Index of Fields

List of Subway Fields

Index of Fields

Field	Type	Comment
AskEdge	Double	should be positive
AskQtyMultiplier	Double	default is 1 (this can be negative to indicate a short)
AskQuantity	Double	greater than zero
ATMPrice	Double	center point of volatility curve (usually == underlying price)
ATMStrike	Double	center point of volatility curve (usually == underlying price)
ATMVol	Double	volatility of curve at ATMPrice/Strike (should be positive)
AutoHedge	Double	true or false
BidEdge	Double	should be positive
BidQtyMultiplier	Double	default is 1
BidQuantity	Double	greater than zero
CalculationType	Double	refers to risk reporting. for example: THEOVSTHEO, EDGE, MARKETVSMARKET, SETTLEMENT EDGE, & LIVE MARKET
CallCurve	Double	curvature of call side of a two-sided curve
CallCurveRisk	Double	risk measurement calculated by looking at sensitivity to change in the CallCurve input
CallCutoffFactor	Double	multiple of ATMVol defining the maximum volatility of the call side¹ (values are capped)
CallFirstDelta	Double	refers to inner strike on the call side ¹
CallFirstFactor	Double	refers to volatility as a multiple of ATM vol ¹
CallFirstOffset	Double	offset (applied to ATM vol)²
CallSecondDelta	Double	refers to outer strike on the call side ¹
CallSecondFactor	Double	refers to volatility as a multiple of ATM vol ¹
CallSecondOffset	Double	offset (applied to ATM vol)²
CallSlope	Double	2-Sided Vol Curve input only
CallSlopeRisk	Double	risk metric based on call slope of 2-Sided Vol Curve (deprecated; use call tilt risk instead)
CallTilt	Double	Call-specific tilt adjustment value
CallWing	Double	input defining strike where call wing begins
CallWingFactor	Double	refers to volatility as a multiple of ATM vol ¹
CallWingOffset	Double	offset (applied to ATM vol)²
CallWingSlope	Double	slope of the wing on the call side of the vol curve
CarryCost	Double	should be 0 for options on futures, and [riskfreerate - dividendrate] for equities (for example)
ClassID	Double	same as InstrumentClassID
ClassSymbol	Double	Symbol representing instrument class (defined by exchange)
ClientID	Long	message ID number supplied by client; this same ClientID will accompany the response to the original message.
ClipRatio	Double	only used for "clip" orders on Li e exchange
Contingency	Double	ex. NONE, AON, IOC, OPG, AUCTION
ContraParty	Double	badge/ID of contraparty ("N/A" if there is no contra party)
Curvature	Double	relates to convexity of curve (only valid for SkewType RATIO)
DayOffset	Double	default is 0
Delta	Double	delta is a value between -1 and 1.
Description	String	human-readable description of message
Epsilon	Double	option greek representing the rate of change of delta over time (2nd-order derivative with respect to underlying and time)
ErrorType	String	one of the predefined error types
Exchange	String	the exchange code: CME, ICE, CBOE, etc.
ExchangeID	String	order ID provided by exchange
Expiration	String	format: mm/dd/yyyy
ExpirationDate	String	format: mm/dd/yyyy (same as Expiration)
ExpirationOffset	Integer	default is 0
Factor	Double	relates to convexity of curve (only valid for SkewType RATIO)
FilledPrice	Double	average fill price
FilledQuantity	Integer	quantity filled (refers to an order that traded)
Gamma	Double	the rate of change of delta for a change in underlying price of one unit (2nd order derivative)
GroupID	Long	ID number corresponding to GroupSymbol
GroupSymbol	String	defined by exchange
GTDDate	String	required for GTD orders
InstrumentClassID	Long	system-assigned ID number for InstrumentClass
InstrumentID	Long	OC InstrumentID
InstrumentIDSubLeg	Long	InstrumentID of subleg of a trade
InstrumentMonthID	Long	numerical ID corresponding to InstrumentMonth
InstrumentType	(C,P),E,F,I,S,VS	Call, Put (for options), Equity, Future, Index, Spread, Volatility Spread
InterestRate	Double	in decimal form. Typically this is between 0.0 and 0.10
IsLinked	Boolean	when true, this indicates that the vol curve is defined in reference to another curve
Kurtosis	Double
Lean	Double	price lean for a particular strike of an option
LeftPointXType	String	Can be PERCENT, STRIKE PRICE, VOLATILITY,STRADDLE, or INITIAL³
LeftPointXValue	Double	strike or percent (in decimal); should be negative value for left point
LeftPointYType	String	Can be PERCENT, STRIKE PRICE, VOLATILITY,STRADDLE, or INITIAL³
LeftPointYValue	Double	VOLATILITY or a STRADDLE price
Leg	String	refers to a leg of a spread contract
LegRatio	Integer	number of contracts to buy/sell for this instrument (parameter specific to non-Volatility legs of spread contract)
LinkedOffset	Double	default is 0
MarketUpdateType	String	Can be BID, ASK, CLOSE, LAST, TRADE, TRADE_VOLUME, OPEN_INTEREST, OPEN, SESSION_HIGH, SESSION_LOW, BEST_HIGH_BID, BEST_LOW_ASK
MaxQuantityShow	Integer	max quantity (of order) to show to other customers
MiddlePointXValue	Double	percent or strike defining vol path
MiddlePointYValue	Double	ATM volatility or straddle price when vol path is defined
MinPriceIncrement	Double	Minimum increment at which instrument will tick.
MinTickMultiplier	Integer	default is 1
MonthId	Long	ID number corresponding to month of year.
NumLegs	Integer	quantity of Legs in a spread.
Offset	Double	offset to be applied to a Value, usually systematically.
OrderContingency	String	ex. none, aon, ioc, opg, auction
OrderId	Integer	OptionsCity™-issued order identification number
OrderSizeLimit	Integer	limit to size of each single order
OrderState	String	ex. NEW, BOOKED, CANCELLED, PARTIAL, FILLED, REJECTED, PULLED, PENDING CANCEL, PENDING NEW, PENDING REPLACED, EXPIRED, MODIFY REJECTED, CANCEL REJECTED, TRADE REJECTED.
OrderType	String	ex. MARKET LIMIT.
ParentSymbol	String	defined by exchange
Password	String	logon credential
Price	Double	assigned value for instrument
PriceSubLeg	Double	price for instrument which forms leg of strategy
PutCurve	Double	curvature of the put side of a two-sided Curve
PutCurveRisk	Double	risk measurement calculated according to sensitivity to change in the putCurve input
PutCutoffFactor	Double	multiple of ATM vol defining the maximum volatility of the put side (values are capped) ¹
PutFirstDelta	Double	refers to inner strike on the put side
PutFirstFactor	Double	refers to volatility as a multiple of ATM vol ¹
PutFirstOffset	Double	offset (applied to ATM vol)²
PutSecondDelta	Double	refers to outer strike on the put side
PutSecondFactor	Double	refers to volatility as a multiple of ATM vol ¹
PutSecondOffset	Double	offset (applied to ATM vol)²
PutSlope	Double	2-Sided Vol Curve input only
PutSlopeRisk	Double	Risk metric based on put slope of 2-Sided Vol Curve (deprecated; use put tilt risk instead)
PutTilt	Double	Put-specific tilt adjustment value
PutWing	Double	input defining strike where put Wing begins
PutWingFactor	Double	refers to volatility as a multiple of ATM vol ¹
PutWingOffset	Double	offset (applied to ATM vol)²
PutWingSlope	Double	slope of the wing on the put side of the vol curve
Quantity	Integer	number of contracts in a given quote, order or trade
QuantitySubLeg	Integer	number of legs in a strategy
QuoteSizeLimit	Integer	quantity limit for quotes
Rho	Double	option greek (sensitivity to change in interest rate)
RightPointXType	String	ex. PERCENT, STRIKE PRICE, VOLATILITY, STRADDLE, INITIAL³
RightPointXValue	Double	a strike or percent (in decimal). Should be negative value for left point
RightPointYType	String	ex. VOLATILITY and STRADDLE³
VolatilityMultiplier	Double	default is 1
VolatilityOffset	Double	default is 0
Volga	Double	option greek (2nd-order derivative with respect to volatility)
VolPathTilt	Double	Factor used to change global slope of VolPath. Default = 1. (Specific to SetVolPath message; do not confuse with Tilt.)
VLegDelta	Double	hedge delta of volatility leg [4]
VLegPrice	Double	price of volatility leg [4]
VLegRatio	Integer	number of contracts to buy/sell for this instrument [4]
Zeta	Double	option greek (rate of change of delta as volatility changes)

¹These are parameters specific to SkewTypes using a multiplier/factor rather than an offset.

²These are parameters specific to SkewTypes using an offset rather than a multiplier.

³For both points X and Y, “Left” and “Right” Types must match.

[4] These are parameters specific to Volatility Legs on Volatility Spread instrument definitions.