Schema: OptionCloseMark (ID: 3140)

OptionCloseMark records are published immediately after the market close - 5 min and again when exchanges publish official marks.

OptionCloseMark records are published to the SpiderRock elastic cluster when clsMarkState=Final

METADATA

Attribute	Value
Topic	3120-market-marks
MLink Token	OptMarkData
SRSE Product	SRLive, SRAnalytics

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

BODY

#	Field	Type	Comment
10=	okey	OptionKey
100	tradeDate	DateKey
103	clsMarkState	enum : ClsMarkState	Preview or Final
106	uBid	double	SpiderRock closing underlier bid (C - 5m)
109	uAsk	double	SpiderRock closing underlier ask (C - 5m)
112	uSrCls	double	SpiderRock underlier closing mark (C - 5m)
115	uClose	double	exchange underlier closing mark
118	bidPrc	float	SpiderRock closing option bid (C - 5m)
121	askPrc	float	SpiderRock closing option ask (C - 5m)
124	srClsPrc	double	SpiderRock close mark (close - 5min) [NBBO mid-market]
127	closePrc	double	official exchange closing mark (last print;then official close)
130	hasSRClsPrc	enum : YesNo
133	hasClosePrc	enum : YesNo
209	hasUClsPrc	enum : YesNo
136	bidIV	float	implied vol of SpiderRock closing bid price (C - 5m)
139	askIV	float	implied vol of SpiderRock closing ask price (C - 5m)
142	srPrc	float	sr close mark price (always within bidPx/askPx) (C - 5m)
145	srVol	float	sr close mark volatility (C - 5m)
148	srSrc	enum : MarkSource	sr close mark source (SRVol is SurfaceVol)
151	de	float	delta
154	ga	float	gamma
157	th	float	theta
160	ve	float	vega
163	vo	float	volga
166	va	float	vanna
169	rh	float	rho
172	ph	float	phi
175	srSlope	float	surface slope (SR surface)
178	deDecay	float	delta decay
181	sdiv	float	sdiv rate
184	ddiv	float	ddiv amount (sum of discrete dividend amounts)
210	ddivPv	float	ddiv (present value) amount (sum of discrete dividend pv amounts)
187	rate	float	discount rate
211	iDays	int	interest days (today to expiry) (T+1)
190	years	float	years to expiration
193	error	byte	calculation error code
196	openInterest	int	option open Interest
199	prtCount	int	print count
202	prtVolume	int	total printed volume (all prt types)
205	srCloseMarkDttm	DateTime	from MarketCloseQuote.srCloseMarkDttm
208	timestamp	DateTime	record timestamp

Get Schema API Call

Python

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 = 'OptionCloseMark'

# 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)

cUrl

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getschema' \
--data-urlencode 'msgType=OptionCloseMark'

Get Msg API Call

Python

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 = 'OptionCloseMark'

# 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 = 'tradeDate|clsMarkState|uBid|uAsk|uSrCls|uClose|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|hasUClsPrc|bidIV|askIV|srPrc|srVol|srSrc|de|ga|th|ve|vo|va|rh|ph|srSlope|deDecay|sdiv|ddiv|ddivPv|rate|iDays|years|error|openInterest|prtCount|prtVolume|srCloseMarkDttm|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)

cUrl

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getmsg' \
--data-urlencode 'pkey=ReplaceThisValueForTheQueryToWork' \
--data-urlencode 'msgType=OptionCloseMark' \
--data-urlencode 'view=tradeDate|clsMarkState|uBid|uAsk|uSrCls|uClose|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|hasUClsPrc|bidIV|askIV|srPrc|srVol|srSrc|de|ga|th|ve|vo|va|rh|ph|srSlope|deDecay|sdiv|ddiv|ddivPv|rate|iDays|years|error|openInterest|prtCount|prtVolume|srCloseMarkDttm|timestamp' \
--data-urlencode 'where='

Get Msgs API Call

Python

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 = 'OptionCloseMark'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'tradeDate|clsMarkState|uBid|uAsk|uSrCls|uClose|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|hasUClsPrc|bidIV|askIV|srPrc|srVol|srSrc|de|ga|th|ve|vo|va|rh|ph|srSlope|deDecay|sdiv|ddiv|ddivPv|rate|iDays|years|error|openInterest|prtCount|prtVolume|srCloseMarkDttm|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 = 'tradeDate: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)

cUrl

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getmsgs' \
--data-urlencode 'msgType=OptionCloseMark' \
--data-urlencode 'view=tradeDate|clsMarkState|uBid|uAsk|uSrCls|uClose|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|hasUClsPrc|bidIV|askIV|srPrc|srVol|srSrc|de|ga|th|ve|vo|va|rh|ph|srSlope|deDecay|sdiv|ddiv|ddivPv|rate|iDays|years|error|openInterest|prtCount|prtVolume|srCloseMarkDttm|timestamp' \
--data-urlencode 'where=' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=tradeDate:ASC'

Get Aggregate API Call

Python

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 = 'OptionCloseMark'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'tradeDate|clsMarkState|uBid|uAsk|uSrCls|uClose|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|hasUClsPrc|bidIV|askIV|srPrc|srVol|srSrc|de|ga|th|ve|vo|va|rh|ph|srSlope|deDecay|sdiv|ddiv|ddivPv|rate|iDays|years|error|openInterest|prtCount|prtVolume|srCloseMarkDttm|timestamp'

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

# 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)

cUrl

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getaggregate' \
--data-urlencode 'msgType=OptionCloseMark' \
--data-urlencode 'measure=tradeDate|clsMarkState|uBid|uAsk|uSrCls|uClose|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|hasUClsPrc|bidIV|askIV|srPrc|srVol|srSrc|de|ga|th|ve|vo|va|rh|ph|srSlope|deDecay|sdiv|ddiv|ddivPv|rate|iDays|years|error|openInterest|prtCount|prtVolume|srCloseMarkDttm|timestamp' \
--data-urlencode 'group=clsMarkState|hasSRClsPrc|hasClosePrc|hasUClsPrc|srSrc' \
--data-urlencode 'where='

Get Count API Call

Python

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 = 'OptionCloseMark'

# 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)

cUrl

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getcount' \
--data-urlencode 'msgType=OptionCloseMark' \
--data-urlencode 'where='