Schema: AuctionNoticeSN (ID: 2467)
METADATA
Attribute | Value |
---|---|
Topic | 2450-liquidity-notice |
MLink Token | SRConnect |
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) |
114 | expiry | DateKey | |
115 | strike | double | 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 | srcTimestamp | long | |
138 | netTimestamp | long | |
139 | timestamp | DateTime | from ats / exchange net timestamp if possible |
140 | includeSRNetwork | enum : InclExclDisclose |
REPEATING FIELDS
DirectedCounterParty
Field | Type | Comment |
---|---|---|
142 | clientFirm | string(16) |
143 | inclExcl | enum : InclExclDisclose |
144 | 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 = 'AuctionNoticeSN'
# 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=AuctionNoticeSN'
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 = 'AuctionNoticeSN'
# 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|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=AuctionNoticeSN' \
--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|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 = 'AuctionNoticeSN'
# 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|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=AuctionNoticeSN' \
--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|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 = 'AuctionNoticeSN'
# 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|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=AuctionNoticeSN' \
--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|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 = 'AuctionNoticeSN'
# 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=AuctionNoticeSN' \
--data-urlencode 'where=srcAuctionID:eq:ExampleString'