Schema: SpdrTheoExpSurface (ID: 1960)
SpdrTheoExpSurface records reprent a client theoretical volatility surface for a ExpiryKey (ticker + expiration). These records can either directly specify parameters to be used in a parameterized surface function or can link to a record (eg. SpdrTheoExp2PtCurve) containing x/y points sampling a client constructed curve. Alternatively, they can specify that a SpiderRock implied skew curve should be used along with client supplied atm volatilities.
Surface dynamics can be specified in multiple ways with these records and a number of pricing parameter overrides are also available.
See the technical note on client supplied theoretical surfaces for more details.
METADATA
| Attribute | Value |
|---|---|
| Topic | 1945-client-theos |
| MLink Token | ClientTheo |
| SRSE Product | SRTheo |
Note: The symbol
=next to a field number indicates that it is a primary key.
BODY
| # | Field | Type | Comment |
|---|---|---|---|
| 10= | ekey | ExpiryKey | |
| 11= | theoModel | string(16) | |
| 12= | clientFirm | string(16) | client firm this theo model is associated with (controls visibility) |
| 100 | ticker | TickerKey | |
| 103 | skewFunc | enum : SkewFunc | |
| 106 | volTimeUnits | enum : VolTimeUnits | default uses the SR native time metric (trading minutes); V6 is a prior SR metric (trading days) |
| 109 | uPrcRefRule | enum : uPrcRefRule | |
| 112 | refUPrc | float | -1 = use SR uPrc @ record insert |
| 115 | refUPrcWeight | float | w: [0,1];adjRefUPrc = w * refUPrc + (1 - w) * uPrc;note: w=1 implies sticky strike behavior;w=0 implies sticky delta behavior |
| 118 | refSRAtm | float | -1 = use SR surface atm @ record insert |
| 121 | refSRAtmWeight | float | w: [0,1];theoVolAdj = theoVol + tvSlope * (uPrc - refUPrc) + w * (liveSRAtm - refSRAtm) |
| 124 | paramA | float | param A - J are inputs to the skewFunc model selected above |
| 127 | paramB | float | |
| 130 | paramC | float | |
| 133 | paramD | float | |
| 136 | paramE | float | |
| 139 | paramF | float | |
| 142 | paramG | float | |
| 145 | paramH | float | |
| 148 | paramI | float | |
| 151 | paramJ | float | |
| 154 | theoVol | float | theo volatility @ hypothetical atm strike (note: hypothetical atm strike depends on the definition of xAxis implied by the skewFunc model;usually the strike where xAxis = 0) |
| 157 | bOpnVol | float | buy open vol |
| 160 | bClsVol | float | buy close vol |
| 163 | sOpnVol | float | sell open vol |
| 166 | sClsVol | float | sell close vol |
| 169 | bOpnEdge | float | edge spread to open when buying |
| 172 | bClsEdge | float | edge spread to close when buying |
| 175 | sOpnEdge | float | edge spread to open when selling |
| 178 | sClsEdge | float | edge spread to close when selling |
| 181 | buySellConvention | enum : BuySellConvention | |
| 184 | lnDDiv | float | (depricated) |
| 187 | shDDiv | float | (depricated) |
| 190 | lnSDiv | float | long sdiv |
| 193 | shSDiv | float | short sdiv |
| 196 | tvSlope | float | tvSlope = dTheoVol / dUPrc;theoVolAdj = theoVol + tvSlope * (uPrc - refUPrc). Note: tvSlope affects the calculation of theoSurface veSlope values which in turn affect hedgeDelta calculations when account.hedgeType = 'TvS' |
| 199 | divRule | enum : DivRule | specifies how DDiv and SDiv values will be incorporated |
| 202 | userRateOverride | enum : YesNo | use rate from the UserRateOverride table instead of SR Rate curve |
| 205 | userSDivOverride | enum : YesNo | use sdiv from the UserSDivOverride table instead of SR SDiv |
| 208 | userDDivOverride | enum : YesNo | use dividends from the UserDividendOverride table instead of SR Dividends |
| 211 | minUBid | float | any non-hold status will revert to markup if live uMid is outside of [minUBid, maxUAsk] |
| 214 | maxUAsk | float | |
| 217 | theoStatus | enum : TheoStatus | |
| 220 | comment | string(16) | |
| 223 | updated | DateTime | datetime of last record update. will default to current datetime on record load of not supplied |
| 226 | modifiedBy | string(24) | user who last modified this record |
| 229 | modifiedIn | enum : SysEnvironment | |
| 232 | timestamp | DateTime | timestamp of last modification |
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 = 'SpdrTheoExpSurface'
# 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=SpdrTheoExpSurface'
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 = 'SpdrTheoExpSurface'
# 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|skewFunc|volTimeUnits|uPrcRefRule|refUPrc|refUPrcWeight|refSRAtm|refSRAtmWeight|paramA|paramB|paramC|paramD|paramE|paramF|paramG|paramH|paramI|paramJ|theoVol|bOpnVol|bClsVol|sOpnVol|sClsVol|bOpnEdge|bClsEdge|sOpnEdge|sClsEdge|buySellConvention|lnDDiv|shDDiv|lnSDiv|shSDiv|tvSlope|divRule|userRateOverride|userSDivOverride|userDDivOverride|minUBid|maxUAsk|theoStatus|comment|updated|modifiedBy|modifiedIn|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 = 'theoModel: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=SpdrTheoExpSurface' \
--data-urlencode 'view=ticker|skewFunc|volTimeUnits|uPrcRefRule|refUPrc|refUPrcWeight|refSRAtm|refSRAtmWeight|paramA|paramB|paramC|paramD|paramE|paramF|paramG|paramH|paramI|paramJ|theoVol|bOpnVol|bClsVol|sOpnVol|sClsVol|bOpnEdge|bClsEdge|sOpnEdge|sClsEdge|buySellConvention|lnDDiv|shDDiv|lnSDiv|shSDiv|tvSlope|divRule|userRateOverride|userSDivOverride|userDDivOverride|minUBid|maxUAsk|theoStatus|comment|updated|modifiedBy|modifiedIn|timestamp' \
--data-urlencode 'where=theoModel: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 = 'SpdrTheoExpSurface'
# 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|skewFunc|volTimeUnits|uPrcRefRule|refUPrc|refUPrcWeight|refSRAtm|refSRAtmWeight|paramA|paramB|paramC|paramD|paramE|paramF|paramG|paramH|paramI|paramJ|theoVol|bOpnVol|bClsVol|sOpnVol|sClsVol|bOpnEdge|bClsEdge|sOpnEdge|sClsEdge|buySellConvention|lnDDiv|shDDiv|lnSDiv|shSDiv|tvSlope|divRule|userRateOverride|userSDivOverride|userDDivOverride|minUBid|maxUAsk|theoStatus|comment|updated|modifiedBy|modifiedIn|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 = 'theoModel: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 = '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)
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=SpdrTheoExpSurface' \
--data-urlencode 'view=ticker|skewFunc|volTimeUnits|uPrcRefRule|refUPrc|refUPrcWeight|refSRAtm|refSRAtmWeight|paramA|paramB|paramC|paramD|paramE|paramF|paramG|paramH|paramI|paramJ|theoVol|bOpnVol|bClsVol|sOpnVol|sClsVol|bOpnEdge|bClsEdge|sOpnEdge|sClsEdge|buySellConvention|lnDDiv|shDDiv|lnSDiv|shSDiv|tvSlope|divRule|userRateOverride|userSDivOverride|userDDivOverride|minUBid|maxUAsk|theoStatus|comment|updated|modifiedBy|modifiedIn|timestamp' \
--data-urlencode 'where=theoModel:eq:ExampleString' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=ticker: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 = 'SpdrTheoExpSurface'
# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|skewFunc|volTimeUnits|uPrcRefRule|refUPrc|refUPrcWeight|refSRAtm|refSRAtmWeight|paramA|paramB|paramC|paramD|paramE|paramF|paramG|paramH|paramI|paramJ|theoVol|bOpnVol|bClsVol|sOpnVol|sClsVol|bOpnEdge|bClsEdge|sOpnEdge|sClsEdge|buySellConvention|lnDDiv|shDDiv|lnSDiv|shSDiv|tvSlope|divRule|userRateOverride|userSDivOverride|userDDivOverride|minUBid|maxUAsk|theoStatus|comment|updated|modifiedBy|modifiedIn|timestamp'
# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'skewFunc|volTimeUnits|uPrcRefRule|buySellConvention|divRule|userRateOverride|userSDivOverride|userDDivOverride|theoStatus|modifiedIn'
# 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 = 'theoModel: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=SpdrTheoExpSurface' \
--data-urlencode 'measure=ticker|skewFunc|volTimeUnits|uPrcRefRule|refUPrc|refUPrcWeight|refSRAtm|refSRAtmWeight|paramA|paramB|paramC|paramD|paramE|paramF|paramG|paramH|paramI|paramJ|theoVol|bOpnVol|bClsVol|sOpnVol|sClsVol|bOpnEdge|bClsEdge|sOpnEdge|sClsEdge|buySellConvention|lnDDiv|shDDiv|lnSDiv|shSDiv|tvSlope|divRule|userRateOverride|userSDivOverride|userDDivOverride|minUBid|maxUAsk|theoStatus|comment|updated|modifiedBy|modifiedIn|timestamp' \
--data-urlencode 'group=skewFunc|volTimeUnits|uPrcRefRule|buySellConvention|divRule|userRateOverride|userSDivOverride|userDDivOverride|theoStatus|modifiedIn' \
--data-urlencode 'where=theoModel: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 = 'SpdrTheoExpSurface'
# 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 = 'theoModel: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=SpdrTheoExpSurface' \
--data-urlencode 'where=theoModel:eq:ExampleString'