Version: Staging

Schema: OptionImpliedPair (ID: 5035)

This table contains current live NBBO prices and implied volatilites as well as greeks and SpiderRock surface volatilities/prices for all call/put pairs in the market.

METADATA

Attribute	Value
Topic	5030-srse-calculators
MLink Token	SystemData
SRSE Product	SRAnalytics

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

BODY

#	Field	Type	Comment
10=	okey	OptionKey	cp = Call
100	ticker	TickerKey
103	uprc	float	underlier price (usually mid-market)
106	years	float	years to expiration
109	rate	float	interest rate
112	sdiv	float	sdiv (stock dividend) rate
115	ddiv	float	cumulative discrete dividend values
118	symbolRatio	float	effUPrc = uprc * symbolRatio
121	strikeRatio	float	effStrike = okey_xx * strikeRatio
124	cashOnExercise	float	cash on exercise (multihedge only)
127	xAxis	float	option xAxis moneyness
130	axisFUPrc	float	option xAxis Fwd UPrc
133	axisVolRT	float	option xAxis moneyness volatility x sqrt(years)
136	cbid	float	call option bid price
139	cask	float	call option ask price
142	cbiv	float	volatility implied by option bid price
145	caiv	float	volatility implied by option ask price
148	catm	float	call option atm volatility (from SR surface)
151	cvol	float	call option surface volatility
154	cprc	float	call option surface price
157	cde	float	option delta (from cvol)
160	cga	float	option gamma (from cvol)
163	cth	float	option theta (from cvol)
166	cve	float	option vega (from cvol)
169	cro	float	option rho (from cvol)
172	cph	float	option phi (from cvol)
175	pbid	float	put option bid price
178	pask	float	put option ask price
181	pbiv	float	volatility implied by option bid price
184	paiv	float	volatility implied by option ask price
187	patm	float	put option atm volatility (from SR surface)
190	pvol	float	put option surface volatility
193	pprc	float	put option surface price
196	pde	float	option delta (from pvol)
199	pga	float	option gamma (from pvol)
202	pth	float	option theta (from pvol)
205	pve	float	option vega (from pvol)
208	pro	float	option rho (from pvol)
211	pph	float	option phi (from pvol)
214	calcErr	string(24)	option pricing error (if any)
217	calcSource	enum : CalcSource
220	timestamp	DateTime

Get Schema API Call

Python
cUrl

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 = 'OptionImpliedPair'

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

Get Msg API Call

Python
cUrl

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 = 'OptionImpliedPair'

# 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|uprc|years|rate|sdiv|ddiv|symbolRatio|strikeRatio|cashOnExercise|xAxis|axisFUPrc|axisVolRT|cbid|cask|cbiv|caiv|catm|cvol|cprc|cde|cga|cth|cve|cro|cph|pbid|pask|pbiv|paiv|patm|pvol|pprc|pde|pga|pth|pve|pro|pph|calcErr|calcSource|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 = 'calcErr: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 -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=OptionImpliedPair' \
--data-urlencode 'view=ticker|uprc|years|rate|sdiv|ddiv|symbolRatio|strikeRatio|cashOnExercise|xAxis|axisFUPrc|axisVolRT|cbid|cask|cbiv|caiv|catm|cvol|cprc|cde|cga|cth|cve|cro|cph|pbid|pask|pbiv|paiv|patm|pvol|pprc|pde|pga|pth|pve|pro|pph|calcErr|calcSource|timestamp' \
--data-urlencode 'where=calcErr:eq:ExampleString'

Get Msgs API Call

Python
cUrl

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 = 'OptionImpliedPair'

# 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|uprc|years|rate|sdiv|ddiv|symbolRatio|strikeRatio|cashOnExercise|xAxis|axisFUPrc|axisVolRT|cbid|cask|cbiv|caiv|catm|cvol|cprc|cde|cga|cth|cve|cro|cph|pbid|pask|pbiv|paiv|patm|pvol|pprc|pde|pga|pth|pve|pro|pph|calcErr|calcSource|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 = 'calcErr: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)

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=OptionImpliedPair' \
--data-urlencode 'view=ticker|uprc|years|rate|sdiv|ddiv|symbolRatio|strikeRatio|cashOnExercise|xAxis|axisFUPrc|axisVolRT|cbid|cask|cbiv|caiv|catm|cvol|cprc|cde|cga|cth|cve|cro|cph|pbid|pask|pbiv|paiv|patm|pvol|pprc|pde|pga|pth|pve|pro|pph|calcErr|calcSource|timestamp' \
--data-urlencode 'where=calcErr:eq:ExampleString' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=ticker:ASC'

Get Aggregate API Call

Python
cUrl

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 = 'OptionImpliedPair'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|uprc|years|rate|sdiv|ddiv|symbolRatio|strikeRatio|cashOnExercise|xAxis|axisFUPrc|axisVolRT|cbid|cask|cbiv|caiv|catm|cvol|cprc|cde|cga|cth|cve|cro|cph|pbid|pask|pbiv|paiv|patm|pvol|pprc|pde|pga|pth|pve|pro|pph|calcErr|calcSource|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'calcSource'

# 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 = 'calcErr: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 -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getaggregate' \
--data-urlencode 'msgType=OptionImpliedPair' \
--data-urlencode 'measure=ticker|uprc|years|rate|sdiv|ddiv|symbolRatio|strikeRatio|cashOnExercise|xAxis|axisFUPrc|axisVolRT|cbid|cask|cbiv|caiv|catm|cvol|cprc|cde|cga|cth|cve|cro|cph|pbid|pask|pbiv|paiv|patm|pvol|pprc|pde|pga|pth|pve|pro|pph|calcErr|calcSource|timestamp' \
--data-urlencode 'group=calcSource' \
--data-urlencode 'where=calcErr:eq:ExampleString'

Get Count API Call

Python
cUrl

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 = 'OptionImpliedPair'

# 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 = 'calcErr: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 -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getcount' \
--data-urlencode 'msgType=OptionImpliedPair' \
--data-urlencode 'where=calcErr:eq:ExampleString'

Schema: OptionImpliedPair (ID: 5035)

METADATA​

BODY​

Get Schema API Call​

Get Msg API Call​

Get Msgs API Call​

Get Aggregate API Call​

Get Count API Call​

METADATA

BODY

Get Schema API Call

Get Msg API Call

Get Msgs API Call

Get Aggregate API Call

Get Count API Call