Version: Upcoming

Schema: LiveSurfacePerf (ID: 1055)

LiveSurfacePerf records contain current and prior period implied ATM volatilities and greeks and as well as fixed-strike PnL values. The strike used for the fix-strike calculation is equal to the forward underlier price that prevailed on the open. Note that this strike price 'resets' each day.

LiveSurfacePerf records are published to the SpiderRock elastic cluster at the end of the day for each option expiration. These records are designed to allow fixed strike EOD to EOD attributed PnL to be easily calculated. These records can also be used to measure atm volatility dynamics.

METADATA

Attribute	Value
Topic	1000-analytics
MLink Token	SRMLinkAnalytics
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=	perfSurfType	enum : PerfSurfaceType	Preferred surface type: None; Live; PriorDay
100	date	string(10)
103	time	string(8)
106	ticker	TickerKey	SpiderRock underlier stock key
109	exType	enum : ExerciseType
112	modelType	enum : CalcModelType
115	uMark	float	current underlier mark (usually mid market)
118	years	float	time to expiration (in years)
121	rate	float	interest rate
124	sdiv	float	stock dividend (borrow rate)
127	ddiv	float	present value of discrete dividend stream
130	eventCnt	float	number of qualifying earnings (or earnings like) events (between now and expiration) [can be fractional]
133	iEMove	float	implied event move (if any)
136	hEMove	float	average of the trailing 12 historical (quarterly) earnings moves (if any)
139	strike	float	atm strike = uMark * Math.Exp(years * rate) - ddiv;
142	cIVol	float	call surface atm vol @ strike = uMark
145	pIVol	float	put surface atm vol @ strike = uMark
148	cSOpx	float	call option price @ (cAtm, uMark, years, sdiv, rate, ddiv);strike = uMark
151	pSOpx	float	put option price @ (pAtm, uMark, years, sdiv, rate, ddiv);strike = uMark
154	cDe	float	surface call delta @ (cAtm, uMark, years, sdiv, rate, ddiv)
157	cGa	float	surface call gamma @ (cAtm, uMark, years, sdiv, rate, ddiv)
160	cTh	float	surface call theta @ (cAtm, uMark, years, sdiv, rate, ddiv)
163	cVe	float	surface call vega @ (cAtm, uMark, years, sdiv, rate, ddiv)
166	cRo	float	surface call rho @ (cAtm, uMark, years, sdiv, rate, ddiv)
169	pDe	float	surface put delta @ (pAtm, uMark, years, sdiv, rate, ddiv)
172	pGa	float	surface put gamma @ (pAtm, uMark, years, sdiv, rate, ddiv)
175	pTh	float	surface put theta @ (pAtm, uMark, years, sdiv, rate, ddiv)
178	pVe	float	surface put vega @ (pAtm, uMark, years, sdiv, rate, ddiv)
181	pRo	float	surface put rho @ (pAtm, uMark, years, sdiv, rate, ddiv)
184	xxCnt	byte	number of valid surface strikes
187	pwidth	float	minimum mkt premium width
190	vwidth	float	minimum mkt volatility width
193	fixCIVol	float	fixed strike call surface atm vol @ strike = prvUMark
196	fixPIVol	float	fixed strike put surface atm vol @ strike = prvUMark
199	fixCSOpx	float	fixed strike call option price @ (fixCAtm, uMark, years, sdiv, rate, ddiv);strike = prvUMark
202	fixPSOpx	float	fixed strike put option price @ (fixPAtm, uMark, years, sdiv, rate, ddiv);strike = prvUMark
205	prvUMark	float	prior period underlier mark
208	prvYears	float	prior period years to expiration
211	prvSDiv	float	prior period sdiv
214	prvRate	float	prior period rate
217	prvDDiv	float	prior period ddiv
220	prvStrike	float	prior period atm strike = prvUMark * Math.Exp(years * rate) - ddiv;
223	prvEventCnt	float	number of qualifying earnings (or earnings like) events (between now and expiration) [can be fractional]
226	prvIEMove	float	prior period implied event move (if any)
229	prvCIVol	float	prior period surface cAtm @ strike = prvMark
232	prvPIVol	float	prior period surface pAtm @ strike = prvMark
235	prvCSOpx	float	prior period call surface price @ strike = prvUMark
238	prvPSOpx	float	prior period put surface price @ strike = prvUMark
241	prvCDe	float	prior period surface call delta @ (cAtm, uMark, years, sdiv, rate, ddiv)
244	prvCGa	float	prior period surface call gamma @ (cAtm, uMark, years, sdiv, rate, ddiv)
247	prvCTh	float	prior period surface call theta @ (cAtm, uMark, years, sdiv, rate, ddiv)
250	prvCVe	float	prior period surface call vega @ (cAtm, uMark, years, sdiv, rate, ddiv)
253	prvCRo	float	prior period surface call rho @ (cAtm, uMark, years, sdiv, rate, ddiv)
256	prvPDe	float	prior period surface put delta @ (pAtm, uMark, years, sdiv, rate, ddiv)
259	prvPGa	float	prior period surface put gamma @ (pAtm, uMark, years, sdiv, rate, ddiv)
262	prvPTh	float	prior period surface put theta @ (pAtm, uMark, years, sdiv, rate, ddiv)
265	prvPVe	float	prior period surface put vega @ (pAtm, uMark, years, sdiv, rate, ddiv)
268	prvPRo	float	prior period surface put rho @ (pAtm, uMark, years, sdiv, rate, ddiv)
271	prvXXCnt	byte	prior period number of valid surface strikes
274	prvPWidth	float	prior period minimum mkt premium width
277	prvVWidth	float	prior period minimum mkt volatility width
280	cOptPnL	float	call option pnl (fixCOpx - prvCOpx)
283	pOptPnL	float	put option pnl (fixPOpx - prvPOpx)
286	dUPrc	float	uMark - prvUMark
289	cDePnL	float	prvCDe * dUPrc
292	cGaPnL	float	0.5 * prvCGa * dUPrc * dUPrc
295	cThPnL	float	prvCTh * (years - prvYears)
298	cVePnL	float	prvCVe * (sVol - prvSVol)
301	cRoPnL	float	prvCRo * (sdiv - prvSDiv)
304	pDePnL	float	prvPDe * dUPrc
307	pGaPnL	float	0.5 * prvPGa * dUPrc * dUPrc
310	pThPnL	float	prvPTh * (years - prvYears)
313	pVePnL	float	prvPVe * (sVol - prvSVol)
316	pRoPnL	float	prvPRo * (sdiv - prvSDiv)
319	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 = 'LiveSurfacePerf'

# 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=LiveSurfacePerf'

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 = 'LiveSurfacePerf'

# 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|ticker|exType|modelType|uMark|years|rate|sdiv|ddiv|eventCnt|iEMove|hEMove|strike|cIVol|pIVol|cSOpx|pSOpx|cDe|cGa|cTh|cVe|cRo|pDe|pGa|pTh|pVe|pRo|xxCnt|pwidth|vwidth|fixCIVol|fixPIVol|fixCSOpx|fixPSOpx|prvUMark|prvYears|prvSDiv|prvRate|prvDDiv|prvStrike|prvEventCnt|prvIEMove|prvCIVol|prvPIVol|prvCSOpx|prvPSOpx|prvCDe|prvCGa|prvCTh|prvCVe|prvCRo|prvPDe|prvPGa|prvPTh|prvPVe|prvPRo|prvXXCnt|prvPWidth|prvVWidth|cOptPnL|pOptPnL|dUPrc|cDePnL|cGaPnL|cThPnL|cVePnL|cRoPnL|pDePnL|pGaPnL|pThPnL|pVePnL|pRoPnL|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=LiveSurfacePerf' \
--data-urlencode 'view=date|time|ticker|exType|modelType|uMark|years|rate|sdiv|ddiv|eventCnt|iEMove|hEMove|strike|cIVol|pIVol|cSOpx|pSOpx|cDe|cGa|cTh|cVe|cRo|pDe|pGa|pTh|pVe|pRo|xxCnt|pwidth|vwidth|fixCIVol|fixPIVol|fixCSOpx|fixPSOpx|prvUMark|prvYears|prvSDiv|prvRate|prvDDiv|prvStrike|prvEventCnt|prvIEMove|prvCIVol|prvPIVol|prvCSOpx|prvPSOpx|prvCDe|prvCGa|prvCTh|prvCVe|prvCRo|prvPDe|prvPGa|prvPTh|prvPVe|prvPRo|prvXXCnt|prvPWidth|prvVWidth|cOptPnL|pOptPnL|dUPrc|cDePnL|cGaPnL|cThPnL|cVePnL|cRoPnL|pDePnL|pGaPnL|pThPnL|pVePnL|pRoPnL|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 = 'LiveSurfacePerf'

# 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|ticker|exType|modelType|uMark|years|rate|sdiv|ddiv|eventCnt|iEMove|hEMove|strike|cIVol|pIVol|cSOpx|pSOpx|cDe|cGa|cTh|cVe|cRo|pDe|pGa|pTh|pVe|pRo|xxCnt|pwidth|vwidth|fixCIVol|fixPIVol|fixCSOpx|fixPSOpx|prvUMark|prvYears|prvSDiv|prvRate|prvDDiv|prvStrike|prvEventCnt|prvIEMove|prvCIVol|prvPIVol|prvCSOpx|prvPSOpx|prvCDe|prvCGa|prvCTh|prvCVe|prvCRo|prvPDe|prvPGa|prvPTh|prvPVe|prvPRo|prvXXCnt|prvPWidth|prvVWidth|cOptPnL|pOptPnL|dUPrc|cDePnL|cGaPnL|cThPnL|cVePnL|cRoPnL|pDePnL|pGaPnL|pThPnL|pVePnL|pRoPnL|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=LiveSurfacePerf' \
--data-urlencode 'view=date|time|ticker|exType|modelType|uMark|years|rate|sdiv|ddiv|eventCnt|iEMove|hEMove|strike|cIVol|pIVol|cSOpx|pSOpx|cDe|cGa|cTh|cVe|cRo|pDe|pGa|pTh|pVe|pRo|xxCnt|pwidth|vwidth|fixCIVol|fixPIVol|fixCSOpx|fixPSOpx|prvUMark|prvYears|prvSDiv|prvRate|prvDDiv|prvStrike|prvEventCnt|prvIEMove|prvCIVol|prvPIVol|prvCSOpx|prvPSOpx|prvCDe|prvCGa|prvCTh|prvCVe|prvCRo|prvPDe|prvPGa|prvPTh|prvPVe|prvPRo|prvXXCnt|prvPWidth|prvVWidth|cOptPnL|pOptPnL|dUPrc|cDePnL|cGaPnL|cThPnL|cVePnL|cRoPnL|pDePnL|pGaPnL|pThPnL|pVePnL|pRoPnL|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 = 'LiveSurfacePerf'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'date|time|ticker|exType|modelType|uMark|years|rate|sdiv|ddiv|eventCnt|iEMove|hEMove|strike|cIVol|pIVol|cSOpx|pSOpx|cDe|cGa|cTh|cVe|cRo|pDe|pGa|pTh|pVe|pRo|xxCnt|pwidth|vwidth|fixCIVol|fixPIVol|fixCSOpx|fixPSOpx|prvUMark|prvYears|prvSDiv|prvRate|prvDDiv|prvStrike|prvEventCnt|prvIEMove|prvCIVol|prvPIVol|prvCSOpx|prvPSOpx|prvCDe|prvCGa|prvCTh|prvCVe|prvCRo|prvPDe|prvPGa|prvPTh|prvPVe|prvPRo|prvXXCnt|prvPWidth|prvVWidth|cOptPnL|pOptPnL|dUPrc|cDePnL|cGaPnL|cThPnL|cVePnL|cRoPnL|pDePnL|pGaPnL|pThPnL|pVePnL|pRoPnL|timestamp'

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

# 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=LiveSurfacePerf' \
--data-urlencode 'measure=date|time|ticker|exType|modelType|uMark|years|rate|sdiv|ddiv|eventCnt|iEMove|hEMove|strike|cIVol|pIVol|cSOpx|pSOpx|cDe|cGa|cTh|cVe|cRo|pDe|pGa|pTh|pVe|pRo|xxCnt|pwidth|vwidth|fixCIVol|fixPIVol|fixCSOpx|fixPSOpx|prvUMark|prvYears|prvSDiv|prvRate|prvDDiv|prvStrike|prvEventCnt|prvIEMove|prvCIVol|prvPIVol|prvCSOpx|prvPSOpx|prvCDe|prvCGa|prvCTh|prvCVe|prvCRo|prvPDe|prvPGa|prvPTh|prvPVe|prvPRo|prvXXCnt|prvPWidth|prvVWidth|cOptPnL|pOptPnL|dUPrc|cDePnL|cGaPnL|cThPnL|cVePnL|cRoPnL|pDePnL|pGaPnL|pThPnL|pVePnL|pRoPnL|timestamp' \
--data-urlencode 'group=exType|modelType' \
--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 = 'LiveSurfacePerf'

# 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=LiveSurfacePerf' \
--data-urlencode 'where=time:eq:ExampleString'

Schema: LiveSurfacePerf (ID: 1055)

METADATA​

BODY​

Get Schema API Call​

Get Msg API Call​

Get Msgs API Call​

Get Aggregate API Call​

Get Count API Call​