Version: Upcoming

Schema: SpdrTheoExpSurface (ID: 1960)

SpdrTheoExpSurface records reprent a client theoretical volatility surface for a ExpiryKey (ticker + expiration). These records can either directly specify parameters to be used in a parameterized surface function or can link to a record (eg. SpdrTheoExp2PtCurve) containing x/y points sampling a client constructed curve. Alternatively, they can specify that a SpiderRock implied skew curve should be used along with client supplied atm volatilities.

Surface dynamics can be specified in multiple ways with these records and a number of pricing parameter overrides are also available.

See the technical note on client supplied theoretical surfaces for more details.

METADATA

Attribute	Value
Topic	1945-client-theos
MLink Token	ClientTheo
SRSE Product	SRTheo

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

BODY

#	Field	Type	Comment
10=	ekey	ExpiryKey
11=	theoModel	string(16)
12=	clientFirm	string(16)	client firm this theo model is associated with (controls visibility)
100	ticker	TickerKey
103	skewFunc	enum : SkewFunc
106	volTimeUnits	enum : VolTimeUnits	default uses the SR native time metric (trading minutes); V6 is a prior SR metric (trading days)
109	uPrcRefRule	enum : uPrcRefRule
112	refUPrc	float	-1 = use SR uPrc @ record insert
115	refUPrcWeight	float	w: [0,1];adjRefUPrc = w * refUPrc + (1 - w) * uPrc;note: w=1 implies sticky strike behavior;w=0 implies sticky delta behavior
118	refSRAtm	float	-1 = use SR surface atm @ record insert
121	refSRAtmWeight	float	w: [0,1];theoVolAdj = theoVol + tvSlope * (uPrc - refUPrc) + w * (liveSRAtm - refSRAtm)
124	paramA	float	param A - J are inputs to the skewFunc model selected above
127	paramB	float
130	paramC	float
133	paramD	float
136	paramE	float
139	paramF	float
142	paramG	float
145	paramH	float
148	paramI	float
151	paramJ	float
154	theoVol	float	theo volatility @ hypothetical atm strike (note: hypothetical atm strike depends on the definition of xAxis implied by the skewFunc model;usually the strike where xAxis = 0)
157	bOpnVol	float	buy open vol
160	bClsVol	float	buy close vol
163	sOpnVol	float	sell open vol
166	sClsVol	float	sell close vol
169	bOpnEdge	float	edge spread to open when buying
172	bClsEdge	float	edge spread to close when buying
175	sOpnEdge	float	edge spread to open when selling
178	sClsEdge	float	edge spread to close when selling
181	buySellConvention	enum : BuySellConvention
184	lnDDiv	float	(depricated)
187	shDDiv	float	(depricated)
190	lnSDiv	float	long sdiv
193	shSDiv	float	short sdiv
196	tvSlope	float	tvSlope = dTheoVol / dUPrc;theoVolAdj = theoVol + tvSlope * (uPrc - refUPrc). Note: tvSlope affects the calculation of theoSurface veSlope values which in turn affect hedgeDelta calculations when account.hedgeType = 'TvS'
199	divRule	enum : DivRule	specifies how DDiv and SDiv values will be incorporated
202	userRateOverride	enum : YesNo	use rate from the UserRateOverride table instead of SR Rate curve
205	userSDivOverride	enum : YesNo	use sdiv from the UserSDivOverride table instead of SR SDiv
208	userDDivOverride	enum : YesNo	use dividends from the UserDividendOverride table instead of SR Dividends
211	minUBid	float	any non-hold status will revert to markup if live uMid is outside of [minUBid, maxUAsk]
214	maxUAsk	float
217	theoStatus	enum : TheoStatus
220	comment	string(16)
223	updated	DateTime	datetime of last record update. will default to current datetime on record load of not supplied
226	modifiedBy	string(24)	user who last modified this record
229	modifiedIn	enum : SysEnvironment
232	timestamp	DateTime	timestamp of last modification

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 = 'SpdrTheoExpSurface'

# 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=SpdrTheoExpSurface'

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 = 'SpdrTheoExpSurface'

# 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|skewFunc|volTimeUnits|uPrcRefRule|refUPrc|refUPrcWeight|refSRAtm|refSRAtmWeight|paramA|paramB|paramC|paramD|paramE|paramF|paramG|paramH|paramI|paramJ|theoVol|bOpnVol|bClsVol|sOpnVol|sClsVol|bOpnEdge|bClsEdge|sOpnEdge|sClsEdge|buySellConvention|lnDDiv|shDDiv|lnSDiv|shSDiv|tvSlope|divRule|userRateOverride|userSDivOverride|userDDivOverride|minUBid|maxUAsk|theoStatus|comment|updated|modifiedBy|modifiedIn|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 = 'theoModel: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=SpdrTheoExpSurface' \
--data-urlencode 'view=ticker|skewFunc|volTimeUnits|uPrcRefRule|refUPrc|refUPrcWeight|refSRAtm|refSRAtmWeight|paramA|paramB|paramC|paramD|paramE|paramF|paramG|paramH|paramI|paramJ|theoVol|bOpnVol|bClsVol|sOpnVol|sClsVol|bOpnEdge|bClsEdge|sOpnEdge|sClsEdge|buySellConvention|lnDDiv|shDDiv|lnSDiv|shSDiv|tvSlope|divRule|userRateOverride|userSDivOverride|userDDivOverride|minUBid|maxUAsk|theoStatus|comment|updated|modifiedBy|modifiedIn|timestamp' \
--data-urlencode 'where=theoModel: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 = 'SpdrTheoExpSurface'

# 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|skewFunc|volTimeUnits|uPrcRefRule|refUPrc|refUPrcWeight|refSRAtm|refSRAtmWeight|paramA|paramB|paramC|paramD|paramE|paramF|paramG|paramH|paramI|paramJ|theoVol|bOpnVol|bClsVol|sOpnVol|sClsVol|bOpnEdge|bClsEdge|sOpnEdge|sClsEdge|buySellConvention|lnDDiv|shDDiv|lnSDiv|shSDiv|tvSlope|divRule|userRateOverride|userSDivOverride|userDDivOverride|minUBid|maxUAsk|theoStatus|comment|updated|modifiedBy|modifiedIn|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 = 'theoModel: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 = '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=SpdrTheoExpSurface' \
--data-urlencode 'view=ticker|skewFunc|volTimeUnits|uPrcRefRule|refUPrc|refUPrcWeight|refSRAtm|refSRAtmWeight|paramA|paramB|paramC|paramD|paramE|paramF|paramG|paramH|paramI|paramJ|theoVol|bOpnVol|bClsVol|sOpnVol|sClsVol|bOpnEdge|bClsEdge|sOpnEdge|sClsEdge|buySellConvention|lnDDiv|shDDiv|lnSDiv|shSDiv|tvSlope|divRule|userRateOverride|userSDivOverride|userDDivOverride|minUBid|maxUAsk|theoStatus|comment|updated|modifiedBy|modifiedIn|timestamp' \
--data-urlencode 'where=theoModel:eq:ExampleString' \
--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 = 'SpdrTheoExpSurface'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|skewFunc|volTimeUnits|uPrcRefRule|refUPrc|refUPrcWeight|refSRAtm|refSRAtmWeight|paramA|paramB|paramC|paramD|paramE|paramF|paramG|paramH|paramI|paramJ|theoVol|bOpnVol|bClsVol|sOpnVol|sClsVol|bOpnEdge|bClsEdge|sOpnEdge|sClsEdge|buySellConvention|lnDDiv|shDDiv|lnSDiv|shSDiv|tvSlope|divRule|userRateOverride|userSDivOverride|userDDivOverride|minUBid|maxUAsk|theoStatus|comment|updated|modifiedBy|modifiedIn|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'skewFunc|volTimeUnits|uPrcRefRule|buySellConvention|divRule|userRateOverride|userSDivOverride|userDDivOverride|theoStatus|modifiedIn'

# 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 = 'theoModel: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=SpdrTheoExpSurface' \
--data-urlencode 'measure=ticker|skewFunc|volTimeUnits|uPrcRefRule|refUPrc|refUPrcWeight|refSRAtm|refSRAtmWeight|paramA|paramB|paramC|paramD|paramE|paramF|paramG|paramH|paramI|paramJ|theoVol|bOpnVol|bClsVol|sOpnVol|sClsVol|bOpnEdge|bClsEdge|sOpnEdge|sClsEdge|buySellConvention|lnDDiv|shDDiv|lnSDiv|shSDiv|tvSlope|divRule|userRateOverride|userSDivOverride|userDDivOverride|minUBid|maxUAsk|theoStatus|comment|updated|modifiedBy|modifiedIn|timestamp' \
--data-urlencode 'group=skewFunc|volTimeUnits|uPrcRefRule|buySellConvention|divRule|userRateOverride|userSDivOverride|userDDivOverride|theoStatus|modifiedIn' \
--data-urlencode 'where=theoModel: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 = 'SpdrTheoExpSurface'

# 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 = 'theoModel: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=SpdrTheoExpSurface' \
--data-urlencode 'where=theoModel:eq:ExampleString'

Schema: SpdrTheoExpSurface (ID: 1960)

METADATA​

BODY​

Get Schema API Call​

Get Msg API Call​

Get Msgs API Call​

Get Aggregate API Call​

Get Count API Call​