Schema: GetOptionVolatility (ID: 3340)

METADATA

Attribute	Value
Topic	3325-mlink
MLink Token	RiskCalc

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

BODY

#	Field	Type	Comment
100	root	TickerKey
103	expiry	DateKey
106	strike	double
109	callPut	enum : CallPut
112	price	double	option price (premium)
115	uPrc	double	underlying price
118	years	double	years-to-expiration (default uses SR volatility time value)
121	sdiv	double	continuous stock dividend using for pricing
124	rate	double	discount rate used for pricing
127	exType	enum : ExerciseType	exercise type of the option (American or European)
130	exTime	enum : ExerciseTime	exercise time (AM or PM)
133	timeMetric	enum : TimeMetric	time metric (D252, D365, etc.)
145	modelType	enum : CalcModelType
148	calcEngine	enum : CalcEngine	underlying calc engine: FastHybrid (listed strikes + SR discrtete dividends only). NumericX works for any strike/expiry + discrete dividend set but is significantly slower.
151	incGreeks	enum : YesNo	default (No)
154	vol	double	volatility (implied)
157	effStrike	double	effective strike used to for pricing calc
160	dividendAmount	float	sum of discrete dividend amounts payable prior to exercise (if any) (simple; not net present value)
163	delta	float	delta
166	gamma	float	gamma
169	theta	float	theta
172	vega	float	vega
175	volga	float	volga
178	vanna	float	vanna
181	deDecay	float	delta decay
184	rho	float	rho
187	phi	float	phi
190	error	string(32)
193	pricerModel	string(8)
196	timestamp	DateTime

REPEATING FIELDS

DiscreteDividend

Field	Type	Comment
139	date	DateTime
142	amount	float

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 = 'GetOptionVolatility'

# 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=GetOptionVolatility'

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 = 'GetOptionVolatility'

# 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 = 'root|expiry|strike|callPut|price|uPrc|years|sdiv|rate|exType|exTime|timeMetric|modelType|calcEngine|incGreeks|vol|effStrike|dividendAmount|delta|gamma|theta|vega|volga|vanna|deDecay|rho|phi|error|pricerModel|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 = 'error: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)

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=GetOptionVolatility' \
--data-urlencode 'view=root|expiry|strike|callPut|price|uPrc|years|sdiv|rate|exType|exTime|timeMetric|modelType|calcEngine|incGreeks|vol|effStrike|dividendAmount|delta|gamma|theta|vega|volga|vanna|deDecay|rho|phi|error|pricerModel|timestamp' \
--data-urlencode 'where=error:eq:ExampleString'

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 = 'GetOptionVolatility'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'root|expiry|strike|callPut|price|uPrc|years|sdiv|rate|exType|exTime|timeMetric|modelType|calcEngine|incGreeks|vol|effStrike|dividendAmount|delta|gamma|theta|vega|volga|vanna|deDecay|rho|phi|error|pricerModel|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 = 'error: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 = 'root: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=GetOptionVolatility' \
--data-urlencode 'view=root|expiry|strike|callPut|price|uPrc|years|sdiv|rate|exType|exTime|timeMetric|modelType|calcEngine|incGreeks|vol|effStrike|dividendAmount|delta|gamma|theta|vega|volga|vanna|deDecay|rho|phi|error|pricerModel|timestamp' \
--data-urlencode 'where=error:eq:ExampleString' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=root: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 = 'GetOptionVolatility'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'root|expiry|strike|callPut|price|uPrc|years|sdiv|rate|exType|exTime|timeMetric|modelType|calcEngine|incGreeks|vol|effStrike|dividendAmount|delta|gamma|theta|vega|volga|vanna|deDecay|rho|phi|error|pricerModel|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'callPut|exType|exTime|timeMetric|modelType|calcEngine|incGreeks'

# 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 = 'error: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)

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=GetOptionVolatility' \
--data-urlencode 'measure=root|expiry|strike|callPut|price|uPrc|years|sdiv|rate|exType|exTime|timeMetric|modelType|calcEngine|incGreeks|vol|effStrike|dividendAmount|delta|gamma|theta|vega|volga|vanna|deDecay|rho|phi|error|pricerModel|timestamp' \
--data-urlencode 'group=callPut|exType|exTime|timeMetric|modelType|calcEngine|incGreeks' \
--data-urlencode 'where=error:eq:ExampleString'

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 = 'GetOptionVolatility'

# 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 = 'error: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)

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=GetOptionVolatility' \
--data-urlencode 'where=error:eq:ExampleString'