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LiveImpliedQuote to LiveImpliedQuoteAdj Conversion

This page provides a detailed explanation of the conversion from LiveImpliedQuote to LiveImpliedQuoteAdj in the MLinkServer.

FieldSourceFormula/AdjustmentErrors/BoundsNotes
pkeyParentCopied from parent.NoneUnique identifier for the object
tickerParentCopied from parent.NoneStock or option ticker
uprcAdjustedUpdated to the new uPrc if available.Bounded by limits, price change thresholdIf adjustment fails, original price is retained.
uPrcAdjResultAdjustedSee "Possible Values of uPrcAdjResult" below.See "Possible Values of uPrcAdjResult" belowIndicates if uprc was successfully adjusted.
yearsParentCopied from parent.NoneRepresents time to expiration.
sdivParentCopied from parent.Nonesdiv
ddivParentCopied from parent.NoneDiscrete dividend
rateParentCopied from parent.NoneRisk-free interest rate
obidParentCopied from parent.NoneOption bid price
oaskParentCopied from parent.NoneOption ask price
obivAdjustedAdjusted for underlying price change.Bounded to min and max volatility limits.IV bounded to avoid out-of-range values.
oaivAdjustedAdjusted for underlying price change.Bounded to min and max volatility limits.IV bounded to avoid out-of-range values.
svolParentCopied from parent.NoneSurface volatility
sprcAdjustedsprce = parent sprce + Δ * uPrc + Γ * dUPrc^2Bounded to be non-negative.Represents surface price.
smrkAdjustedSame adjustment as sprc, but bounded to bid/ask.Bounded within bid/ask if applicable.Surface mark price bounded
veSlopeParentCopied from parent.NoneVolatility slope
deAdjustedDelta + Gamma * dUPrcBounded to [-1. +1] range.Adjustment depends on the change in uPrc.
veParentCopied from parent.Must be non-NaN.Vega
voParentCopied from parent.None
vaParentcopied from parent.None
gaParentCopied from parent.Must be non-NaN.
phParentCopied from parent.None
roParentCopied from parent.None
thParentCopied from parent.None
deDecayParentCopied from parent.NoneDecay of delta over time.
calcErrParentCopied as a string.None
calcSourceParentCopied from parent.NoneTick/Loop
satmParentCopied from parent.NoneATM implied volatility
smnyParentCopied from parent.NoneSurface moneyness
up50ParentCopied from parent.None
dn50ParentCopied from parent.None
up15ParentCopied from parent.None
dn15ParentCopied from parent.None
up06ParentCopied from parent.None
dn08ParentCopied from parent.None
timestampAdjustedUpdated to current system time.NoneReflects when the quote was adjusted.
priceTypeParentCopied from parent.NoneSource or type of price of underlier
synSpotAdjustedsynSpot = LIQAdj.uPrc * LIQ.synSpot / LIQ.uPrcNoneSynthetic spot price

uPrcAdjResult - Enum Definitions

ValueMeaningCause
NoneNo attempt to adjust uPrc.Initial state before adjustment.
OKSuccessful adjustment.New valid price found, and change was reasonable.
NullOptionNo option data found.Option data could not be retrieved.
StaleUprcNo live underlier price found.No live price for underlier.
InvalidUPrcInvalid underlying price.New price is zero or negative.
UPrcRangeErrLarge price change.Log price change > 0.15 threshold.
OtherErrorNaN in Greeks.Delta, Vega, or Gamma has NaN.