Orchimate 1.4.2 /
JSE External Messaging API 2.8.9
Orchestra Hub

Orchestra Specification

Indexes

Message Layouts

Common

Application

Message

AtmVolatilityEvent (73)

ID

10277

Event with ATM volatilities for an underlying instrument. The dates are expiry dates for the options.

Field	Name	Type	Req'd	Comments	Pedigree
482	sequenceNumber	long		The sequence number is a unique number for all events published for the same flow.
528	subscriptionGroupId	int		The id of the subscription group the message is published on.
112	condType	CondTypeCodeSet		Price Condition type (tag).
59	businessDate	String		Business date. Format is YYYY-MM-DD.
254	instrumentExternalId	String		The external instrument id. This is the JSE Master ID.
191	feedSource	FeedSourceCodeSet		The source.
544	timestamp	String		The time of the market data event. The format is "yyyy-MM- ddTHH:mm:ss.SSS".
2	absoluteDates	String		The absolute instrument expiry dates. Corresponds to the array of volatilities.
628	vols	long		The volatilities. Corresponds to the array of dates. This field is a fixed point number with a scaling factor equal to 1/DIVISOR.DECIMAL.

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