Mark Levels

Molecule uses a concept called Mark Level (also called curve_source or quality in some places) to determine the priority of marks and volatilities used to value a trade.

Primary Function

The primary function of mark levels are to allow Molecule to distinguish between market data for identical instruments, but of differing quality. For example, an estimate provided by a user is not as official as the published settlement price for the day. Molecule's valuation engine always picks the best mark level available for a given as_of date, when it computes valuation rows.

Levels

There are 6 mark levels available. In order of maturity:

  • User Provided (user): generally uploads from the screen
  • Settles (vendor): market prices provided by Molecule-built feeds
  • Prelims (prelim): preliminary market prices provided by Molecule-built feeds. These typically start arriving mid-day.
  • Substituted Prelims (prelim_copy): preliminary market prices provided by Molecule-built feeds that are commonly used to mark other symbols intra-day.
  • User Provided Estimate ( user_estimate): user-provided market prices that will be overridden by automated feeds
  • Copied from Prior Day ( copy): automated copies from a prior day, to kick off option greek calculations among other things.
Note that the names in code are different from the colloquial names in some cases. When seen in raw data from Molecule, or via the API, mark levels are shown in the curve_source column, with one of these values.
Colors

Mark levels, when shown on the Market Data screens, have colors indicating the most mature mark in a given curve. To see the colors, go to Market Data/Curves, and click on the white triangle in the top-left corner. Molecule will display the spectrum below.

On the Market Data screens, choosing a mark level in this menu will filter the displayed market data to that mark level.

Corner Cases

Strike interpolation and some other scenarios make the best-available mark level concept more tricky. In general, if two marks are used (i.e., a mark with a $35 strike and another at $40 to interpolate a $37.50 strike) both marks must be at the same level.

Using Mark Levels

You can directly and indirectly interact with mark levels in Molecule. Options include:

  • anything uploaded via spreadsheet will be marked as user.
  • anything posted via the API, unless otherwise specified, will be marked as user.
  • a spreadsheet uploaded that has the word estimate in its filename will be marked as user_estimate.

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