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Version: Upcoming

Schema: LiveAtmVol (ID: 1010)

LiveAtmVol records are computed and publish continuously during trading hours

METADATA​

AttributeValue
Topic1000-analytics
MLink TokenOptSurface
SRSE ProductSRAnalytics

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

BODY​

#FieldTypeComment
10=ekeyExpiryKey
100tickerTickerKeyunderlying tickerKey (stock or product group) that this option expiration is associated with
103uPrcdoubleeffective underlier price
106yearsfloatSR years to expiry metric
109ratefloataverage expected interest rate to expiry (SR global rate curve)
112ddivfloat(expected) cumulative discrete dividend $ amounts prior to expiration (if any)
115ddivPvfloat(expected) cumulative npv of discrete dividend $ amounts prior to expiration (SR global rate curve) (if any)
118ddivSourceenum : DDivSourceForecast if any of the dividends prior to expiry are forecast rather than announced
121atmVolfloatatm vol (xAxis = 0)
124atmEMAfloatatm vol exp moving average (half-life ~ 30 seconds)
127uPrcRatiodoubleuPrc = uPrcDriver * uPrcRatio (when priceType = Future); uPrc = uPrcDriver (when priceType = Equity)
130uPrcRatioEMAdoubletime smoothed implied uPrcRatio (half-life ~ 30 seconds)
133sdivfloatstock dividend (borrow rate) (derived from call/put balance when priceType=Stock; =rate otherwise)
136sdivEMAfloatsdiv exp moving average (half-life ~ 30 seconds)
139minCPAdjValdoubleminimum cpAdjVal (sdiv or uPrcRatio)
142maxCPAdjValdoubleminimum cpAdjVal (sdiv or uPrcRatio)
145cpAdjTypeenum : CPAdjTypeadjustment used to align calls/puts
148priceTypeenum : CalcPriceType[Equity] has independent uPrc and rate with sdiv derived from call/put balance; [Future] has sdiv = rate with uPrc' derived from call/put balance
151uPrcDriverKeyExpiryKeyunderlier driver key
154uPrcDriverTypeenum : SpdrKeyTypeunderlier driver key type (stock or future)
157uPrcDriverdoubleunderlier driver (mid-market)
160axisFUPrcfloatforward underlier price; also at-the-money (xAxis = 0) synthetic strike
163synSpotdoubleSynthetic spot price (market-derived spot when the underlying is not a traded instrument)
166vWidthfloatatm volatility market width (estimated from near expiries)
169numAtmStrikesbyte
172tradeableStatusenum : TradeableStatusindicates whether the surface is currently tradeable or not (all server surface integrity checks pass)
175surfaceResultenum : SurfaceAdjResult
178netTimestamplongmost recent unix timestamp (all option quotes)
181timestampDateTime

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 = 'LiveAtmVol'

# 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 = 'LiveAtmVol'

# 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|ddiv|ddivPv|ddivSource|atmVol|atmEMA|uPrcRatio|uPrcRatioEMA|sdiv|sdivEMA|minCPAdjVal|maxCPAdjVal|cpAdjType|priceType|uPrcDriverKey|uPrcDriverType|uPrcDriver|axisFUPrc|synSpot|vWidth|numAtmStrikes|tradeableStatus|surfaceResult|netTimestamp|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 = 'LiveAtmVol'

# 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|ddiv|ddivPv|ddivSource|atmVol|atmEMA|uPrcRatio|uPrcRatioEMA|sdiv|sdivEMA|minCPAdjVal|maxCPAdjVal|cpAdjType|priceType|uPrcDriverKey|uPrcDriverType|uPrcDriver|axisFUPrc|synSpot|vWidth|numAtmStrikes|tradeableStatus|surfaceResult|netTimestamp|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 = '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 = 'LiveAtmVol'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|uPrc|years|rate|ddiv|ddivPv|ddivSource|atmVol|atmEMA|uPrcRatio|uPrcRatioEMA|sdiv|sdivEMA|minCPAdjVal|maxCPAdjVal|cpAdjType|priceType|uPrcDriverKey|uPrcDriverType|uPrcDriver|axisFUPrc|synSpot|vWidth|numAtmStrikes|tradeableStatus|surfaceResult|netTimestamp|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'ddivSource|cpAdjType|priceType|uPrcDriverType|tradeableStatus|surfaceResult'

# 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 = 'LiveAtmVol'

# 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)