Real-Time Volatility Feed
Real-Time Options Data
Options Analytics Benefits
Market Data Products
Consult with us
Real-Time Volatility Multicast Feeds
SpiderRock volatility feeds are built on option analytics derived from the SpiderRock proprietary numerical pricing libraries and are based on discrete dividend estimates where appropriate. The feeds are fast, with calculations updating every time a top of book option price changes (TICK), at fixed intervals (LOOP), and the end of each trading session day (CLOSE).
Multiple Data Formats
Leveraging our technology platform, SpiderRock sets the standard in reliable, high-performance, intelligent options analytics and data. We use a market-tested proprietary methodology to deliver superior speed, throughput, and accuracy to protect our client’s edge.
SpiderRock offers multiple live options analytics delivery mechanisms, from multicast channels or our proprietary MLink engine. In all cases, our real-time analytics and data tie into historical records to maximize the edge capture and limit loss between backtesting and execution.
Real-Time Volatility API Feed
(SpiderStream)
The volatility multicast feed is a low-latency analytics feed that adds options content to the raw feeds. The feed includes normalized OPRA and CME prices with a reduced bandwidth profile that is more manageable and cost-effective. The feed is delivered through a robust, reliable technical infrastructure targeted to support traders and trading platforms, and is easy to consume over SpiderRock’s feed handlers coded in C# and C++.
Key product attributes:
ADAPTIVE – In addition to the prices, the feed includes implied volatility NBBO quotes, surface prices, Greeks with synchronized underlying prices, current forecasted dividends, and interest rates.
SECURE – This feed can be supplied from a redundant infrastructure in the U.S. through NY4/5 or CH2 data centers and globally as part of our partners’ data ecosystems.
ARBITRAGE-FREE VOLATILITY – Volatility surfaces are designed for trading and tied together with no-arbitrage across strikes to support live trading operations.
REAL-TIME – Sub-millisecond processing of analytics for low latency delivery.
Live Market Data and Volatility Database
(SpiderStream over MLink)
SpiderRock MLink is a powerful and effective API that allows access via Websocket or REST query to view and integrate with live market data. The available data is direct from the SpiderRock core platform, and includes live market data for all U.S. listed equities, futures, and options. SpiderStream builds on this core market data stream and adds access to the full scope of options analytics together with volatility bid and ask quotes, Greeks, trades marked up with analytics, fully articulated options pricing, and volatility surfaces. The analytic feeds are further supplemented with closing and opening markets, with other useful trade aggregations such as minute bars.
Strengths:
EASY TO CONSUME – Easy access to live equity, options, and futures data feeds accessed over the internet or via cross-connect in either Equinix NY4 or CH2. Also, unlimited user API calls.
BROAD – Live and prior day records covering all listed US equity and futures derivative markets that can be filtered to specific symbols, indexes, or exchange stripes.
EFFICIENT – High throughput operations with low latency message delivery.
LIVE ANALYTICS – On-the-fly computation of implied volatilities and Greeks.
Unique Values
Distinct MLink Products Include
SpiderRock real-time data products offer unique value as a reliable, low-cost delivery method of market data and options analytics without making significant investments in infrastructure and people.
Analytics for volatility and surface modeling capable of supporting live trading operations.
Low latency calculations that provide a competitive edge.
Industry-standard pricing methods with proprietary enhancements for both accuracy and speed.
Purpose-built to support trading and risk management platforms.
Service and support from experienced option market professionals.
Stock
- Real-time quotes
- Trade details
- Closing prices
- Market summary
- Order imbalances
Options
- Real-time quotes
- Trade details
- Closing prices
- Market summary
Futures
- Real-time quotes
- Trade details
- Settlement prices
- Closing prices
Live Implied Quotes
- Options implied quotes
- Trade details
Equity Options Analytics
- Real-time volatility surfaces
- Historical volatilities
- Opening prices
- Closing prices & analytics
- Risk factors
Future Options Analytics
- Real-time volatility surfaces
- Historical volatilities
- Opening prices
- Closing prices & analytics
- Risk factors
Unique Values
SpiderRock real-time data products offer unique value as a reliable, low-cost delivery method of market data and options analytics without making significant investments in infrastructure and people.
Analytics for volatility and surface modeling capable of supporting live trading operations.
Low latency calculations that provide a competitive edge.
Industry-standard pricing methods with proprietary enhancements for both accuracy and speed.
Purpose-built to support trading and risk management platforms.
Service and support from experienced option market professionals.
Distinct MLink Products Include
Stock
- Real-time quotes
- Trade details
- Closing prices
- Market summary
- Order imbalances
Options
- Real-time quotes
- Trade details
- Closing prices
- Market summary
Futures
- Real-time quotes
- Trade details
- Settlement prices
- Closing prices
Live Implied Quotes
- Options implied quotes
- Trade details
Equity Options Analytics
- Real-time volatility surfaces
- Historical volatilities
- Opening prices
- Closing prices & analytics
- Risk factors
Future Options Analytics
- Real-time volatility surfaces
- Historical volatilities
- Opening prices
- Closing prices & analytics
- Risk factors
Use Cases / benefits
Typical use cases for our market data offerings are building GUI data displays, risk management, trading, pricing analytics, and EOD valuation.
Creating an Integrated Data Solution for your GUIs or Trading platform
Handling full market data feeds to build displays for customer facing applications, internal trading, or risk platforms is an expensive undertaking. Further, calculating the necessary analytics from consolidated feeds requires extensive technology capabilities, multiple vendor reference datasets, and significant quantitative know-how. This all adds up to high-cost, high-maintenance solutions for Fintech platforms that need to focus on UI/UX and user acquisition. With SpiderStream over MLink, you can integrate with Websocket or REST API solutions and scale your solutions off our 100GB market data infrastructure backbone and proven, industry-leading, quantitative expertise for the support and delivery of platform solutions, for the cost of market data feed.
SpiderRock offers real-time and delayed options feeds for professional and non-professional users, and we are an exchange vendor of record who can support the market data distribution needs. SpiderRock manages all the basic consolidated data feeds and supporting datasets needed. We have organized the data in useful, proven ways to help you build the tools you need in the shortest possible timeframes. We offer highly efficient delivery protocols and data filters and structuring designed and proven in a high-capacity environment. We provide API documentation to support multiple programming options and most of all, we have done this ourselves for years and can provide deep expertise in the technology and computation needed to support successful integration projects.
Optimize live trading strategies via normalized OPRA and SpiderRock’s advanced analytics
This solution is purpose-built to support quantitative trading systems, helping institutional clients value derivative portfolios accurately. By consuming the SpiderRock feed with the most accurate volatility surfaces for US options available on the market, users can significantly improve the accuracy of their models. In addition, the data feed is also much less CPU intensive than calculating analytics on client equipment that can measurably reduce hardware requirements on the user end, allowing reduced overhead costs without compromising data quality. Better yet, your live trading strategies can be based on our historical data, generated from the same models and infrastructures, captured over multiple years.
Monitor Risk view and PnL across Products via SpiderStream over MLink API.
Accurate surface prices allow clients to optimize deployed capital and better understand the potential risks. The complex data enables users to perform additional calculations such as ‘What-if’ analysis. Messages, such as Implied Quote and Close Marks, delivered over the multicast feed specifically support portfolio valuation, real-time risk with margin, and overnight portfolio risk.
Interactive direct databased querying of SpiderRock Live and SpiderRock Analytics tables
Users can query tables with live prices, quotes, and prints across all asset classes sourced from US exchanges and enhanced with live proprietary analytics that are calculated on every option tick and at regular intervals in between.
This solution is reliable with low-cost delivery of real-time market data and options analytics without having to make a significant investment in infrastructure. Clients can pull the customized data and display it directly on their proprietary tools.
Other SpiderRock Data Products
We also offer multiple historical and real-time price datasets including options, volatility, and futures data.
FAQs About Our Real Time Market Data API
How do you access the SpiderRock Multicast Volatility Feed?
Users can connect to the SpiderRock network and listen to the multichannel multicast stream through SpiderRock supplied feed handlers/API.
How do you access the SpiderStream MLink API?
MLink API real-time and delayed servers are available directly in our NY5 data centers for higher capacity/higher reliability needs. This API can be accessed by cross-connect or via any suitable network connection, including over the public internet. Encrypted SSL connectivity is also available. The API is optimized for high-throughput operations. Once connected, just query any one of the MLink products using your choice of language (Python, R, C#, etc.).
What is the latency of the data in the SpiderRock Volatility feeds and Analytical data?
The latency of the data will depend significantly on the source of the feeds. The core calculation engines for both the volatility feeds and analytics are located on NY5 equidistant from the matching engines of the majority of the equity options exchanges.
The latency to get to NY5 is generally on the order of a few milliseconds, and the analytics calculation latency is sub-millisecond. These latency ranges will work well to support trading platforms, risk computation, and trading applications.
For true low latency needs, we suggest using SpiderRock raw or normalized multicast feeds that are directly connected to our access points in our datacenter installation closest to your required exchanges.
Consult With Us
Please send your data and analytics inquiries to the SpiderRock data team via the contact form below.