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Version: Upcoming

Schema: LiveImpliedQuoteDisp (ID: 1017)

METADATA​

AttributeValue
Topic1000-analytics
MLink TokenOptAnalytics

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 (LiveImpliedQuote)
103uPrcfloatunderlier price (usually mid-market) LiveImpliedQuote
106clsBidIvfloatOptionCloseMark.bidIV
109clsAskIvfloatOptionCloseMark.AskIv
112clsMidVolfloat
115clsSrVolfloatPrevious close SrVol from OptionCloseMark.srVol
118oBidIvfloatvolatility implied by option bid price from LiveImpliedQuote
121oAskIvfloatvolatility implied by option ask price from LiveImpliedQuote
124midVolfloatmid-market vol, if oBidIv is -1, midVol is AVG(0, oAskIv), if oAskIv is -1, midVol is 0
127sVolfloatoption surface volatility (SR surface fit model) from LiveImpliedQuote
130sPrcfloatoption surface price; ie. PRICE(sVol, uPrc + uOff, years, rate, sDiv, {discrete dividends, if any}) from LiveImpliedQuote
136prtPrcfloatLast Print Price (from OptionPrint)
139surfVolfloatSR surface volatility from OptionPrintSet (at time of print)
141prtVolumeintday print volume in contracts from OptionPrintSet
142prtIVfloatprint implied volatility
145defloatoption delta
148gafloatoption gamma
151thfloatoption theta
154vefloatoption vega
157vafloatoption vanna
160vofloatoption volga
163rofloatoption rho
166phfloatoption phi
169calcErrenum : ImpliedQuoteErroroption pricing calculation error (if any)
172calcSourceenum : CalcSource
175srcTimestamplongOPRA source timestamp (nanoseconds since epoch); will be zero if calcSource != Tick
178netTimestamplongSR timestamp @ publish time
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 = 'LiveImpliedQuoteDisp'

# 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 = 'LiveImpliedQuoteDisp'

# 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|clsBidIv|clsAskIv|clsMidVol|clsSrVol|oBidIv|oAskIv|midVol|sVol|sPrc|prtPrc|surfVol|prtVolume|prtIV|de|ga|th|ve|va|vo|ro|ph|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 = 'LiveImpliedQuoteDisp'

# 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|clsBidIv|clsAskIv|clsMidVol|clsSrVol|oBidIv|oAskIv|midVol|sVol|sPrc|prtPrc|surfVol|prtVolume|prtIV|de|ga|th|ve|va|vo|ro|ph|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 = 'LiveImpliedQuoteDisp'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|uPrc|clsBidIv|clsAskIv|clsMidVol|clsSrVol|oBidIv|oAskIv|midVol|sVol|sPrc|prtPrc|surfVol|prtVolume|prtIV|de|ga|th|ve|va|vo|ro|ph|calcErr|calcSource|srcTimestamp|netTimestamp|timestamp'

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

# 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)