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Version: 8.6.10.4

Schema: RootDefinitionV3 (ID: 9112)

One row per option root: its underlier, its delivery and exercise terms, and its pricing conventions. Sourced from the listing exchange for future options and from OCC for US equity options, and updated as SpiderRock receives changes.

Field 100 ticker is the MASTER UNDERLYING - the containing complex - which is not the same key as the root itself.

METADATA​

AttributeValue
Topic9100-product-def-core
MLink TokenOptionDefinition
MLink EndpointMLink-Live
SRSE ProductSRReference

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

BODY​

#FieldTypeDefault ValueComment
10=rootTickerKeythe option root; AT and TS identify the universe it belongs to
100tickerTickerKeythe line this root hangs on, or its product for an option on a future; a delivery basket only when it delivers more than one line
103osiRootstring(8)long version of the root. the short version is used in the TickerKey (for example RYAAY1, not RYAA1)
106ccodeTickerKeythe futures product code this root lists against, where the underlier is a future
109uPrcDriverKeyExpiryKey(optional) option underlier price driver (all option expiries) (overrides optExpiryDefinition); on a line with composites a market or currency composite, empty = the primary market's
112uPrcDriverTypeenum : SpdrKeyTypeStock or Future (note: if Future and uPrcDriverKey does not have an expiry month then FrontMonth will be used)
115uPrcDriverKey2ExpiryKey(optional) alternate option underlier price driver (all option expiries) (overrides optExpiryDefinition)
118uPrcDriverType2enum : SpdrKeyTypeStock or Future (note: if Future and uPrcDriverKey does not have an expiry month then FrontMonth will be used)
121uPrcBoundCCodeenum : YesNoif Yes and if a future exists with ccode=CCode and futExpiry = optExpiry the use this future as a pricing bound
124expirationMapenum : ExpirationMapdetermines the underlying future (if any)
127underlierModeenum : UnderlierModehow the underlier price for this root is formed
130optionTypeenum : OptionTypeindicator for option type
133multihedgeenum : Multihedgeindicates type of multihedge (None = standard root; all other root types are not None)
136exerciseTimeenum : ExerciseTimeExercise time type
139exerciseTypeenum : ExerciseTypeExercise style
142timeMetricenum : TimeMetrictrading time metric - 252 or 365 trading days or a weekly cycle type
223tradingPeriodenum : TradingPeriodthe rotation rule that sets this product's trade date - TradingPeriodDefinitionV3 9015
450pricingModelenum : PricingModelnon-functional. temporarily added back for binary compatibility with mars
230calcModelTypeenum : CalcModelType[LogNormal or Normal] - default is determined by product characteristics and is usually correct. for binary compatibility with new quant package
231prcFrameworkenum : PricingFramework[Spot or Forward] (override; default is usually ok). for binary compatibility with new quant package
148moneynessTypeenum : MoneynessTypemoneyness (xAxis) convention: PctStd = (K / fUPrc - 1) / (axisVol * RT), LogStd = LOG(K/fUPrc) / (axisVol * RT), NormStd = (K - fUPrc) / (axisVol * RT)
151priceQuoteTypeenum : PriceQuoteTypequoting style for the option series on the exchange, price (standard price quote) or volatility quoted (vol points)
154volumeTierenum : VolumeTierliquidity tier for this root, used to scale quoting and surface work
157positionLimitintmax contract limit
163tickValuefloat$NLV value of a single tick change in display premium (pointValue = tickValue / tickSize)
166pointValuefloat$NLV value of a single point change in display premium (pointValue = tickValue / tickSize)
169pointCurrencystring(3)ISO 4217 currency pointValue is denominated in
172strikeScaledoublemanual strike price adjustment multiplier (used for some CME products if set, otherwise displayFactor is used) (okey_xx = strikePrice * manualStrikeScale)
175strikeRatiofloatnote: effective strike = strike * strikeRatio - cashOnExercise
178cashOnExercisefloatcash delivered per contract; positive decreases the effective strike. Cash alone: multihedge AllCash, ticker stays on the line
181underliersPerCndoubleshares per contract; for a delivery-basket root, the contract's share count (100, or 1000 on a 1000-share contract)
184premiumMultdoublenote: OCC premium/strike multiplier (usually 100)
222symbolRatiofloatnote: currently used when AdjConvention is None, value of 0 implies symbolRatio is 1
187adjConventionenum : AdjConventionhow the root was adjusted for a corporate action; symbolRatio applies when this is None
190optPriceIncenum : OptPriceIncthe premium tick regime for series on this root
193priceFormatenum : PriceFormatprice display format
226minTickSizedoublemin tick size used for European native exchange options
196tradeCurrstring(3)unit the option is quoted in: ISO 4217, or GBX where the venue quotes pence; money is pointCurrency
199settleCurrstring(3)ISO 4217 currency the option settles in
202strikeCurrstring(3)unit strikes are quoted in: ISO 4217, or GBX for pence strikes
205defaultSurfaceRootTickerKeyfallback ticker to use for option surfaces if no native surfaces are available
251regionalCompositeRootTickerKeyregional composite ticker - set on European contributor products only
254isHftTaxLiableenum : YesNoif Yes options on this root are liable for high frequency taxation and require hft throttling for maker algos
257hftTaxTriggerTimedoublevalue in seconds that any order activity (new, cancel, update) needs witheld for to prevent triggering hft (default .5 seconds per Italian tax)
260descriptionstring(80)product description (sourced from Activ FidName)
266flexTypeenum : FlexTypethe FLEX type this root was minted as; Listed for a listed root. May-mint lives on the underlier (9106/9115/9109)
269clearVenuestring(8)ClearVenueDefinitionV3 - where options on this root clear
900v3Sourceenum : V3SourceBridge = projected from a legacy record; Loader = written natively. None reads as Loader
232timestampDateTimewhen this row was last written
456scheduleGroupstring(6)-> ScheduleDefinitionV3 9057; an option-on-future root carries its product's code; empty = '*'
459settlementDaysbyteT+n of the current regime; 0 means T+0, never unknown
462bbgYrCodeenum : BbgYrCodeBloomberg year-code and weekly rendering the drop-copy symbol builders key on; a counterparty rendering policy until one exists
468liveRateKeyTickerKeyempty = $MRGN-<pointCurrency>-RATE
471basisKeyTickerKeyskew basis function key; empty = $SPX
474reverseSkewenum : YesNoNone = auto-determine the skew orientation from data
477uPrcDriverFxPairTickerKeythe CUR pair (FxSpotDefinitionV3 9124) converting uPrcDriverKey's composite into the root's currency when its currency has no composite; empty otherwise

REPEATING FIELDS​

Exchange

#FieldTypeDefault ValueComment
247micstring(4)ISO 10383 listing venue
250marketSegmentIdstring(24)venue market segment id
253productGroupstring(6)venue product group (CME Asset)
256securityGroupstring(6)venue security group (CME SecurityGroup)
259rootTickerKeythe venue's own root for this listing when it differs from the parent root; empty otherwise

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 = 'RootDefinitionV3'

# 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 = 'RootDefinitionV3'

# 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|osiRoot|ccode|uPrcDriverKey|uPrcDriverType|uPrcDriverKey2|uPrcDriverType2|uPrcBoundCCode|expirationMap|underlierMode|optionType|multihedge|exerciseTime|exerciseType|timeMetric|tradingPeriod|pricingModel|calcModelType|prcFramework|moneynessType|priceQuoteType|volumeTier|positionLimit|tickValue|pointValue|pointCurrency|strikeScale|strikeRatio|cashOnExercise|underliersPerCn|premiumMult|symbolRatio|adjConvention|optPriceInc|priceFormat|minTickSize|tradeCurr|settleCurr|strikeCurr|defaultSurfaceRoot|regionalCompositeRoot|isHftTaxLiable|hftTaxTriggerTime|description|flexType|clearVenue|v3Source|timestamp|scheduleGroup|settlementDays|bbgYrCode|liveRateKey|basisKey|reverseSkew|uPrcDriverFxPair'

# 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 = 'osiRoot: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 = 'RootDefinitionV3'

# 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|osiRoot|ccode|uPrcDriverKey|uPrcDriverType|uPrcDriverKey2|uPrcDriverType2|uPrcBoundCCode|expirationMap|underlierMode|optionType|multihedge|exerciseTime|exerciseType|timeMetric|tradingPeriod|pricingModel|calcModelType|prcFramework|moneynessType|priceQuoteType|volumeTier|positionLimit|tickValue|pointValue|pointCurrency|strikeScale|strikeRatio|cashOnExercise|underliersPerCn|premiumMult|symbolRatio|adjConvention|optPriceInc|priceFormat|minTickSize|tradeCurr|settleCurr|strikeCurr|defaultSurfaceRoot|regionalCompositeRoot|isHftTaxLiable|hftTaxTriggerTime|description|flexType|clearVenue|v3Source|timestamp|scheduleGroup|settlementDays|bbgYrCode|liveRateKey|basisKey|reverseSkew|uPrcDriverFxPair'

# 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 = 'osiRoot: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 = 'RootDefinitionV3'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|osiRoot|ccode|uPrcDriverKey|uPrcDriverType|uPrcDriverKey2|uPrcDriverType2|uPrcBoundCCode|expirationMap|underlierMode|optionType|multihedge|exerciseTime|exerciseType|timeMetric|tradingPeriod|pricingModel|calcModelType|prcFramework|moneynessType|priceQuoteType|volumeTier|positionLimit|tickValue|pointValue|pointCurrency|strikeScale|strikeRatio|cashOnExercise|underliersPerCn|premiumMult|symbolRatio|adjConvention|optPriceInc|priceFormat|minTickSize|tradeCurr|settleCurr|strikeCurr|defaultSurfaceRoot|regionalCompositeRoot|isHftTaxLiable|hftTaxTriggerTime|description|flexType|clearVenue|v3Source|timestamp|scheduleGroup|settlementDays|bbgYrCode|liveRateKey|basisKey|reverseSkew|uPrcDriverFxPair'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'uPrcDriverType|uPrcDriverType2|uPrcBoundCCode|expirationMap|underlierMode|optionType|multihedge|exerciseTime|exerciseType|timeMetric|tradingPeriod|pricingModel|calcModelType|prcFramework|moneynessType|priceQuoteType|volumeTier|adjConvention|optPriceInc|priceFormat|isHftTaxLiable|flexType|v3Source|bbgYrCode|reverseSkew'

# 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 = 'osiRoot: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 = 'RootDefinitionV3'

# 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 = 'osiRoot: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)
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