Version: Upcoming

Schema: OptionAtmMinuteBarSet (ID: 1165)

OptionAtmMinuteBar records are created once every 10 minutes for all option markets and are visible in SRSE and MLink and are published to the SpiderRock elastic cluster at the same time.

METADATA

Attribute	Value
Topic	1160-archive-data
MLink Token	OptSurface

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

BODY

#	Field	Type	Comment
10=	ekey	ExpiryKey
100	minute	int	minute since 2000-01-01
103	tradingDate	DateKey
106	date	string(10)
109	time	string(8)
112	ticker	TickerKey
115	uPrc	double	Underlying price
118	years	float	Years to expiry
121	rate	float	Interest rate
124	sdiv	float	Continuous stock dividend
127	ddiv	float	Discrete stock dividend value
130	uPrcRatio	double	Implied underlying driver price rate. For options with index/futures underlyings
133	ivol	float	atm ivol (atm: strike = fUPrc)
136	ivxx	float	fixed strike ivol (ivol @ refStrike)
139	ivCen	float	atm ivol (atm: strike = fUPrc) [eMove/earnings censored]
142	slope	float	dVol / dXAxis
145	vWidth	float	implied volatility width (best market)
148	refStrike	float	reference strike (usually prior day closing uPrc)
151	ivolHi	float	Implied Volatility high value (during bar)
154	ivolLo	float	Implied Volatility low value (during bar)
157	ivxxHi	float	Implied Volatility of Previous Day's ATM strike, high value (during bar)
160	ivxxLo	float	Implied Volatility of Previous Day's ATM strike, low value (during bar)
163	ivCenHi	float	Censored implied volatility high value (during bar)
166	ivCenLo	float	Censored implied volatility low value (during bar)
169	sdivHi	float	Continuous carry rate, high value (during bar)
172	sdivLo	float	Continuous carry rate, low value (during bar)
175	uPrcRatioHi	double	Underlying price offset value, high value (during bar)
178	uPrcRatioLo	double	Underlying price offset value, low value (during bar)
181	slopeHi	float	Slope high value (during bar). The difference between the put and call at 1/2 standard deviation from the ATM point.
184	slopeLo	float	Slope low value (during bar). The difference between the put and call at 1/2 standard deviation from the ATM point.
187	varSwapFV	float	variance swap fair value (estimated by numerical integration over OTM price surface)
190	maxDIVol	float	maximum change in IVol (between LSA rec publishes)
193	maxDSDiv	float	maximum change is SDiv (between LSA rec publishes)
196	isEOB	enum : YesNo	is end-of-bar (every 10 minutes)
199	isEOH	enum : YesNo	is end-of-hour
202	marketSegment	enum : MarketSegment
205	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 = 'OptionAtmMinuteBarSet'

# 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=OptionAtmMinuteBarSet'

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 = 'OptionAtmMinuteBarSet'

# 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 = 'minute|tradingDate|date|time|ticker|uPrc|years|rate|sdiv|ddiv|uPrcRatio|ivol|ivxx|ivCen|slope|vWidth|refStrike|ivolHi|ivolLo|ivxxHi|ivxxLo|ivCenHi|ivCenLo|sdivHi|sdivLo|uPrcRatioHi|uPrcRatioLo|slopeHi|slopeLo|varSwapFV|maxDIVol|maxDSDiv|isEOB|isEOH|marketSegment|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=OptionAtmMinuteBarSet' \
--data-urlencode 'view=minute|tradingDate|date|time|ticker|uPrc|years|rate|sdiv|ddiv|uPrcRatio|ivol|ivxx|ivCen|slope|vWidth|refStrike|ivolHi|ivolLo|ivxxHi|ivxxLo|ivCenHi|ivCenLo|sdivHi|sdivLo|uPrcRatioHi|uPrcRatioLo|slopeHi|slopeLo|varSwapFV|maxDIVol|maxDSDiv|isEOB|isEOH|marketSegment|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 = 'OptionAtmMinuteBarSet'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'minute|tradingDate|date|time|ticker|uPrc|years|rate|sdiv|ddiv|uPrcRatio|ivol|ivxx|ivCen|slope|vWidth|refStrike|ivolHi|ivolLo|ivxxHi|ivxxLo|ivCenHi|ivCenLo|sdivHi|sdivLo|uPrcRatioHi|uPrcRatioLo|slopeHi|slopeLo|varSwapFV|maxDIVol|maxDSDiv|isEOB|isEOH|marketSegment|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 = 'minute: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=OptionAtmMinuteBarSet' \
--data-urlencode 'view=minute|tradingDate|date|time|ticker|uPrc|years|rate|sdiv|ddiv|uPrcRatio|ivol|ivxx|ivCen|slope|vWidth|refStrike|ivolHi|ivolLo|ivxxHi|ivxxLo|ivCenHi|ivCenLo|sdivHi|sdivLo|uPrcRatioHi|uPrcRatioLo|slopeHi|slopeLo|varSwapFV|maxDIVol|maxDSDiv|isEOB|isEOH|marketSegment|timestamp' \
--data-urlencode 'where=time:eq:ExampleString' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=minute: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 = 'OptionAtmMinuteBarSet'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'minute|tradingDate|date|time|ticker|uPrc|years|rate|sdiv|ddiv|uPrcRatio|ivol|ivxx|ivCen|slope|vWidth|refStrike|ivolHi|ivolLo|ivxxHi|ivxxLo|ivCenHi|ivCenLo|sdivHi|sdivLo|uPrcRatioHi|uPrcRatioLo|slopeHi|slopeLo|varSwapFV|maxDIVol|maxDSDiv|isEOB|isEOH|marketSegment|timestamp'

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

# 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=OptionAtmMinuteBarSet' \
--data-urlencode 'measure=minute|tradingDate|date|time|ticker|uPrc|years|rate|sdiv|ddiv|uPrcRatio|ivol|ivxx|ivCen|slope|vWidth|refStrike|ivolHi|ivolLo|ivxxHi|ivxxLo|ivCenHi|ivCenLo|sdivHi|sdivLo|uPrcRatioHi|uPrcRatioLo|slopeHi|slopeLo|varSwapFV|maxDIVol|maxDSDiv|isEOB|isEOH|marketSegment|timestamp' \
--data-urlencode 'group=isEOB|isEOH|marketSegment' \
--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 = 'OptionAtmMinuteBarSet'

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

METADATA​

BODY​

Get Schema API Call​

Get Msg API Call​

Get Msgs API Call​

Get Aggregate API Call​

Get Count API Call​