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Version: 8.6.10.4

Schema: TheoExpiryPtSkew (ID: 1975)

TheoExpiryPtSkew records carry the skew curve of a TheoExpirySurface record with the same key (ekey + theoModel + clientFirm) as x/y points, used when the surface's skewSource = PtSkew.

The client defines both axes: xType says what x measures (strike or a form of moneyness), yType says what y is (an absolute vol, a ratio to the surface theoVol, or a difference from it).

A moneyness x axis moves with the forward and is therefore sticky delta by construction; a Strike x axis is sticky strike. The forward uses the surface's theoRate and theoSDiv.

The resolver sorts the points by x; duplicate x values, fewer than two points (four for Spline) or more than 201 points make the surface hold rather than truncate.

METADATA​

AttributeValue
Topic1945-client-theos
MLink TokenClientTheo
MLink EndpointMLink-Live
SRSE ProductSRTheo

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

BODY​

#FieldTypeDefault ValueComment
10=ekeyExpiryKeyexpiry this curve belongs to (ticker + expiration); must match the TheoExpirySurface key
11=theoModelstring(16)client theo model name; must match the TheoExpirySurface key
12=clientFirmstring(16)client firm this theo model is associated with (controls visibility)
100tickerTickerKeyunderlier ticker (same as ekey.ticker; kept for filtering and joins)
103xTypeenum : TheoXTypeStrike = x is a strike; SimpleMoney = strike / fwd - 1; RTMoney = SimpleMoney / sqrt(years); VolRTMoney = SimpleMoney / (axisVol * sqrt(years)); LogStdMoney = ln(strike / fwd) / (axisVol * sqrt(years))
106yTypeenum : TheoYTypeVol = y is a volatility; AtmRatio = y * the surface level (theoVol after its vol path and SR blend); AtmDiff = level + y
109axisVolfloat-99scaling vol for VolRTMoney and LogStdMoney; -99 = the surface level
112interpenum : TheoInterpSplineinterpolation between points: Spline (needs four or more points) or Linear (two or more)
115extrapenum : TheoExtrapFlatbeyond the first and last point: Flat holds the end value, Extend continues the end slope
118timestampDateTimetimestamp of last modification; the surface's maxAgeDays applies to the older of the two timestamps

REPEATING FIELDS​

Point

#FieldTypeDefault ValueComment
124xfloatx coordinate in xType units
127yfloaty value in yType units

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 = 'TheoExpiryPtSkew'

# 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 = 'TheoExpiryPtSkew'

# 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|xType|yType|axisVol|interp|extrap|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 = 'TheoExpiryPtSkew'

# 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|xType|yType|axisVol|interp|extrap|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)

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 = 'TheoExpiryPtSkew'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|xType|yType|axisVol|interp|extrap|timestamp'

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

# 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 = 'TheoExpiryPtSkew'

# 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)

Post 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'

# Request Parameters
params = {
    # Required Parameters
    "apiKey": API_KEY,
    "cmd": 'postmsgs',
    "postaction": "I", # (I)nsert, (U)pdate, (D)elete, or (R)eplace
    "postmerge": "Y", # (Y)es or (N)o
}

payload = {
    "header": {
        "mTyp": "TheoExpiryPtSkew"
    },
    "message": {
        "pkey": {
            "ekey": {
                "at": "EQT",
                "ts": "NMS",
                "tk": "AAPL",
                "dt": "2025-01-01"
            },
            "theoModel": "exampleString", // string
            "clientFirm": "exampleString" // string
        },
        "ticker": {
            "at": "EQT",
            "ts": "NMS",
            "tk": "AAPL"
        },
        "xType": "enumValue", // enum(TheoXType) - None, Strike, SimpleMoney, RTMoney, VolRTMoney, LogStdMoney
        "yType": "enumValue", // enum(TheoYType) - None, Vol, AtmRatio, AtmDiff
        "axisVol": -99, // float. Default=-99
        "interp": "Spline", // enum(TheoInterp) - None, Spline, Linear. Default=Spline
        "extrap": "Flat", // enum(TheoExtrap) - None, Flat, Extend. Default=Flat
        "timestamp": "2025-01-01 12:00:00.000000", // yyyy-MM-dd HH:mm:ss.SSSSSS
        "Point": [ // Repeating Field
            {
                "x": 1.0, // float
                "y": 1.0 // float
            }
        ]
    }
}

response = requests.post(MLINK_PROD_URL, params=params, json=payload)
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