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Version: Staging

Schema: OptionMarketSummary (ID: 2780)

These records represent live market summary snapshots for each active option

METADATA​

AttributeValue
Topic2750-market-data-options
MLink TokenOptSummaryData
SRSE ProductSRLive

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

BODY​

#FieldTypeComment
10=okeyOptionKey
100opnPricedoublestart of day (SR) open mark
103opnVolatilitydoublestart of day (SR) open mark (volatility)
106clsPricedoubleend of day (SR) close mark
109clsVolatilitydoubleend of day (SR) close mark (volatility)
112minPrtPrcdoubleminimum print price within market hours
115minPrtVoldoubleminimum print volatility within market hours
118maxPrtPrcdoublemaximum print price within market hours
121maxPrtVoldoublemaximum print volatility within market hours
124openInterestint
127bidCountintnum prints <= SR surface mark
130bidVolumeintvolume when prtPrice <= quote.bid
133askCountintnum prints >= SR surface mark
136askVolumeintvolume when prtPrice >= quote.ask
139midCountintnum prints inside quote.ebid / quote.eask
142midVolumeintvolume inside quote.ebid / quote.eask
145prtCountintnumber of distinct print reports
148lastPrtPricedoublelast print price
151lastPrtVolatilityfloatlast print volatility
154avgWidthdoubleaverage market width (time weighted)
157avgBidSizefloataverage bid size (time weighted)
160avgAskSizefloataverage ask size (time weighted)
163lastPrintDateTime
166timestampDateTime

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 = 'OptionMarketSummary'

# 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 = 'OptionMarketSummary'

# 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 = 'opnPrice|opnVolatility|clsPrice|clsVolatility|minPrtPrc|minPrtVol|maxPrtPrc|maxPrtVol|openInterest|bidCount|bidVolume|askCount|askVolume|midCount|midVolume|prtCount|lastPrtPrice|lastPrtVolatility|avgWidth|avgBidSize|avgAskSize|lastPrint|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 = ''

# 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 = 'OptionMarketSummary'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'opnPrice|opnVolatility|clsPrice|clsVolatility|minPrtPrc|minPrtVol|maxPrtPrc|maxPrtVol|openInterest|bidCount|bidVolume|askCount|askVolume|midCount|midVolume|prtCount|lastPrtPrice|lastPrtVolatility|avgWidth|avgBidSize|avgAskSize|lastPrint|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 = ''

# 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 = 'opnPrice: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 = 'OptionMarketSummary'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'opnPrice|opnVolatility|clsPrice|clsVolatility|minPrtPrc|minPrtVol|maxPrtPrc|maxPrtVol|openInterest|bidCount|bidVolume|askCount|askVolume|midCount|midVolume|prtCount|lastPrtPrice|lastPrtVolatility|avgWidth|avgBidSize|avgAskSize|lastPrint|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 = ''

# 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 = 'OptionMarketSummary'

# 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 = ''

# 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)