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Version: Upcoming

Schema: OptionQuoteProbability (ID: 4270)

METADATA​

AttributeValue
Topic4255-probabilities
MLink TokenOptProbModel
SRSE ProductSRLive, SRAnalytics

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

BODY​

#FieldTypeComment
10=okeyOptionKey
11=stateModelenum : StateModel
100uMiddoublereference underlier midPrice (0.5 prob price)
103uPrcdoublereference underlier price (mid-quote)
106bidPricefloatnbbo bid price
109askPricefloatnbbo ask price
112bidSizeintcumulative size @ bid price
115askSizeintcumulative size @ ask price
118bidTakeProbfloatbid take probability of current nbbo market (zero exchange fee) [average size print]
121askTakeProbfloatask take probability of current nbbo market (zero exchange fee) [average size print]
124bidTakeRvenum : PredictResultmodel result code
127askTakeRvenum : PredictResultmodel result code
130bidImprPricefloattrial improvement price (usually 1 tick or 1/2 spread inside bidPrice)
133askImprPricefloattrial improvement price (usually 1 tick or 1/2 spread inside askPrice)
136bidTkImProbfloatbid take imprv probability of current nbbo market (zero exchange fee) [prob to sell (take) @ bid + imprIncrement]
139askTkImProbfloatask take imprv probability of current nbbo market (zero exchange fee) [prob to buy (take) @ ask - imprIncrement]
142bidTkImRvenum : PredictResultmodel result code
145askTkImRvenum : PredictResultmodel result code
148surfPricedoublesurface price
151surfVoldoublesurface volatility
154sdivdoubleexpiry sdiv
157surfBuyProbfloatsurface buy take probability (zero exchange fee) [average size print]
160surfSellProbfloatsurface sell take probability (zero exchange fee) [average size print]
163bSurfRvenum : PredictResultmodel result code
166sSurfRvenum : PredictResultmodel result code
169vegafloatoption vega
172deltafloatoption delta
175midPricefloatprice corresponding to 0.50 probability
178avgBidLink10mfloataverage bid take prob link value (~10 min)
181maeBidLink10mfloatbid link value mean abs err (~10 min)
184avgAskLink10mfloataverage ask take prob link value (~10 min)
187maeAskLink10mfloatask link value mean abs err (~10 min)
190avgMktWidth10mfloataskPrice - bidPrice (~10 min)
193counterintrecord update counter (zero @ start of period;per okey)
196qpSourceenum : QPSource
199srcTimestamplongfeed timestamp from the packet
202netTimestamplonginbound packet PTP timestamp from SR gateway switch (from OptionNbboQuote)
205smsTimestamplongstate model server timestamp (just before publish)

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 = 'OptionQuoteProbability'

# 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 = 'OptionQuoteProbability'

# 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 = 'uMid|uPrc|bidPrice|askPrice|bidSize|askSize|bidTakeProb|askTakeProb|bidTakeRv|askTakeRv|bidImprPrice|askImprPrice|bidTkImProb|askTkImProb|bidTkImRv|askTkImRv|surfPrice|surfVol|sdiv|surfBuyProb|surfSellProb|bSurfRv|sSurfRv|vega|delta|midPrice|avgBidLink10m|maeBidLink10m|avgAskLink10m|maeAskLink10m|avgMktWidth10m|counter|qpSource|srcTimestamp|netTimestamp|smsTimestamp'

# 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)

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 = 'OptionQuoteProbability'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'uMid|uPrc|bidPrice|askPrice|bidSize|askSize|bidTakeProb|askTakeProb|bidTakeRv|askTakeRv|bidImprPrice|askImprPrice|bidTkImProb|askTkImProb|bidTkImRv|askTkImRv|surfPrice|surfVol|sdiv|surfBuyProb|surfSellProb|bSurfRv|sSurfRv|vega|delta|midPrice|avgBidLink10m|maeBidLink10m|avgAskLink10m|maeAskLink10m|avgMktWidth10m|counter|qpSource|srcTimestamp|netTimestamp|smsTimestamp'

# 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 = 'uMid: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 = 'OptionQuoteProbability'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'uMid|uPrc|bidPrice|askPrice|bidSize|askSize|bidTakeProb|askTakeProb|bidTakeRv|askTakeRv|bidImprPrice|askImprPrice|bidTkImProb|askTkImProb|bidTkImRv|askTkImRv|surfPrice|surfVol|sdiv|surfBuyProb|surfSellProb|bSurfRv|sSurfRv|vega|delta|midPrice|avgBidLink10m|maeBidLink10m|avgAskLink10m|maeAskLink10m|avgMktWidth10m|counter|qpSource|srcTimestamp|netTimestamp|smsTimestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'bidTakeRv|askTakeRv|bidTkImRv|askTkImRv|bSurfRv|sSurfRv|qpSource'

# 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)

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 = 'OptionQuoteProbability'

# 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)