Real-Time Market Volatility Data

SpiderRock provides award-winning low latency feeds that add options analytics content to the market data feeds with sub-millisecond processing or makes market data accessible via our live SQL-based API. These feeds contain the market data from the underlying feeds and feature implied quotes, Greeks, and fitted volatility surfaces prices.

Proprietary Feeds
Source
SpiderRock
SpiderRock
Feed
Volatility & Greeks Feed
Normalized Greeks Feed
Raw

Normalized

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 market-tested proprietary methodology to deliver superior speed, throughput and accuracy to protect our client’s edge.

Multiple delivery mechanisms of iive options analytics, from multicast channels or a MySQL query engine. The 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
(OPRA with Analytics)

real time volatility API Feed

The volatility feed is a low latency analytics feed that adds option 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. Easy to consume over the SpiderRock’s feed handlers coded in C# and C++, the feed is delivered through a robust and reliable technical infrastructure targeted to support traders and trading platforms.

Key product attributes:

  • ADAPTIVE – In addition to the prices, the feed includes implied volatility NBBO quotes, surface prices, and 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
(SRSE)

live market data and volatility database

SRSE (SpiderRock Storage Engine) is a custom storage engine built on SQL to access all live multicast records passing through the SpiderRock trading platform. SRSE allows our clients to inspect and interact with all aspects of the platform in real-time.

Each live SQL server is a MySQL server with an embedded proprietary storage engine (SRSE) listening to multicast packets and making the current leading-edge data available using standard MySQL SELECT syntax. Clients connect using MySQL drivers (v5.5 or later) from an environment of their choice. They are free to make unlimited data requests to build data-driven analytics, monitor risk, or systematize trading strategies. The SpiderRock SRSE Live and SRSE Analytics API is a powerful and effective way to view and integrate with live market data.

Strengths:

  • EASY TO CONSUME – Easy access to live equity, options and futures data feeds accessed over internet VPN or via cross-connect in either Equinix NY4 or CH2.
  • BROAD – Live and prior day records covering all listed US equity and futures derivative markets.
  • EFFICIENT – High throughput bulk select and upload operations.
  • LIVE ANALYTICS – On-the-fly computation of implied volatilities and Greeks.

Unique Values

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 SRSE Databases Include

distinct SRSE databases

SRSE Live

  • High throughput bulk access to the full market data universe
  • U.S. quotes and prints across all asset classes including RFQs, and COBs
  • Product definition tables (OCC, CME, Equity NMS)

SRSE Analytics

  • Live and prior day SpiderRock surfaces and implied volatilities
  • Greeks across all asset classes

SRSE Spread

  • Aggregated US Complex Order Books into a consolidated table
  • Consolidated across multiple markets such as NASDAQ, CBOE, MIAX, BOX in a single view

 

Use Cases / benefits

Typical use cases for our market data offerings are GUI data display, risk management, 15c3-5, market-making, prop trading, pricing analytics, and EOD valuation.

Optimize live trading strategies via normalized OPRA and SpiderRock’s advanced analytics

This solution is purpose-built to support quantitative trading systems and help 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 are able to significantly improve the accuracy of their models. In addition, the data feed is also much less CPU intensive than calculating analytics on client equipment and can measurably reduce hardware requirements on the user end, allowing reduced overhead cost without compromising data quality.

live trading strategies
portfolio risk management

Monitor Risk view and PnL across Products via SpiderRock’s multicast feed

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 bulk querying of SpiderRock Live and SpiderRock Analytics tables

Users are able to query live market data tables with live prices, quotes, and prints across all asset classes which are sourced from US exchanges and enhanced with live proprietary analytics 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.

interactive bulk querying
order book tables

Scan Complex Order Book tables via MySQL API

The MySQL API enables access to complex order books of multi-leg trades between asset classes via a single API. By executing simple MySQL queries, users gain an easy way to incorporate COB feeds into their trading strategies at the lowest possible latency and without incurring multiple internal development costs or dealing with ongoing exchange updates.

Other Market Datasets

We also offer multiple historical and real-time price datasets including options, volatility, and futures data. These datasets are well-suited to extend your strategy across multiple asset classes and markets.

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 SpiderRock SQL API?

MySQL API (SRSE) servers are available in our NY4 or CH2 data centers and can be accessed by cross-connect or via any suitable network connection, including over the public internet. Encrypted SSL connectivity is also available. The SRSE SQL database is optimized for high throughput operations. Once connected, just query the SpiderRock live SQL API via a MySQL connection library for the language of your choice (Python, R, C#, etc.)

Can I directly enter trades from my strategy through MySQL API (SRSE) as well?

Yes, once you have connected to SRSE and used this to scan the market for opportunities, you can enter orders directly into SRSE and have them load into the SpiderRock Platform for execution.

What is the latency of the data in the SpiderRock Volatility feeds or in SRSE?

The latency of the data will depend significantly on the source of the feeds. The core calculation engines for both the volatility feeds, and SRSE are located on NY4 equidistant from the matching engines of the majority of the equity options exchanges. The latency to get to NY4 is generally on the order of a few ms, and the analytics calculation latency is sub-millisecond. This latency can be longer for other feeds like the CME exchanges where the exchange matching engine is near Chicago, and the data must travel a much greater distance. Finally, if you are cross-connected to SpiderRock for access to the data, latency will be small, but over the internet, this would be longer and bandwidth dependent.

Consult With Us

Please send your data and analytics inquiries to the SpiderRock data team via the contact form below.