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.