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Version: 8.6.5.2

Schema: LiveSurfaceFixedGrid (ID: 1040)

LiveSurfaceFixedGrid records contain live interpolated censored surface volatilities across a range of delta strikes and fixed days to expiration.

Each record contains the implied and realized earnings move for the ticker, along with the forecasted earnings count, forward, sdiv, skew slope, and vol width correspoding to its days to expiration.

METADATA​

AttributeValue
Topic1000-analytics
MLink TokenOptSurface
MLink EndpointMLink-Live
SRSE ProductSRAnalytics

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

BODY​

#FieldTypeDefault ValueComment
10=tickerTickerKey
11=daysshortdays to expiration [5, 10, 21, 42, 63, 84, 105, 126, 189, 252, 378, 504]
12=surfaceTypeenum : SurfaceCurveType
100datestring(10)
103timestring(8)
106sDivfloatInterpolated implied sdiv rate (from LiveSurfaceFixedTerm.sDiv_N)
109fwdUPrcfloatInterpolated implied forward price (from LiveSurfaceFixedTerm.fwdUPrc_N)
112eCntintNumber of expected earnings dates (from LiveSurfaceFixedTerm.eCnt_N)
115iEMovefloatImplied earnings move (from LiveSurfaceFixedTerm.eMove)
118hEMovefloatHistorical earnings move (from LiveSurfaceFixedTerm.eMoveHist)
121volD45floatxde = -45 (censored volatility)
124volD40floatxde = -40
127volD35floatxde = -35
130volD30floatxde = -30
133volD25floatxde = -25
136volD20floatxde = -20
139volD15floatxde = -15
142volD10floatxde = -10
145volD05floatxde = -5
148volA00floatxde = 0
151volU05floatxde = +5
154volU10floatxde = +10
157volU15floatxde = +15
160volU20floatxde = +20
163volU25floatxde = +25
166volU30floatxde = +30
169volU35floatxde = +35
172volU40floatxde = +40
175volU45floatxde = +45
178vWidthfloatatm volatility width (from LiveSurfaceFixedTerm.vWidth_N)
181vSlopefloatatm volatility slope (from LiveSurfaceFixedTerm.vSlope_N)
184loYearsfloatLiveSurfaceCurve.years before days [-1 = none]
187hiYearsfloatLiveSurfaceCurve.years after days [-1 = none]
190minDeltafloatminimum valid strike delta
193maxDeltafloatmaximum valid strike delta
196timestampDateTimesurface fit timestamp

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 = 'LiveSurfaceFixedGrid'

# 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 = 'LiveSurfaceFixedGrid'

# 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 = 'date|time|sDiv|fwdUPrc|eCnt|iEMove|hEMove|volD45|volD40|volD35|volD30|volD25|volD20|volD15|volD10|volD05|volA00|volU05|volU10|volU15|volU20|volU25|volU30|volU35|volU40|volU45|vWidth|vSlope|loYears|hiYears|minDelta|maxDelta|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 = 'time: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 = 'LiveSurfaceFixedGrid'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'date|time|sDiv|fwdUPrc|eCnt|iEMove|hEMove|volD45|volD40|volD35|volD30|volD25|volD20|volD15|volD10|volD05|volA00|volU05|volU10|volU15|volU20|volU25|volU30|volU35|volU40|volU45|vWidth|vSlope|loYears|hiYears|minDelta|maxDelta|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 = 'time: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 = 'date: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 = 'LiveSurfaceFixedGrid'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'date|time|sDiv|fwdUPrc|eCnt|iEMove|hEMove|volD45|volD40|volD35|volD30|volD25|volD20|volD15|volD10|volD05|volA00|volU05|volU10|volU15|volU20|volU25|volU30|volU35|volU40|volU45|vWidth|vSlope|loYears|hiYears|minDelta|maxDelta|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = ''

# 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 = 'time: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 = 'LiveSurfaceFixedGrid'

# 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 = 'time: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)