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Version: 8.4.08.4

Schema: AuctionNoticeRC (ID: 2466)

METADATA​

AttributeValue
Topic2450-liquidity-notice
MLink TokenSRConnect
SRSE ProductSRTrade

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

BODY​

#FieldTypeComment
10=noticeNumberlong
100tickerTickerKeyunderlier ticker
101tradeDateDateKey
102auctionTypeenum : AuctionType
103auctionEventenum : AuctionEvent
104srcAuctionIDstring(20)auction ID as known by the auction source (empty for SRC)
105srcAuctionTypestring(4)
106auctionSourceenum : AuctionSourcesource of the auction notice (eg. SRC, MIAX, etc.)
107isTestAuctionenum : YesNoif yes, auction is a test auction (not a prod/live auction)
108containsFlexenum : YesNoFlex = European
109shortCodestring(8)8 letter auction short code (unique per day) (block auctions only) (can be used to find auctions on SR tools)
110industrytext1industry string
111symbolTypeenum : SymbolType
112uAvgDailyVlmfloatunderlier average daily trading volume
113rootTickerKeyoption root (+C/-P/-U)
114expiryDateKey
115strikedoublerev/con strike
116custSideenum : BuySellif available
117custQtyint
118custPrcdoublepublic cust price
119hasCustPrcenum : YesNo
120custFirmTypeenum : FirmTypecust firm type (if disclosed)
121custAgentMPIDstring(6)cust agent exchange member initiating the auction (if disclosed)
122custClientFirmstring(16)cust client firm (if disclosed)
123commEnhancementfloatadditional commission (if any) paid by responder
124custCommPayingenum : YesNoclient is commission paying (to the responder)
125custQtyCondenum : CustQtyCondUpToQty, AllOrNone, QtyOrMore
126auctionDurationint[expected] auction duration (in milliseconds)
127uBiddoublelive stock price
128uAskdouble
129iDaysdoubleiDays = effective interest days [SR supplied]
130iYearsdoubleiYears = iDays / 360.0
131moneyRatedoubleeffective rate to borrow/lend money to expiry (360 day convention) [compares to globalRate * 360 / 365] [SR Supplied Estimate]
132ddivPvdoublepresent value of any expected dividends to expiry [SR Supplied Estimate]
133hasEstDDivsenum : YesNoYes if one or more expected ddiv is an estimate (not yet announced) [SR Supplied]
134sVoldoublesurface volatility for rev/con strike [SR Supplied Estimate]
135rcEExPremdoublercEExPrem = (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]
136strikePvdoublestrikePv = strike * (1.0 - moneyRate * iYears) [moneyRate supplied above]
137effStockLendPvdoubleeffStockLendPv = custPrice - strikePv - ddivPv - rcEExPrem [if cust price is visible]
138effStockRatedoubleeffStockRate = effStockLendPv / (uMid * iYears) [if cust price is visible]
139srcTimestamplong
140netTimestamplong
141timestampDateTimefrom ats / exchange net timestamp if possible
142includeSRNetworkenum : InclExclDisclose

REPEATING FIELDS​

DirectedCounterParty

FieldTypeComment
144clientFirmstring(16)
145inclExclenum : InclExclDisclose
146isCommPayingenum : YesNo

Get Schema API Call​

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)

Get Msg API Call​

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)

Get Msgs API Call​

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)

Get Aggregate API Call​

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)

Get Count API Call​

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)