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Version: Upcoming

Schema: HistoricalVolatilities (ID: 3225)

Values in this table are computed daily and are calculated from end-of-day marks from the previous period. Official exchange closing values are used where possible.

HistoricalVolatility records are published to the SpiderRock elastic cluster nightly.

METADATA​

AttributeValue
Topic3225-market-statistics
MLink TokenOptSurface
SRSE ProductSRAnalytics

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

BODY​

#FieldTypeComment
10=tickerTickerKey
11=windowTypestring(12)eg. cc, ccCen, ccClCen, hl, hlCen, iv63, iv126, etc
100datestring(10)most recent closing date
103securityIDint
106valuefloatmost recent historical value
109mv_5dfloathistorical mean value (5 day window)
112sd_5dfloathistorical std dev (5 day window)
115mv_10dfloat
118sd_10dfloat
121mv_21dfloat
124sd_21dfloat
127mv_42dfloat
130sd_42dfloat
133mv_63dfloat
136sd_63dfloat
139mv_84dfloat
142sd_84dfloat
145mv_105dfloat
148sd_105dfloat
151mv_126dfloat
154sd_126dfloat
157mv_189dfloat
160sd_189dfloat
163mv_252dfloat
166sd_252dfloat
169mv_378dfloat
172sd_378dfloat
175mv_504dfloat
178sd_504dfloat
181timestampDateTimerecord update timestamp

Get Schema API Call​

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 = 'HistoricalVolatilities'

# 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)

Get Msg API Call​

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 = 'HistoricalVolatilities'

# 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|securityID|value|mv_5d|sd_5d|mv_10d|sd_10d|mv_21d|sd_21d|mv_42d|sd_42d|mv_63d|sd_63d|mv_84d|sd_84d|mv_105d|sd_105d|mv_126d|sd_126d|mv_189d|sd_189d|mv_252d|sd_252d|mv_378d|sd_378d|mv_504d|sd_504d|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 = 'windowType: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)

Get Msgs API Call​

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 = 'HistoricalVolatilities'

# 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|securityID|value|mv_5d|sd_5d|mv_10d|sd_10d|mv_21d|sd_21d|mv_42d|sd_42d|mv_63d|sd_63d|mv_84d|sd_84d|mv_105d|sd_105d|mv_126d|sd_126d|mv_189d|sd_189d|mv_252d|sd_252d|mv_378d|sd_378d|mv_504d|sd_504d|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 = 'windowType: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)

Get Aggregate API Call​

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 = 'HistoricalVolatilities'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'date|securityID|value|mv_5d|sd_5d|mv_10d|sd_10d|mv_21d|sd_21d|mv_42d|sd_42d|mv_63d|sd_63d|mv_84d|sd_84d|mv_105d|sd_105d|mv_126d|sd_126d|mv_189d|sd_189d|mv_252d|sd_252d|mv_378d|sd_378d|mv_504d|sd_504d|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 = 'windowType: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)

Get Count API Call​

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 = 'HistoricalVolatilities'

# 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 = 'windowType: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)