Version: Upcoming

Schema: LiveSurfaceDetail (ID: 1130)

LiveSurfaceDetail (surfaceType = 'Live') records are computed and publish continuously during trading hours and represent a current best implied volatility market fit details.

SurfaceType = 'PriorDay' records contain the `closing surface record from the prior trading period (usually from just before the last main session close).

METADATA

Attribute	Value
Topic	1000-analytics
MLink Token	SystemData
SRSE Product	SRAnalytics

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

BODY

#	Field	Type	Comment
10=	ekey	ExpiryKey
11=	surfaceType	enum : SurfaceCurveType
100	ticker	TickerKey	underlying stock key that this option expiration attaches to
101	fkey	ExpiryKey	underlying future key (if any)
102	uPrcDriverKey	ExpiryKey	underlier driver key
103	uPrcDriverType	enum : SpdrKeyType	underlier driver key type (stock or future)
104	ddiv	float	(expected) cumulative discrete dividend $ amounts prior to expiration
105	ddivPv	float	(expected) cumulative npv of discrete dividend $ amounts prior to expiration (SR global rate curve)
106	ddivSource	enum : DDivSource	Forecast if any of the dividends prior to expiry are forecast rather than announced
107	symbolRatio	float	underlier price ratio (usually 1.0 or a multi-hedge option price ratio; if one exists)
108	exType	enum : ExerciseType	exercise type (American or European)
109	modelType	enum : CalcModelType	option pricing model used for price calcs (Normal, LogNormal, etc.)
110	priceType	enum : CalcPriceType	Equity has independent sdiv and rate, Future has sdiv = rate
111	earnCnt	float	number of qualifying earnings events prior to expiration [can be fractional] (from StockEarningsCalendar)
112	earnCntAdj	float	number of qualifying earnings events prior to expiration [adjusted] (from StockEarningsCalendar + LiveSurfaceTerm)
113	moneynessType	enum : MoneynessType	moneyness (xAxis) convention
114	priceQuoteType	enum : PriceQuoteType	Price or Vol
115	atmVolHist	float	historical realized volatility (includes eMoveHist x earnCntAdj adjustment). Note that this is the default atmVol if no implied markets existed previous day.
116	atmCenHist	float	censored (earnings events removed) historical realized volatility. Trailing periods is 2x forward time to expiration. From HistoricalVolatility(windowType=hlCen).mv_nnn
117	uBetaHist	float	beta (this underlier vs basis underlier; T + 1 week)
118	eMove	float	implied earnings move (from LiveSurfaceTerm)
119	eMoveHist	float	historical earnings move (avg of trailing 8 moves). From StockEarningsCalendar.eMoveHist
120	minXAxis	float	minimum xAxis value; left most point with a valid supporting strike
121	maxXAxis	float	maximum xAxis value; right most point with a valid supporting strike
122	atmPhi	float	surface phi @ xAxis = 0
123	atmRho	float	surface rho @ xAxis = 0
124	atmVega	float	surface vega @ xAxis = 0
125	uPrcRatio	double	uPrcAdj = uPrc * uPrcRatioFit
126	pwidth	float	minimum mkt premium width
127	vwidth	float	minimum mkt volatility width
128	cCnt	ushort	num call strikes in base fit
129	pCnt	ushort	num put strikes in base fit
130	hasBracketMin	enum : YesNo
131	surfaceSkewType	enum : SurfaceSkewType
132	cBidMiss	byte	number of call bid violations (surface outside the market)
133	cAskMiss	byte	number of call ask violations (surface outside the market)
134	pBidMiss	byte	number of put bid violations
135	pAskMiss	byte	number of put ask violations
136	fitScoreT0	float
137	fitScoreT1	float
138	cumFitScoreT0	float
139	cumFitScoreT1	float
140	fitCounter	int	number of fit/count passes (current trade date / market open)
141	timestamp	DateTime

Get Schema API Call

Python
cUrl

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 = 'LiveSurfaceDetail'

# 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)

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getschema' \
--data-urlencode 'msgType=LiveSurfaceDetail'

Get Msg API Call

Python
cUrl

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 = 'LiveSurfaceDetail'

# 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|fkey|uPrcDriverKey|uPrcDriverType|ddiv|ddivPv|ddivSource|symbolRatio|exType|modelType|priceType|earnCnt|earnCntAdj|moneynessType|priceQuoteType|atmVolHist|atmCenHist|uBetaHist|eMove|eMoveHist|minXAxis|maxXAxis|atmPhi|atmRho|atmVega|uPrcRatio|pwidth|vwidth|cCnt|pCnt|hasBracketMin|surfaceSkewType|cBidMiss|cAskMiss|pBidMiss|pAskMiss|fitScoreT0|fitScoreT1|cumFitScoreT0|cumFitScoreT1|fitCounter|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)

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getmsg' \
--data-urlencode 'pkey=ReplaceThisValueForTheQueryToWork' \
--data-urlencode 'msgType=LiveSurfaceDetail' \
--data-urlencode 'view=ticker|fkey|uPrcDriverKey|uPrcDriverType|ddiv|ddivPv|ddivSource|symbolRatio|exType|modelType|priceType|earnCnt|earnCntAdj|moneynessType|priceQuoteType|atmVolHist|atmCenHist|uBetaHist|eMove|eMoveHist|minXAxis|maxXAxis|atmPhi|atmRho|atmVega|uPrcRatio|pwidth|vwidth|cCnt|pCnt|hasBracketMin|surfaceSkewType|cBidMiss|cAskMiss|pBidMiss|pAskMiss|fitScoreT0|fitScoreT1|cumFitScoreT0|cumFitScoreT1|fitCounter|timestamp' \
--data-urlencode 'where='

Get Msgs API Call

Python
cUrl

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 = 'LiveSurfaceDetail'

# 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|fkey|uPrcDriverKey|uPrcDriverType|ddiv|ddivPv|ddivSource|symbolRatio|exType|modelType|priceType|earnCnt|earnCntAdj|moneynessType|priceQuoteType|atmVolHist|atmCenHist|uBetaHist|eMove|eMoveHist|minXAxis|maxXAxis|atmPhi|atmRho|atmVega|uPrcRatio|pwidth|vwidth|cCnt|pCnt|hasBracketMin|surfaceSkewType|cBidMiss|cAskMiss|pBidMiss|pAskMiss|fitScoreT0|fitScoreT1|cumFitScoreT0|cumFitScoreT1|fitCounter|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)

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getmsgs' \
--data-urlencode 'msgType=LiveSurfaceDetail' \
--data-urlencode 'view=ticker|fkey|uPrcDriverKey|uPrcDriverType|ddiv|ddivPv|ddivSource|symbolRatio|exType|modelType|priceType|earnCnt|earnCntAdj|moneynessType|priceQuoteType|atmVolHist|atmCenHist|uBetaHist|eMove|eMoveHist|minXAxis|maxXAxis|atmPhi|atmRho|atmVega|uPrcRatio|pwidth|vwidth|cCnt|pCnt|hasBracketMin|surfaceSkewType|cBidMiss|cAskMiss|pBidMiss|pAskMiss|fitScoreT0|fitScoreT1|cumFitScoreT0|cumFitScoreT1|fitCounter|timestamp' \
--data-urlencode 'where=' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=ticker:ASC'

Get Aggregate API Call

Python
cUrl

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 = 'LiveSurfaceDetail'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|fkey|uPrcDriverKey|uPrcDriverType|ddiv|ddivPv|ddivSource|symbolRatio|exType|modelType|priceType|earnCnt|earnCntAdj|moneynessType|priceQuoteType|atmVolHist|atmCenHist|uBetaHist|eMove|eMoveHist|minXAxis|maxXAxis|atmPhi|atmRho|atmVega|uPrcRatio|pwidth|vwidth|cCnt|pCnt|hasBracketMin|surfaceSkewType|cBidMiss|cAskMiss|pBidMiss|pAskMiss|fitScoreT0|fitScoreT1|cumFitScoreT0|cumFitScoreT1|fitCounter|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'uPrcDriverType|ddivSource|exType|modelType|priceType|moneynessType|priceQuoteType|hasBracketMin|surfaceSkewType'

# 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)

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getaggregate' \
--data-urlencode 'msgType=LiveSurfaceDetail' \
--data-urlencode 'measure=ticker|fkey|uPrcDriverKey|uPrcDriverType|ddiv|ddivPv|ddivSource|symbolRatio|exType|modelType|priceType|earnCnt|earnCntAdj|moneynessType|priceQuoteType|atmVolHist|atmCenHist|uBetaHist|eMove|eMoveHist|minXAxis|maxXAxis|atmPhi|atmRho|atmVega|uPrcRatio|pwidth|vwidth|cCnt|pCnt|hasBracketMin|surfaceSkewType|cBidMiss|cAskMiss|pBidMiss|pAskMiss|fitScoreT0|fitScoreT1|cumFitScoreT0|cumFitScoreT1|fitCounter|timestamp' \
--data-urlencode 'group=uPrcDriverType|ddivSource|exType|modelType|priceType|moneynessType|priceQuoteType|hasBracketMin|surfaceSkewType' \
--data-urlencode 'where='

Get Count API Call

Python
cUrl

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 = 'LiveSurfaceDetail'

# 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)

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getcount' \
--data-urlencode 'msgType=LiveSurfaceDetail' \
--data-urlencode 'where='

Schema: LiveSurfaceDetail (ID: 1130)

METADATA​

BODY​

Get Schema API Call​

Get Msg API Call​

Get Msgs API Call​

Get Aggregate API Call​

Get Count API Call​