Schema: OptionCloseMark (ID: 3140)

OptionCloseMark records are published immediately after the market close - 5 min and again when exchanges publish official marks.

OptionCloseMark records are published to the SpiderRock elastic cluster when clsMarkState=Final

METADATA

Attribute	Value
Topic	3120-market-marks
MLink Token	OptMarkData
SRSE Product	SRLive, SRAnalytics

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

BODY

#	Field	Type	Default Value	Comment
10=	okey	OptionKey
100	ticker	TickerKey		SR Ticker that this option rolls up to
103	tradeDate	DateKey
106	clsMarkState	enum : ClsMarkState		Preview or Final
109	uBid	double		SpiderRock closing underlier bid (C - 5m)
112	uAsk	double		SpiderRock closing underlier ask (C - 5m)
115	uSrCls	double		SpiderRock underlier closing mark (C - 5m)
118	uClose	double		exchange underlier closing mark
121	bidPrc	float		SpiderRock closing option bid (C - 5m)
124	askPrc	float		SpiderRock closing option ask (C - 5m)
127	srClsPrc	double		SpiderRock close mark (close - 5min) [NBBO mid-market]
130	closePrc	double		official exchange closing mark (last print;then official close)
133	hasSRClsPrc	enum : YesNo
136	hasClosePrc	enum : YesNo
139	hasUClsPrc	enum : YesNo
142	bidIV	float		implied vol of SpiderRock closing bid price (C - 5m)
145	askIV	float		implied vol of SpiderRock closing ask price (C - 5m)
148	srPrc	float		sr close mark price (always within bidPx/askPx) (C - 5m)
151	srVol	float		sr close mark volatility (C - 5m)
154	srSrc	enum : MarkSource		sr close mark source (SRVol is SurfaceVol)
155	kAdj	float		adjusted strike
157	de	float		delta
160	ga	float		gamma
163	th	float		theta
166	ve	float		vega
169	vo	float		volga
172	va	float		vanna
175	rh	float		rho
178	ph	float		phi
181	deDecay	float		delta decay
184	srSlope	float		surface slope (SR surface)
187	sdiv	float		sdiv rate
190	ddiv	float		ddiv amount (sum of discrete dividend amounts)
193	ddivPv	float		ddiv (present value) amount (sum of discrete dividend pv amounts)
196	rate	float		discount rate
199	iDays	int		interest days (today to expiry) (T+1)
202	years	float		years to expiration
205	error	byte		calculation error code
208	openInterest	int		option open Interest
211	prtCount	int		print count
214	prtVolume	int		total printed volume (all prt types)
217	srCloseMarkDttm	DateTime		from MarketCloseQuote.srCloseMarkDttm (in trading period local timezone)
220	configNow	DateTime		timestamp in the trading period local timezone
223	timestamp	DateTime		record timestamp

Get Schema API Call

Python

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 = 'OptionCloseMark'

# 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

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=OptionCloseMark'

Get Msg API Call

Python

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 = 'OptionCloseMark'

# 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|tradeDate|clsMarkState|uBid|uAsk|uSrCls|uClose|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|hasUClsPrc|bidIV|askIV|srPrc|srVol|srSrc|kAdj|de|ga|th|ve|vo|va|rh|ph|deDecay|srSlope|sdiv|ddiv|ddivPv|rate|iDays|years|error|openInterest|prtCount|prtVolume|srCloseMarkDttm|configNow|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

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=OptionCloseMark' \
--data-urlencode 'view=ticker|tradeDate|clsMarkState|uBid|uAsk|uSrCls|uClose|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|hasUClsPrc|bidIV|askIV|srPrc|srVol|srSrc|kAdj|de|ga|th|ve|vo|va|rh|ph|deDecay|srSlope|sdiv|ddiv|ddivPv|rate|iDays|years|error|openInterest|prtCount|prtVolume|srCloseMarkDttm|configNow|timestamp' \
--data-urlencode 'where='

Get Msgs API Call

Python

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 = 'OptionCloseMark'

# 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|tradeDate|clsMarkState|uBid|uAsk|uSrCls|uClose|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|hasUClsPrc|bidIV|askIV|srPrc|srVol|srSrc|kAdj|de|ga|th|ve|vo|va|rh|ph|deDecay|srSlope|sdiv|ddiv|ddivPv|rate|iDays|years|error|openInterest|prtCount|prtVolume|srCloseMarkDttm|configNow|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

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=OptionCloseMark' \
--data-urlencode 'view=ticker|tradeDate|clsMarkState|uBid|uAsk|uSrCls|uClose|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|hasUClsPrc|bidIV|askIV|srPrc|srVol|srSrc|kAdj|de|ga|th|ve|vo|va|rh|ph|deDecay|srSlope|sdiv|ddiv|ddivPv|rate|iDays|years|error|openInterest|prtCount|prtVolume|srCloseMarkDttm|configNow|timestamp' \
--data-urlencode 'where=' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=ticker:ASC'

Get Aggregate API Call

Python

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 = 'OptionCloseMark'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|tradeDate|clsMarkState|uBid|uAsk|uSrCls|uClose|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|hasUClsPrc|bidIV|askIV|srPrc|srVol|srSrc|kAdj|de|ga|th|ve|vo|va|rh|ph|deDecay|srSlope|sdiv|ddiv|ddivPv|rate|iDays|years|error|openInterest|prtCount|prtVolume|srCloseMarkDttm|configNow|timestamp'

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

# 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

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=OptionCloseMark' \
--data-urlencode 'measure=ticker|tradeDate|clsMarkState|uBid|uAsk|uSrCls|uClose|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|hasUClsPrc|bidIV|askIV|srPrc|srVol|srSrc|kAdj|de|ga|th|ve|vo|va|rh|ph|deDecay|srSlope|sdiv|ddiv|ddivPv|rate|iDays|years|error|openInterest|prtCount|prtVolume|srCloseMarkDttm|configNow|timestamp' \
--data-urlencode 'group=clsMarkState|hasSRClsPrc|hasClosePrc|hasUClsPrc|srSrc' \
--data-urlencode 'where='

Get Count API Call

Python

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 = 'OptionCloseMark'

# 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

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=OptionCloseMark' \
--data-urlencode 'where='