Version: Upcoming

Schema: LiveSurfaceFixedGrid (ID: 1040)

This table contains a live grided (interpolated) censored implied volatility surface. Each record contains standarized live and prior period implied volatilities at standarized skew points for a standardized days-to-expiration value.

LiveSurfaceGrid records are published to the SpiderRock elastic cluster nightly.

METADATA

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

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

BODY

#	Field	Type	Comment
10=	ticker	TickerKey
11=	days	short	days to expiration [5, 21, 42, 63, 84, 105, 126, 189, 252, 378, 504]
12=	surfaceType	enum : SurfaceCurveType
100	date	string(10)
103	time	string(8)
106	sDiv	float	Interpolated implied sdiv rate (from LiveSurfaceFixedTerm.sDiv_N)
109	fwdUPrc	float	Interpolated implied forward price (from LiveSurfaceFixedTerm.fwdUPrc_N)
112	eCnt	int	Number of expected earnings dates (from LiveSurfaceFixedTerm.eCnt_N)
115	eMove	float	Implied earnings move (from LiveSurfaceFixedTerm.eMove)
118	eMoveHist	float	Historical earnings move (from LiveSurfaceFixedTerm.eMoveHist)
121	volD45	float	xde = -45 (censored volatility)
124	volD40	float	xde = -40
127	volD35	float	xde = -35
130	volD30	float	xde = -30
133	volD25	float	xde = -25
136	volD20	float	xde = -20
139	volD15	float	xde = -15
142	volD10	float	xde = -10
145	volD05	float	xde = -5
148	volA00	float	xde = 0
151	volU05	float	xde = +5
154	volU10	float	xde = +10
157	volU15	float	xde = +15
160	volU20	float	xde = +20
163	volU25	float	xde = +25
166	volU30	float	xde = +30
169	volU35	float	xde = +35
172	volU40	float	xde = +40
175	volU45	float	xde = +45
178	vWidth	float	atm volatility width (from LiveSurfaceFixedTerm.vWidth_N)
181	vSlope	float	atm volatility slope (from LiveSurfaceFixedTerm.vSlope_N)
184	loYears	float	LiveSurfaceCurve.years before days [-1 = none]
187	hiYears	float	LiveSurfaceCurve.years after days [-1 = none]
190	minDelta	float	minimum valid strike delta
193	maxDelta	float	maximum valid strike delta
196	timestamp	DateTime	surface fit timestamp

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 = 'LiveSurfaceFixedGrid'

# 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=LiveSurfaceFixedGrid'

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 = 'LiveSurfaceFixedGrid'

# 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 = 'date|time|sDiv|fwdUPrc|eCnt|eMove|eMoveHist|volD45|volD40|volD35|volD30|volD25|volD20|volD15|volD10|volD05|volA00|volU05|volU10|volU15|volU20|volU25|volU30|volU35|volU40|volU45|vWidth|vSlope|loYears|hiYears|minDelta|maxDelta|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 = 'time: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)

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=LiveSurfaceFixedGrid' \
--data-urlencode 'view=date|time|sDiv|fwdUPrc|eCnt|eMove|eMoveHist|volD45|volD40|volD35|volD30|volD25|volD20|volD15|volD10|volD05|volA00|volU05|volU10|volU15|volU20|volU25|volU30|volU35|volU40|volU45|vWidth|vSlope|loYears|hiYears|minDelta|maxDelta|timestamp' \
--data-urlencode 'where=time:eq:ExampleString'

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 = 'LiveSurfaceFixedGrid'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'date|time|sDiv|fwdUPrc|eCnt|eMove|eMoveHist|volD45|volD40|volD35|volD30|volD25|volD20|volD15|volD10|volD05|volA00|volU05|volU10|volU15|volU20|volU25|volU30|volU35|volU40|volU45|vWidth|vSlope|loYears|hiYears|minDelta|maxDelta|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 = 'time: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 = 'date: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=LiveSurfaceFixedGrid' \
--data-urlencode 'view=date|time|sDiv|fwdUPrc|eCnt|eMove|eMoveHist|volD45|volD40|volD35|volD30|volD25|volD20|volD15|volD10|volD05|volA00|volU05|volU10|volU15|volU20|volU25|volU30|volU35|volU40|volU45|vWidth|vSlope|loYears|hiYears|minDelta|maxDelta|timestamp' \
--data-urlencode 'where=time:eq:ExampleString' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=date: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 = 'LiveSurfaceFixedGrid'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'date|time|sDiv|fwdUPrc|eCnt|eMove|eMoveHist|volD45|volD40|volD35|volD30|volD25|volD20|volD15|volD10|volD05|volA00|volU05|volU10|volU15|volU20|volU25|volU30|volU35|volU40|volU45|vWidth|vSlope|loYears|hiYears|minDelta|maxDelta|timestamp'

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

# 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 = 'time: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)

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=LiveSurfaceFixedGrid' \
--data-urlencode 'measure=date|time|sDiv|fwdUPrc|eCnt|eMove|eMoveHist|volD45|volD40|volD35|volD30|volD25|volD20|volD15|volD10|volD05|volA00|volU05|volU10|volU15|volU20|volU25|volU30|volU35|volU40|volU45|vWidth|vSlope|loYears|hiYears|minDelta|maxDelta|timestamp' \
--data-urlencode 'group=' \
--data-urlencode 'where=time:eq:ExampleString'

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 = 'LiveSurfaceFixedGrid'

# 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 = 'time: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)

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=LiveSurfaceFixedGrid' \
--data-urlencode 'where=time:eq:ExampleString'

Schema: LiveSurfaceFixedGrid (ID: 1040)

METADATA​

BODY​

Get Schema API Call​

Get Msg API Call​

Get Msgs API Call​

Get Aggregate API Call​

Get Count API Call​