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Version: 8.6.4.3

Schema: RootDefinition (ID: 4365)

RootDefinition records are sourced from the listing exchange for future options and from OCC for US equity options. Records are updated as SpiderRock receives changes.

METADATA​

AttributeValue
Topic4335-product-definition
MLink TokenOptionDefinition
MLink EndpointMLink-Live
SRSE ProductSRLive, SRAnalytics

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

BODY​

#FieldTypeDefault ValueComment
10=rootTickerKey
100tickerTickerKeymaster underlying (can be a stock/product group; eg. @ES)
103osiRootstring(8)long version of the root. the short version is used in the TickerKey (for example RYAAY1, not RYAA1)
106ccodeTickerKey
109uPrcDriverKeyExpiryKey(optional) option underlier price driver (all option expiries) (overrides optExpiryDefinition)
112uPrcDriverTypeenum : SpdrKeyTypeStock or Future (note: if Future and uPrcDriverKey does not have an expiry month then FrontMonth will be used)
115uPrcDriverKey2ExpiryKey(optional) alternate option underlier price driver (all option expiries) (overrides optExpiryDefinition)
118uPrcDriverType2enum : SpdrKeyTypeStock or Future (note: if Future and uPrcDriverKey does not have an expiry month then FrontMonth will be used)
121uPrcBoundCCodeenum : YesNoif Yes and if a future exists with ccode=CCode and futExpiry = optExpiry the use this future as a pricing bound
124expirationMapenum : ExpirationMapdetermines the underlying future (if any)
127underlierModeenum : UnderlierMode
130optionTypeenum : OptionTypeindicator for option type
133multihedgeenum : Multihedgeindicates type of multihedge (None = standard root; all other root types are not None)
136exerciseTimeenum : ExerciseTimeExercise time type
139exerciseTypeenum : ExerciseTypeExercise style
142timeMetricenum : TimeMetrictrading time metric - 252 or 365 trading days or a weekly cycle type
223tradingPeriodenum : TradingPeriod
450pricingModelenum : PricingModelnon-functional. temporarily added back for binary compatibility with mars
230calcModelTypeenum : CalcModelType[LogNormal or Normal] - default is determined by product characteristics and is usually correct. for binary compatibility with new quant package
231prcFrameworkenum : PricingFramework[Spot or Forward] (override; default is usually ok). for binary compatibility with new quant package
148moneynessTypeenum : MoneynessTypemoneyness (xAxis) convention: PctStd = (K / fUPrc - 1) / (axisVol * RT), LogStd = LOG(K/fUPrc) / (axisVol * RT), NormStd = (K - fUPrc) / (axisVol * RT)
151priceQuoteTypeenum : PriceQuoteTypequoting style for the option series on the exchange, price (standard price quote) or volatility quoted (vol points)
154volumeTierenum : VolumeTier
157positionLimitintmax contract limit
160exchangesstring(24)exchange codes
163tickValuefloat$NLV value of a single tick change in display premium (pointValue = tickValue / tickSize)
166pointValuefloat$NLV value of a single point change in display premium (pointValue = tickValue / tickSize)
169pointCurrencyenum : Currency
172strikeScaledoublemanual strike price adjustment multiplier (used for some CME products if set, otherwise displayFactor is used) (okey_xx = strikePrice * manualStrikeScale)
175strikeRatiofloatnote: effective strike = strike * strikeRatio - cashOnExercise
178cashOnExercisefloatnote: cashOnExercise is positive if it decreases the effective strike price
181underliersPerCnintnote: always 100 if underlying list is in use
184premiumMultdoublenote: OCC premium/strike multiplier (usually 100)
222symbolRatiofloatnote: currently used when AdjConvention is None, value of 0 implies symbolRatio is 1
187adjConventionenum : AdjConvention
190optPriceIncenum : OptPriceInc
193priceFormatenum : PriceFormatprice display format
226minTickSizedoublemin tick size used for European native exchange options
196tradeCurrenum : Currency
199settleCurrenum : Currency
202strikeCurrenum : Currency
205defaultSurfaceRootTickerKeyfallback ticker to use for option surfaces if no native surfaces are available
218ricRootstring(6)RIC Root
227bbgRootstring(6)Bloomberg root
229bbgYrCodeenum : BbgYrCodeFormat for the year field in the Bloomberg Code
228bbgGroupenum : YellowKeyBloomberg Yellow Key
251regionalCompositeRootTickerKeyregional composite ticker - set on European contributor products only
254isHftTaxLiableenum : YesNoif Yes options on this root are liable for high frequency taxation and require hft throttling for maker algos
257hftTaxTriggerTimedoublevalue in seconds that any order activity (new, cancel, update) needs witheld for to prevent triggering hft (default .5 seconds per Italian tax)
260descriptionstring(80)product description (sourced from Activ FidName)
232timestampDateTime

REPEATING FIELDS​

Underlying

#FieldTypeDefault ValueComment
238tickerTickerKey
241undPerCnfloatnote: _root basket = sum(undPerCn * ticker) / 100

Exchange

#FieldTypeDefault ValueComment
247optExchenum : OptExch
250rootTickerKey

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 = 'RootDefinition'

# 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 = 'RootDefinition'

# 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|osiRoot|ccode|uPrcDriverKey|uPrcDriverType|uPrcDriverKey2|uPrcDriverType2|uPrcBoundCCode|expirationMap|underlierMode|optionType|multihedge|exerciseTime|exerciseType|timeMetric|tradingPeriod|pricingModel|calcModelType|prcFramework|moneynessType|priceQuoteType|volumeTier|positionLimit|exchanges|tickValue|pointValue|pointCurrency|strikeScale|strikeRatio|cashOnExercise|underliersPerCn|premiumMult|symbolRatio|adjConvention|optPriceInc|priceFormat|minTickSize|tradeCurr|settleCurr|strikeCurr|defaultSurfaceRoot|ricRoot|bbgRoot|bbgYrCode|bbgGroup|regionalCompositeRoot|isHftTaxLiable|hftTaxTriggerTime|description|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 = 'osiRoot: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)

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 = 'RootDefinition'

# 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|osiRoot|ccode|uPrcDriverKey|uPrcDriverType|uPrcDriverKey2|uPrcDriverType2|uPrcBoundCCode|expirationMap|underlierMode|optionType|multihedge|exerciseTime|exerciseType|timeMetric|tradingPeriod|pricingModel|calcModelType|prcFramework|moneynessType|priceQuoteType|volumeTier|positionLimit|exchanges|tickValue|pointValue|pointCurrency|strikeScale|strikeRatio|cashOnExercise|underliersPerCn|premiumMult|symbolRatio|adjConvention|optPriceInc|priceFormat|minTickSize|tradeCurr|settleCurr|strikeCurr|defaultSurfaceRoot|ricRoot|bbgRoot|bbgYrCode|bbgGroup|regionalCompositeRoot|isHftTaxLiable|hftTaxTriggerTime|description|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 = 'osiRoot: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)

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 = 'RootDefinition'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|osiRoot|ccode|uPrcDriverKey|uPrcDriverType|uPrcDriverKey2|uPrcDriverType2|uPrcBoundCCode|expirationMap|underlierMode|optionType|multihedge|exerciseTime|exerciseType|timeMetric|tradingPeriod|pricingModel|calcModelType|prcFramework|moneynessType|priceQuoteType|volumeTier|positionLimit|exchanges|tickValue|pointValue|pointCurrency|strikeScale|strikeRatio|cashOnExercise|underliersPerCn|premiumMult|symbolRatio|adjConvention|optPriceInc|priceFormat|minTickSize|tradeCurr|settleCurr|strikeCurr|defaultSurfaceRoot|ricRoot|bbgRoot|bbgYrCode|bbgGroup|regionalCompositeRoot|isHftTaxLiable|hftTaxTriggerTime|description|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'uPrcDriverType|uPrcDriverType2|uPrcBoundCCode|expirationMap|underlierMode|optionType|multihedge|exerciseTime|exerciseType|timeMetric|tradingPeriod|pricingModel|calcModelType|prcFramework|moneynessType|priceQuoteType|volumeTier|pointCurrency|adjConvention|optPriceInc|priceFormat|tradeCurr|settleCurr|strikeCurr|bbgYrCode|bbgGroup|isHftTaxLiable'

# 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 = 'osiRoot: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)

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 = 'RootDefinition'

# 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 = 'osiRoot: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)