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Version: Staging

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

AttributeValue
Topic3120-market-marks
MLink TokenOptMarkData
SRSE ProductSRLive, SRAnalytics

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

BODY

#FieldTypeComment
10=okeyOptionKey
100tradeDateDateKey
103clsMarkStateenum : ClsMarkStatePreview or Final
106uBiddoubleSpiderRock closing underlier bid (C - 5m)
109uAskdoubleSpiderRock closing underlier ask (C - 5m)
112uSrClsdoubleSpiderRock underlier closing mark (C - 5m)
115uClosedoubleexchange underlier closing mark
118bidPrcfloatSpiderRock closing option bid (C - 5m)
121askPrcfloatSpiderRock closing option ask (C - 5m)
124srClsPrcdoubleSpiderRock close mark (close - 5min) [NBBO mid-market]
127closePrcdoubleofficial exchange closing mark (last print;then official close)
130hasSRClsPrcenum : YesNo
133hasClosePrcenum : YesNo
209hasUClsPrcenum : YesNo
136bidIVfloatimplied vol of SpiderRock closing bid price (C - 5m)
139askIVfloatimplied vol of SpiderRock closing ask price (C - 5m)
142srPrcfloatsr close mark price (always within bidPx/askPx) (C - 5m)
145srVolfloatsr close mark volatility (C - 5m)
148srSrcenum : MarkSourcesr close mark source (SRVol is SurfaceVol)
151defloatdelta
154gafloatgamma
157thfloattheta
160vefloatvega
163vofloatvolga
166vafloatvanna
169rhfloatrho
172phfloatphi
175srSlopefloatsurface slope (SR surface)
178deDecayfloatdelta decay
181sdivfloatsdiv rate
184ddivfloatddiv amount (sum of discrete dividend amounts)
210ddivPvfloatddiv (present value) amount (sum of discrete dividend pv amounts)
187ratefloatdiscount rate
211iDaysintinterest days (today to expiry) (T+1)
190yearsfloatyears to expiration
193errorbytecalculation error code
196openInterestintoption open Interest
199prtCountintprint count
202prtVolumeinttotal printed volume (all prt types)
205srCloseMarkDttmDateTimefrom MarketCloseQuote.srCloseMarkDttm
208timestampDateTimerecord 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 = '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)

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 = '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)

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 = '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)

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 = '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)

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 = '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)