Version: Upcoming

Schema: AuctionNoticeRC (ID: 2466)

METADATA

Attribute	Value
Topic	2450-liquidity-notice
MLink Token	SRATS
SRSE Product	SRTrade

Note: The symbol = next to a field number indicates that it is a primary key.

BODY

#	Field	Type	Comment
10=	noticeNumber	long
100	ticker	TickerKey	underlier ticker
101	tradeDate	DateKey
102	auctionType	enum : AuctionType
103	auctionEvent	enum : AuctionEvent
104	srcAuctionID	string(20)	auction ID as known by the auction source (empty for SRC)
105	srcAuctionType	string(4)
106	auctionSource	enum : AuctionSource	source of the auction notice (eg. SRC, MIAX, etc.)
107	isTestAuction	enum : YesNo	if yes, auction is a test auction (not a prod/live auction)
108	containsFlex	enum : YesNo	Flex = European
109	shortCode	string(8)	8 letter auction short code (unique per day) (block auctions only) (can be used to find auctions on SR tools)
110	industry	text1	industry string
111	symbolType	enum : SymbolType
112	uAvgDailyVlm	float	underlier average daily trading volume
113	root	TickerKey	option root (+C/-P/-U)
114	expiry	DateKey
115	strike	double	rev/con strike
116	custSide	enum : BuySell	if available
117	custQty	int
118	custPrc	double	public cust price
119	hasCustPrc	enum : YesNo
120	custFirmType	enum : FirmType	cust firm type (if disclosed)
121	custAgentMPID	string(6)	cust agent exchange member initiating the auction (if disclosed)
122	custClientFirm	string(16)	cust client firm (if disclosed)
123	commEnhancement	float	additional commission (if any) paid by responder
124	custCommPaying	enum : YesNo	client is commission paying (to the responder)
125	custQtyCond	enum : CustQtyCond	UpToQty, AllOrNone, QtyOrMore
126	auctionDuration	int	[expected] auction duration (in milliseconds)
127	uBid	double	live stock price
128	uAsk	double
129	iDays	double	iDays = effective interest days [SR supplied]
130	iYears	double	iYears = iDays / 360.0
131	moneyRate	double	effective rate to borrow/lend money to expiry (360 day convention) [compares to globalRate * 360 / 365] [SR Supplied Estimate]
132	ddivPv	double	present value of any expected dividends to expiry [SR Supplied Estimate]
133	hasEstDDivs	enum : YesNo	Yes if one or more expected ddiv is an estimate (not yet announced) [SR Supplied]
134	sVol	double	surface volatility for rev/con strike [SR Supplied Estimate]
135	rcEExPrem	double	rcEExPrem = (pRv.price - pRvE.price) - (cRv.price - cRvE.price) [american price - european price] [same model parameters; SR supplied parameters including DDivs; is zero for flex revcons]
136	strikePv	double	strikePv = strike * (1.0 - moneyRate * iYears) [moneyRate supplied above]
137	effStockLendPv	double	effStockLendPv = custPrice - strikePv - ddivPv - rcEExPrem [if cust price is visible]
138	effStockRate	double	effStockRate = effStockLendPv / (uMid * iYears) [if cust price is visible]
139	srcTimestamp	long
140	netTimestamp	long
141	timestamp	DateTime	from ats / exchange net timestamp if possible
142	includeSRNetwork	enum : InclExclDisclose

REPEATING FIELDS

DirectedCounterParty

Field	Type	Comment
144	clientFirm	string(16)
145	inclExcl	enum : InclExclDisclose
146	isCommPaying	enum : YesNo

Get Schema API Call

Python
cUrl

import requests 

# Replace with your desired MLINK URL 
MLINK_PROD_URL = 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json'

# Replace with your MLINK API Key
API_KEY = 'XXXX-XXXX-XXXX-XXXX'

# Replace with your desired MsgType.  
MSG_TYPE = 'AuctionNoticeRC'

# Request Parameters for Get Schema Of The MsgType
params = {
#Required Parameters
"apiKey": API_KEY,
"cmd": 'getschema',
"msgType": MSG_TYPE, 
}

response = requests.get(MLINK_PROD_URL, params=params)

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getschema' \
--data-urlencode 'msgType=AuctionNoticeRC'

Get Msg API Call

Python
cUrl

import requests 

# Replace with your desired MLINK URL 
MLINK_PROD_URL = 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json'

# Replace with your MLINK API Key
API_KEY = 'XXXX-XXXX-XXXX-XXXX'

# Replace with your desired MsgType.  
MSG_TYPE = 'AuctionNoticeRC'

# Replace with your pkey value for getting the specific message desired
PKEY = 'ReplaceThisValueForTheQueryToWork'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned. 
VIEW = 'ticker|tradeDate|auctionType|auctionEvent|srcAuctionID|srcAuctionType|auctionSource|isTestAuction|containsFlex|shortCode|industry|symbolType|uAvgDailyVlm|root|expiry|strike|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|custClientFirm|commEnhancement|custCommPaying|custQtyCond|auctionDuration|uBid|uAsk|iDays|iYears|moneyRate|ddivPv|hasEstDDivs|sVol|rcEExPrem|strikePv|effStockLendPv|effStockRate|srcTimestamp|netTimestamp|timestamp|includeSRNetwork'

# Replace with your desired where clause.
# a string in the form "field1:eq:valuse" or "(field1:ne:value1 & field1:ne:value2)
# "WHERE" clauses can contain the following comparison symbols:
# :gt: is greater than
# :ge: is greater than or equal to
# :lt: is less than
# :le: is less than or equal to
# :eq: is equal
# :ne: is not equal
# %26 is an AND statement
# | is an OR statement
# :sw: is starts with
# :ew: is ends with
# :cv: is contains values
# :nv: is does not contain value
# :cb: is contained between (two dates for instance) separated by '$'
WHERE = 'srcAuctionID:eq:ExampleString'

# Request Parameters for getmsg Of The MsgType
params = {
    # Required Parameters
    "apiKey": API_KEY,
    "cmd": 'getmsg',
    "pkey": PKEY,
    "msgType": MSG_TYPE,
    # Optional Parameters
    "view": VIEW, 
    "where": WHERE
}

response = requests.get(MLINK_PROD_URL, params=params)

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getmsg' \
--data-urlencode 'pkey=ReplaceThisValueForTheQueryToWork' \
--data-urlencode 'msgType=AuctionNoticeRC' \
--data-urlencode 'view=ticker|tradeDate|auctionType|auctionEvent|srcAuctionID|srcAuctionType|auctionSource|isTestAuction|containsFlex|shortCode|industry|symbolType|uAvgDailyVlm|root|expiry|strike|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|custClientFirm|commEnhancement|custCommPaying|custQtyCond|auctionDuration|uBid|uAsk|iDays|iYears|moneyRate|ddivPv|hasEstDDivs|sVol|rcEExPrem|strikePv|effStockLendPv|effStockRate|srcTimestamp|netTimestamp|timestamp|includeSRNetwork' \
--data-urlencode 'where=srcAuctionID:eq:ExampleString'

Get Msgs API Call

Python
cUrl

import requests 

# Replace with your desired MLINK URL 
MLINK_PROD_URL = 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json'

# Replace with your MLINK API Key
API_KEY = 'XXXX-XXXX-XXXX-XXXX'

# Replace with your desired MsgType.  
MSG_TYPE = 'AuctionNoticeRC'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'ticker|tradeDate|auctionType|auctionEvent|srcAuctionID|srcAuctionType|auctionSource|isTestAuction|containsFlex|shortCode|industry|symbolType|uAvgDailyVlm|root|expiry|strike|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|custClientFirm|commEnhancement|custCommPaying|custQtyCond|auctionDuration|uBid|uAsk|iDays|iYears|moneyRate|ddivPv|hasEstDDivs|sVol|rcEExPrem|strikePv|effStockLendPv|effStockRate|srcTimestamp|netTimestamp|timestamp|includeSRNetwork'

# Replace with your desired where clause.
# a string in the form "field1:eq:value" or "(field1:ne:value1 & field1:ne:value2)
# "WHERE" clauses can contain the following comparison symbols:
# :gt: is greater than
# :ge: is greater than or equal to
# :lt: is less than
# :le: is less than or equal to
# :eq: is equal
# :ne: is not equal
# %26 is an AND statement
# | is an OR statement
# :sw: is starts with
# :ew: is ends with
# :cv: is contains values
# :nv: is does not contain value
# :cb: is contained between (two dates for instance) separated by '$'
WHERE = 'srcAuctionID:eq:ExampleString'

# Replace with your desired limit of how many messages you receive. The default limit is 500
LIMIT = 500

# Order clause eg. "(field1:DESC | field1:ASC | field2:DESC:ABS | field2:ASC:ABS" (default is unordered; default is faster)
ORDER = 'ticker:ASC'

# Request Parameters for getmsgs Of The MsgType
params = {
    # Required Parameters
    "apiKey": API_KEY,
    "cmd": 'getmsgs',
    "msgType": MSG_TYPE,
    # Optional Parameters
    "view": VIEW, 
    "where": WHERE,
    "limit": LIMIT,
    "order": ORDER
}

response = requests.get(MLINK_PROD_URL, params=params)

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getmsgs' \
--data-urlencode 'msgType=AuctionNoticeRC' \
--data-urlencode 'view=ticker|tradeDate|auctionType|auctionEvent|srcAuctionID|srcAuctionType|auctionSource|isTestAuction|containsFlex|shortCode|industry|symbolType|uAvgDailyVlm|root|expiry|strike|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|custClientFirm|commEnhancement|custCommPaying|custQtyCond|auctionDuration|uBid|uAsk|iDays|iYears|moneyRate|ddivPv|hasEstDDivs|sVol|rcEExPrem|strikePv|effStockLendPv|effStockRate|srcTimestamp|netTimestamp|timestamp|includeSRNetwork' \
--data-urlencode 'where=srcAuctionID:eq:ExampleString' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=ticker:ASC'

Get Aggregate API Call

Python
cUrl

import requests 

# Replace with your desired MLINK URL 
MLINK_PROD_URL = 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json'

# Replace with your MLINK API Key
API_KEY = 'XXXX-XXXX-XXXX-XXXX'

# Replace with your desired MsgType.  
MSG_TYPE = 'AuctionNoticeRC'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|tradeDate|auctionType|auctionEvent|srcAuctionID|srcAuctionType|auctionSource|isTestAuction|containsFlex|shortCode|industry|symbolType|uAvgDailyVlm|root|expiry|strike|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|custClientFirm|commEnhancement|custCommPaying|custQtyCond|auctionDuration|uBid|uAsk|iDays|iYears|moneyRate|ddivPv|hasEstDDivs|sVol|rcEExPrem|strikePv|effStockLendPv|effStockRate|srcTimestamp|netTimestamp|timestamp|includeSRNetwork'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'auctionType|auctionEvent|auctionSource|isTestAuction|containsFlex|symbolType|custSide|hasCustPrc|custFirmType|custCommPaying|custQtyCond|hasEstDDivs|includeSRNetwork'

# Replace with your desired where clause.
# a string in the form "field1:eq:value" or "(field1:ne:value1 & field1:ne:value2)
# "WHERE" clauses can contain the following comparison symbols:
# :gt: is greater than
# :ge: is greater than or equal to
# :lt: is less than
# :le: is less than or equal to
# :eq: is equal
# :ne: is not equal
# %26 is an AND statement
# | is an OR statement
# :sw: is starts with
# :ew: is ends with
# :cv: is contains values
# :nv: is does not contain value
# :cb: is contained between (two dates for instance) separated by '$'
WHERE = 'srcAuctionID:eq:ExampleString'

# Request Parameters for getaggregate Of The MsgType
params = {
# Required Parameters
"apiKey": API_KEY,
"cmd": 'getaggregate',
"msgType": MSG_TYPE,
"measure": MEASURE,
"group": GROUP,
# Optional Parameters
"where": WHERE,
}

response = requests.get(MLINK_PROD_URL, params=params)

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getaggregate' \
--data-urlencode 'msgType=AuctionNoticeRC' \
--data-urlencode 'measure=ticker|tradeDate|auctionType|auctionEvent|srcAuctionID|srcAuctionType|auctionSource|isTestAuction|containsFlex|shortCode|industry|symbolType|uAvgDailyVlm|root|expiry|strike|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|custClientFirm|commEnhancement|custCommPaying|custQtyCond|auctionDuration|uBid|uAsk|iDays|iYears|moneyRate|ddivPv|hasEstDDivs|sVol|rcEExPrem|strikePv|effStockLendPv|effStockRate|srcTimestamp|netTimestamp|timestamp|includeSRNetwork' \
--data-urlencode 'group=auctionType|auctionEvent|auctionSource|isTestAuction|containsFlex|symbolType|custSide|hasCustPrc|custFirmType|custCommPaying|custQtyCond|hasEstDDivs|includeSRNetwork' \
--data-urlencode 'where=srcAuctionID:eq:ExampleString'

Get Count API Call

Python
cUrl

import requests 

# Replace with your desired MLINK URL 
MLINK_PROD_URL = 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json'

# Replace with your MLINK API Key
API_KEY = 'XXXX-XXXX-XXXX-XXXX'

# Replace with your desired MsgType.  
MSG_TYPE = 'AuctionNoticeRC'

# Replace with your desired where clause.
# a string in the form "field1:eq:value" or "(field1:ne:value1 & field1:ne:value2)
# "WHERE" clauses can contain the following comparison symbols:
# :gt: is greater than
# :ge: is greater than or equal to
# :lt: is less than
# :le: is less than or equal to
# :eq: is equal
# :ne: is not equal
# %26 is an AND statement
# | is an OR statement
# :sw: is starts with
# :ew: is ends with
# :cv: is contains values
# :nv: is does not contain value
# :cb: is contained between (two dates for instance) separated by '$'
WHERE = 'srcAuctionID:eq:ExampleString'

# Request Parameters for getCount Of The MsgType
params = {
# Required Parameters
"apiKey": API_KEY,
"cmd": 'getcount',
"msgType": MSG_TYPE,
# Optional Parameters
"where": WHERE,
}

response = requests.get(MLINK_PROD_URL, params=params)

curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getcount' \
--data-urlencode 'msgType=AuctionNoticeRC' \
--data-urlencode 'where=srcAuctionID:eq:ExampleString'

Schema: AuctionNoticeRC (ID: 2466)

METADATA​

BODY​

REPEATING FIELDS​

Get Schema API Call​

Get Msg API Call​

Get Msgs API Call​

Get Aggregate API Call​

Get Count API Call​

METADATA

BODY

REPEATING FIELDS

Get Schema API Call

Get Msg API Call

Get Msgs API Call

Get Aggregate API Call

Get Count API Call