Version: Upcoming

Schema: OptionTheoVol (ID: 5055)

OptionTheoVol records contain client supplied theoretical volatility surface information resolved at the level if individual strikes. Strike volatilities, prices, greeks and SpiderRock surface volatilites and prices are all available. Values are computed on the fly using fast/accurate calculation methods as records are returned.

METADATA

Attribute	Value
Topic	5030-srse-calculators
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=	okey	OptionKey
100	theoModel	string(16)	required in where clause (theo model must be associated with an accnt that is visible)
103	clientFirmOut	string(16)
106	years	float	volatility years to expiration (variable time metric; SR holiday calendar)
109	ticker	TickerKey	underlier ticker
112	uprc	float	underlier price
115	ubid	float	underlier bid
118	uask	float	underlier ask
121	obid	float	option market bid
124	oask	float	option market ask
127	tvol	float	theo vol
130	tvolBOpn	float	theo buy/open vol
133	tvolSOpn	float	theo sell/open vol
136	tprc	float	theo vol price
139	tbPrc	float	theo buy (open) price
142	tsPrc	float	theo sell (open) price
145	tbClsPrc	float	theo buy (close) price
148	tsClsPrc	float	theo sell (close) price
151	veSlope	float	veSlope = dVol / dUprc (assuming vol @ xAxis = 0 remains constant);hedgeDelta = (de + ve * 100 * veSlope) if hedging with this assumption
154	de	float	implied greeks (from theo surface)
157	ga	float
160	th	float
163	ve	float
166	vo	float
169	va	float
172	deDecay	float
175	ro	float
178	ph	float
181	sdivB	float	normalized sdiv when buying
184	sdivS	float	normalized sdiv when selling
187	xAxis	float	xAxis value (depends on xAxis definition in TheoExpSurface record)
190	tvolAtm	float	theo model volatility (atm)
193	ivolAtm	float	SR Surface Volatility (atm)
196	svol	float	SR Surface Volatility
199	sprc	float	SR Surface Price
202	sDe	float	SR Surface Delta
205	sVe	float	SR Surface Vega
208	rate	float	SR Rate (average interest rate to expiration)
211	sdiv	float	SR SDiv (continuous dividend;accretive with discrete dividends)
214	ddiv	float	SR DDiv (sum of discrete dividend amounts prior to expiration)
217	err	byte
220	theoErr	string(24)
223	calcErr	string(24)
226	theoStatus	enum : TheoStatus
229	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 = 'OptionTheoVol'

# 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=OptionTheoVol'

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 = 'OptionTheoVol'

# 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 = 'theoModel|clientFirmOut|years|ticker|uprc|ubid|uask|obid|oask|tvol|tvolBOpn|tvolSOpn|tprc|tbPrc|tsPrc|tbClsPrc|tsClsPrc|veSlope|de|ga|th|ve|vo|va|deDecay|ro|ph|sdivB|sdivS|xAxis|tvolAtm|ivolAtm|svol|sprc|sDe|sVe|rate|sdiv|ddiv|err|theoErr|calcErr|theoStatus|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=OptionTheoVol' \
--data-urlencode 'view=theoModel|clientFirmOut|years|ticker|uprc|ubid|uask|obid|oask|tvol|tvolBOpn|tvolSOpn|tprc|tbPrc|tsPrc|tbClsPrc|tsClsPrc|veSlope|de|ga|th|ve|vo|va|deDecay|ro|ph|sdivB|sdivS|xAxis|tvolAtm|ivolAtm|svol|sprc|sDe|sVe|rate|sdiv|ddiv|err|theoErr|calcErr|theoStatus|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 = 'OptionTheoVol'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'theoModel|clientFirmOut|years|ticker|uprc|ubid|uask|obid|oask|tvol|tvolBOpn|tvolSOpn|tprc|tbPrc|tsPrc|tbClsPrc|tsClsPrc|veSlope|de|ga|th|ve|vo|va|deDecay|ro|ph|sdivB|sdivS|xAxis|tvolAtm|ivolAtm|svol|sprc|sDe|sVe|rate|sdiv|ddiv|err|theoErr|calcErr|theoStatus|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 = 'theoModel: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=OptionTheoVol' \
--data-urlencode 'view=theoModel|clientFirmOut|years|ticker|uprc|ubid|uask|obid|oask|tvol|tvolBOpn|tvolSOpn|tprc|tbPrc|tsPrc|tbClsPrc|tsClsPrc|veSlope|de|ga|th|ve|vo|va|deDecay|ro|ph|sdivB|sdivS|xAxis|tvolAtm|ivolAtm|svol|sprc|sDe|sVe|rate|sdiv|ddiv|err|theoErr|calcErr|theoStatus|timestamp' \
--data-urlencode 'where=theoModel:eq:ExampleString' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=theoModel: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 = 'OptionTheoVol'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'theoModel|clientFirmOut|years|ticker|uprc|ubid|uask|obid|oask|tvol|tvolBOpn|tvolSOpn|tprc|tbPrc|tsPrc|tbClsPrc|tsClsPrc|veSlope|de|ga|th|ve|vo|va|deDecay|ro|ph|sdivB|sdivS|xAxis|tvolAtm|ivolAtm|svol|sprc|sDe|sVe|rate|sdiv|ddiv|err|theoErr|calcErr|theoStatus|timestamp'

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

# 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=OptionTheoVol' \
--data-urlencode 'measure=theoModel|clientFirmOut|years|ticker|uprc|ubid|uask|obid|oask|tvol|tvolBOpn|tvolSOpn|tprc|tbPrc|tsPrc|tbClsPrc|tsClsPrc|veSlope|de|ga|th|ve|vo|va|deDecay|ro|ph|sdivB|sdivS|xAxis|tvolAtm|ivolAtm|svol|sprc|sDe|sVe|rate|sdiv|ddiv|err|theoErr|calcErr|theoStatus|timestamp' \
--data-urlencode 'group=theoStatus' \
--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 = 'OptionTheoVol'

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

Schema: OptionTheoVol (ID: 5055)

METADATA​

BODY​

Get Schema API Call​

Get Msg API Call​

Get Msgs API Call​

Get Aggregate API Call​

Get Count API Call​