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Version: Upcoming

Schema: LiveImpliedQuoteAdj (ID: 1020)

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
100tickerTickerKey
103uprcfloatunderlier price (usually mid-market)
106yearsfloatyears to expiration
109ratefloatinterest rate
112sdivfloatsdiv (stock dividend) rate
115ddivfloatcumulative discrete dividend values
118obidfloatoption bid price
121oaskfloatoption ask price
124obivfloatvolatility implied by option bid price
127oaivfloatvolatility implied by option ask price
130satmfloatoption atm volatility (from SR surface)
133smnyfloatoption moneyness
136svolfloatoption surface volatility
139sprcfloatoption surface price
142smrkfloatoption surface price (w/bounding rules)
145veSlopefloatveSlope = dVol / dUprc (assuming vol @ xAxis = 0 remains constant);hedgeDelta = (de + ve * 100 * veSlope) if hedging with this assumption
148defloatoption delta
151gafloatoption gamma
154thfloatoption theta
157vefloatoption vega
160vafloatoption vanna
163vofloatoption volga
166rofloatoption rho
169phfloatoption phi
172deDecayfloatoption delta decay
175up50floatunderlier up 50% slide
178dn50floatunderlier dn 50% slide
181up15floatunderlier up 15% slide
184dn15floatunderlier dn 15% slide
187up06floatunderlier up 6% slide
190dn08floatunderlier dn 8% slide
193synSpotdoubleSynthetic spot price (market-derived spot when the underlying is not a traded instrument)
196priceTypeenum : CalcPriceTypeEquity or Future (Black76) pricing framework; if Future then uPrc is the forwardUPrc and sdiv = rate
199calcErrstring(24)option pricing error (if any)
202calcSourceenum : CalcSource
205uPrcAdjResultenum : AdjResult
208timestampDateTime

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 = 'LiveImpliedQuoteAdj'

# 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 = 'LiveImpliedQuoteAdj'

# 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|obid|oask|obiv|oaiv|satm|smny|svol|sprc|smrk|veSlope|de|ga|th|ve|va|vo|ro|ph|deDecay|up50|dn50|up15|dn15|up06|dn08|synSpot|priceType|calcErr|calcSource|uPrcAdjResult|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)

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 = 'LiveImpliedQuoteAdj'

# 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|obid|oask|obiv|oaiv|satm|smny|svol|sprc|smrk|veSlope|de|ga|th|ve|va|vo|ro|ph|deDecay|up50|dn50|up15|dn15|up06|dn08|synSpot|priceType|calcErr|calcSource|uPrcAdjResult|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)

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 = 'LiveImpliedQuoteAdj'

# 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|obid|oask|obiv|oaiv|satm|smny|svol|sprc|smrk|veSlope|de|ga|th|ve|va|vo|ro|ph|deDecay|up50|dn50|up15|dn15|up06|dn08|synSpot|priceType|calcErr|calcSource|uPrcAdjResult|timestamp'

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

# 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)

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 = 'LiveImpliedQuoteAdj'

# 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)