-urlencode 'view=vol|volSrc|uPrc|uPrcSrc|years|yearsSrc|sdiv|sdivSrc|rate|rateSrc|exType|exTypeSrc|effStrike|effStrikeSrc|symRatio|symRatioSrc|divString|divSrc|modelType|modelTypeSrc|calcPrecision|pointValue|pointValueSrc|prcSpanUp|prcSpanDn|prcSpanType|volSpan|volSpanType|spanCalcType|hedgeDeltaNeutral|adjYears|maxYears|span01|span02|span03|span04|span05|span06|span07|span08|span09|span10|span11|span12|span13|span14|span15|span16|error|timestamp' \
--data-urlencode 'where=userName:eq:ExampleString' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=vol: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 = 'SpanRiskCalculator'
# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'vol|volSrc|uPrc|uPrcSrc|years|yearsSrc|sdiv|sdivSrc|rate|rateSrc|exType|exTypeSrc|effStrike|effStrikeSrc|symRatio|symRatioSrc|divString|divSrc|modelType|modelTypeSrc|calcPrecision|pointValue|pointValueSrc|prcSpanUp|prcSpanDn|prcSpanType|volSpan|volSpanType|spanCalcType|hedgeDeltaNeutral|adjYears|maxYears|span01|span02|span03|span04|span05|span06|span07|span08|span09|span10|span11|span12|span13|span14|span15|span16|error|timestamp'
# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'volSrc|uPrcSrc|yearsSrc|sdivSrc|rateSrc|exType|exTypeSrc|effStrikeSrc|symRatioSrc|divSrc|modelType|modelTypeSrc|calcPrecision|pointValueSrc|prcSpanType|volSpanType|spanCalcType|hedgeDeltaNeutral'
# 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 = 'userName:eq:ExampleString'
# 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=SpanRiskCalculator' \
--data-urlencode 'measure=vol|volSrc|uPrc|uPrcSrc|years|yearsSrc|sdiv|sdivSrc|rate|rateSrc|exType|exTypeSrc|effStrike|effStrikeSrc|symRatio|symRatioSrc|divString|divSrc|modelType|modelTypeSrc|calcPrecision|pointValue|pointValueSrc|prcSpanUp|prcSpanDn|prcSpanType|volSpan|volSpanType|spanCalcType|hedgeDeltaNeutral|adjYears|maxYears|span01|span02|span03|span04|span05|span06|span07|span08|span09|span10|span11|span12|span13|span14|span15|span16|error|timestamp' \
--data-urlencode 'group=volSrc|uPrcSrc|yearsSrc|sdivSrc|rateSrc|exType|exTypeSrc|effStrikeSrc|symRatioSrc|divSrc|modelType|modelTypeSrc|calcPrecision|pointValueSrc|prcSpanType|volSpanType|spanCalcType|hedgeDeltaNeutral' \
--data-urlencode 'where=userName:eq:ExampleString'
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 = 'SpanRiskCalculator'
# 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 = 'userName:eq:ExampleString'
# 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=SpanRiskCalculator' \
--data-urlencode 'where=userName:eq:ExampleString'