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Version: Upcoming

Schema: LiveImpliedQuote (ID: 1015)

CalcSource=Tick records are computed and published each time an option NBBO price changes. CalcSource=Loop records are computed in a 2-3 minute background loop.

Note that the underlier price (uPrc) will be the same for all options an underlier when CalcSource=Loop. This is not true for CalcSource=Tick where uPrc will be the underlier price that prevailed when the option price changed.

If you are consuming multicast data and only want records with consistent uPrc values for all options you should ignore Tick records. Alternatively, you can use an independent underlier price source (our StockBookQuote feed or some other) and 'adjust' the values in this table to the new underlier value.

If you are selecting records from SRSE you should note that OptionImpliedQuoteAdj table is a proxy implementation of this table that automatically applies the appropriate underlier adjustments as records are being returned.

METADATA​

AttributeValue
Topic1000-analytics
MLink TokenOptAnalytics
SRSE ProductSRAnalytics

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

BODY​

#FieldTypeComment
10=okeyOptionKey
100tickerTickerKeySR Ticker that this option rolls up to
103uPrcfloatunderlier price (usually mid-market)
106uOfffloatimplied underlier price offset (if any)
109yearsfloatyears to expiration
112xAxisfloatoption moneyness
115ratefloatdiscount rate
118sdivfloatsdiv (continuous stock dividend) rate
121ddivfloatcumulative discrete dividend value
124oBidfloatoption bid price
127oAskfloatoption ask price
130oBidIvfloatvolatility implied by option bid price
133oAskIvfloatvolatility implied by option ask price
136atmVolfloatoption atm volatility (from SR surface)
139sVolfloatoption surface volatility (SR surface fit model)
142sPrcfloatoption surface price; ie. PRICE(sVol, uPrc + uOff, years, rate, sDiv, {discrete dividends, if any})
145sMarkfloatoption surface mark (option surface price w/bounding rules; always between bid/ask)
148veSlopefloatveSlope = dVol / dUprc (assuming vol @ xAxis = 0 remains constant); hedgeDelta = (de + ve * 100 * veSlope) if hedging with this assumption
151defloatoption delta
154gafloatoption gamma
157thfloatoption theta
160vefloatoption vega
163vafloatoption vanna
166vofloatoption volga
169rofloatoption rho
172phfloatoption phi
175deDecayfloatoption delta decay
178up50floatunderlier up 50% slide
181dn50floatunderlier dn 50% slide
184up15floatunderlier up 15% slide
187dn15floatunderlier dn 15% slide
190up06floatunderlier up 6% slide
193dn08floatunderlier dn 8% slide
196synSpotdoubleSynthetic spot price (market-derived spot when the underlying is not a traded instrument)
199priceTypeenum : CalcPriceTypeEquity or Future (Black76) pricing framework; if Future then uPrc is the forwardUPrc and sdiv = rate
202calcErrenum : ImpliedQuoteErroroption pricing calculation error (if any)
205calcSourceenum : CalcSource
208srcTimestamplongOPRA source timestamp (nanoseconds since epoch); will be zero if calcSource != Tick
211netTimestamplongSR timestamp @ publish time
214timestampDateTime

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 = 'LiveImpliedQuote'

# 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 = 'LiveImpliedQuote'

# 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|uOff|years|xAxis|rate|sdiv|ddiv|oBid|oAsk|oBidIv|oAskIv|atmVol|sVol|sPrc|sMark|veSlope|de|ga|th|ve|va|vo|ro|ph|deDecay|up50|dn50|up15|dn15|up06|dn08|synSpot|priceType|calcErr|calcSource|srcTimestamp|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 = 'LiveImpliedQuote'

# 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|uOff|years|xAxis|rate|sdiv|ddiv|oBid|oAsk|oBidIv|oAskIv|atmVol|sVol|sPrc|sMark|veSlope|de|ga|th|ve|va|vo|ro|ph|deDecay|up50|dn50|up15|dn15|up06|dn08|synSpot|priceType|calcErr|calcSource|srcTimestamp|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 = 'LiveImpliedQuote'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|uPrc|uOff|years|xAxis|rate|sdiv|ddiv|oBid|oAsk|oBidIv|oAskIv|atmVol|sVol|sPrc|sMark|veSlope|de|ga|th|ve|va|vo|ro|ph|deDecay|up50|dn50|up15|dn15|up06|dn08|synSpot|priceType|calcErr|calcSource|srcTimestamp|netTimestamp|timestamp'

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

# 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 = 'LiveImpliedQuote'

# 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)