Alternative Data
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      Mariner Backtesting - SpiderRock Intraday/EOD

      SpiderRock Options Alternative Data Sets Intraday and EOD Options Live Surface Term ID - from 1/1/2019

      Options Live Surface Term records contain a live implied volatility term record at standardized days-to-expiration.

      Two datasets are available

      • 'spiderrock_livesurfaceterm_intraday' - market snapshot every 10 minutes.
      • 'spiderrock_livesurfaceterm_eod' - market snapshot at the end of each day.
      CQAI Notebooks

      CQAI Notebooks are available under CQAI > Tutorials > SpiderRock

      Liberator Calls

      SpiderRock live surface term intraday

       symbols = ['SPY','AAPL'] # submit a list of one or more symbols or use None for all symbols
asof = '2020-01-09'
backto = '2020-01-08'
df = liberator.get_dataframe(liberator.query(symbols=symbols, as_of = asof, back_to = backto, name = 'spiderrock_livesurfaceterm_intraday'))
df

      SpiderRock live surface term eod

       symbols = ['SPY','AAPL'] # submit a list of one or more symbols or use None for all symbols
asof = '2020-01-09'
backto = '2020-01-08'
df = liberator.get_dataframe(liberator.query(symbols=symbols, as_of = asof, back_to = backto, name = 'spiderrock_livesurfaceterm_eod' ))
df
      Fields

      41 fields returned per data record

      Field Name Description DataType Notes
      ticker_ts Underlying ticker source enum 'None','SR','NMS','CME','ICE','CFE','CBOT','TD','NYMEX','COMEX','RUT',
      'CBOE','ISE','ARCA','NYSE','OTC','GDAX','BSTAMP','KRAKEN','TST','USR1',
      'USR2','USR3','NSDQ','MFQS','PHLX','MIAX'
      ticker_tk Underlying ticker varchar(12)  
      date Date varchar(10)  
      time Time varchar(8)  
      eMoveHist historical earnings move float average of the last 8 underlier earnings moves
      eMove implied earnings move float Implied move WtVePctage;all earnings events
      expCount number of actual expirations involved tinyint(3) unsigned  
      atm_5d Interpolated 5 day atm vol float At The Money
      atm_10d Interpolated 10 day atm vol float  
      atm_21d Interpolated 21 day atm vol float  
      atm_42d Interpolated 42 day atm vol float  
      atm_63d Interpolated 63 day atm vol float  
      atm_84d Interpolated 84 day atm vol float  
      atm_105d Interpolated 105 day atm vol float  
      atm_126d Interpolated 126 day atm vol float  
      atm_189d Interpolated 189 day atm vol float  
      atm_252d Interpolated 252 day atm vol float  
      atm_378d Interpolated 378 day atm vol float  
      atm_504d Interpolated 504 day atm vol float  
      sdiv_5d Interpolated 5 day sdiv rate float  
      sdiv_10d Interpolated 10 day sdiv rate float  
      sdiv_21d Interpolated 21 day sdiv rate float  
      sdiv_42d Interpolated 42 day sdiv rate float  
      sdiv_63d Interpolated 63 day sdiv rate float  
      sdiv_84d Interpolated 84 day sdiv rate float  
      sdiv_105d Interpolated 105 day sdiv rate float  
      sdiv_126d Interpolated 126 day sdiv rate float  
      sdiv_189d Interpolated 189 day sdiv rate float  
      sdiv_252d Interpolated 252 day sdiv rate float  
      sdiv_378d Interpolated 378 day sdiv rate float  
      sdiv_504d Interpolated 504 day sdiv rate float  
      timestamp update timestamp datetime  
      eMoveExpAdj1 number of expirations int(11) number of expirations (+/-) that the next earn date was moved to best fit market term structure (if any)
      eMoveEKey1_yr LiveSurfaceAtm.pkey.ekey immediately after 1st implied earnings move smallint(5) unsigned This will not match the base earnings calendar if eMoveDtAdj1 != 0) expiration year
      eMoveEKey1_mn LiveSurfaceAtm.pkey.ekey immediately after 1st implied earnings move tinyint(3) unsigned This will not match the base earnings calendar if eMoveDtAdj1 != 0) expiration month
      eMoveEKey1_dy LiveSurfaceAtm.pkey.ekey immediately after 1st implied earnings move tinyint(3) unsigned This will not match the base earnings calendar if eMoveDtAdj1 != 0) expiration day
      eMoveExpAdj2 number of expirations int(11) number of expirations (+/-) that the next earn date was moved to best fit market term structure (if any)
      eMoveEKey2_yr LiveSurfaceAtm.pkey.ekey immediately after 2nd implied earnings move smallint(5) unsigned This will not match the base earnings calendar if eMoveDtAdj2 != 0) expiration year
      eMoveEKey2_mn LiveSurfaceAtm.pkey.ekey immediately after 2nd implied earnings move tinyint(3) unsigned This will not match the base earnings calendar if eMoveDtAdj2 != 0) expiration month
      eMoveEKey2_dy LiveSurfaceAtm.pkey.ekey immediately after 2nd implied earnings move tinyint(3) unsigned This will not match the base earnings calendar if eMoveDtAdj2 != 0) expiration day