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Version: Staging

Schema: TheoSurfacePerf (ID: 1105)

TheoSurfacePerf records are published throughout he day for each active client theoretical model in the SpiderRock system. They are suitable for tracking performance of a theoretical model surface whether or not it is being traded.

TheoSurfacePerf records are published to the SpiderRock elastic cluster at the end of each day.

METADATA

AttributeValue
Topic1000-analytics
MLink TokenSystemData
SRSE ProductSRTheo

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

BODY

#FieldTypeComment
10=ekeyExpiryKey
11=theoModelstring(16)theo model
12=clientFirmstring(16)client firm this theo model is associated with (controls visibility)
13=perfSurfTypeenum : PerfSurfaceType
100datestring(10)
103timestring(8)
106tickerTickerKeySpiderRock underlier stock key
109strikefloatatm strike (fwd uPrc);from LiveSurfacePerf record
112tEMovefloattheoretical event move (if any)
115cTVolfloattheo call volatility (from theoModel @ strike = strike)
118pTVolfloattheo put volatility (from theoModel @ strike = strike)
121cTOpxfloattheo call price @ (cTVol, uMark, years, sdiv, rate, ddiv)
124pTOpxfloattheo put price @ (pTVol, uMark, years, sdiv, rate, ddiv)
127fixCTVolfloatfixed strike theo call volatility (from theoModel @ strike = prvStrike)
130fixPTVolfloatfixed strike theo put volatility (from theoModel @ strike = prvStrike)
133fixCTOpxfloatfixed strike theo call price @ (fixTVol, uMark, years, sdiv, rate, ddiv);strike = prvStrike
136fixPTOpxfloatfixed strike theo put price @ (fixTVol, uMark, years, sdiv, rate, ddiv);strike = prvStrike
139prvStrikefloatprior period atm strike
142prvTEMovefloatprior period theoretical event move (if any)
145prvCTVolfloatprior period theo call volatility @ strike = prvStrike
148prvPTVolfloatprior period theo put volatility @ strike = prvStrike
151prvCTOpxfloatprior period theo call price @ strike = prvStrike
154prvPTOpxfloatprior period theo call price @ strike = prvStrike
157timestampDateTime

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 = 'TheoSurfacePerf'

# 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 = 'TheoSurfacePerf'

# 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|ticker|strike|tEMove|cTVol|pTVol|cTOpx|pTOpx|fixCTVol|fixPTVol|fixCTOpx|fixPTOpx|prvStrike|prvTEMove|prvCTVol|prvPTVol|prvCTOpx|prvPTOpx|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)

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 = 'TheoSurfacePerf'

# 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|ticker|strike|tEMove|cTVol|pTVol|cTOpx|pTOpx|fixCTVol|fixPTVol|fixCTOpx|fixPTOpx|prvStrike|prvTEMove|prvCTVol|prvPTVol|prvCTOpx|prvPTOpx|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 = '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 = 'TheoSurfacePerf'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'date|time|ticker|strike|tEMove|cTVol|pTVol|cTOpx|pTOpx|fixCTVol|fixPTVol|fixCTOpx|fixPTOpx|prvStrike|prvTEMove|prvCTVol|prvPTVol|prvCTOpx|prvPTOpx|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 = '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)

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 = 'TheoSurfacePerf'

# 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)