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.