Schema: AuctionPrint (ID: 2485)
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 | AuctionNotice.noticeNumber |
100 | ticker | TickerKey | underlier ticker |
101 | tradeDate | DateKey | |
157 | isTestAuction | enum : YesNo | if yes, auction is a test auction (not a prod/live auction) |
102 | noticeTime | DateTime | notice create timestamp (high precision) |
103 | auctionType | enum : AuctionType | (eg. Block, Flash, Improvement, Facilitation, etc.) |
104 | auctionSource | enum : AuctionSource | source of the auction notice (eg. SRC, MIAX, etc.) |
111 | industry | text1 | industry string |
112 | symbolType | enum : SymbolType | |
113 | uAvgDailyVlm | float | underlier average daily trading volume |
114 | custSide | enum : BuySell | from AuctionNotice (if known) |
115 | custQty | int | from AuctionNotice (if known) |
116 | custPrc | double | from AuctionNotice (if known) |
117 | hasCustPrc | enum : YesNo | from AuctionNotice (if known) |
118 | custFirmType | enum : FirmType | cust firm type (if disclosed) |
119 | custAgentMPID | string(6) | cust agent exchange member initiating the auction (if disclosed) |
158 | commEnhancement | float | additional commission (if any) paid by responder |
105 | numOptLegs | byte | MLEG Only |
106 | spreadClass | enum : ToolSpreadClass | |
107 | spreadFlavor | enum : SpreadFlavor | MLEG Only |
108 | containsHedge | enum : YesNo | MLEG Only |
109 | containsFlex | enum : YesNo | contains FLEX options (not regular listed options) |
110 | containsMultiHedge | enum : YesNo | contains MultiHedge (corp action adjusted) options |
159 | uBid | double | |
160 | uAsk | double | |
142 | netDe | float | |
143 | netGa | float | |
144 | netTh | float | |
145 | netVe | float | |
161 | pkgSurfPrc | float | SR Surface Price (entire package) |
162 | pkgBidPrc | float | pkg bid price (best way price) (entire package) |
163 | pkgAskPrc | float | pkg ask price (best way price) (entire package) |
121 | prtPrice | double | reported OPRA print price (pkgPrice if MLeg) |
122 | prtPrice2 | double | if reported as 2 separate prints at different prices (ie, partial size improvement) |
123 | prtSize | int | reported OPRA print size (pgkSize if MLeg) |
124 | prtSize2 | int | reported OPRA print size (pgkSize if MLeg) |
125 | prtTime | DateTime | reported OPRA print time (1st print if MLeg) (high precision) |
126 | prtType | enum : PrtType | reported OPRA print type |
127 | prtUBid | double | best estimate of uBid @ auction print time |
128 | prtUAsk | double | best estimate of uAsk @ auction print time |
129 | prtUPrc | double | best estimate of uPrc @ auction print time |
130 | prtSurfVol | float | surface vol @ auction print time (single option auction only) |
131 | prtSurfPrc | float | surface prc @ auction print time (@ uMid) (pkgSurfPrc if MLeg) |
132 | bidPrc | float | option nbbo bid @ auction print time |
133 | bidSz | int | nbbo bid cum size |
134 | bidMask | uint | nbbo bid exch mask |
135 | askPrc | float | option nbbo ask @ auction print time |
136 | askSz | int | nbbo ask cum size |
137 | askMask | uint | nbbo ask exch mask |
138 | exchBidPrc | float | exch bid @ auction print time |
139 | exchBidSz | int | exch bid size |
140 | exchAskPrc | float | exch ask @ auction print time |
141 | exchAskSz | int | exch ask size |
146 | uPrc1m | float | uPrc (mid market) @ auction print time + 1m |
147 | bidPrc1m | float | option nbbo bid @ auction print time + 1m |
148 | askPrc1m | float | option nbbo ask @ auction print time + 1m |
149 | surfVol1m | float | surface vol @ auction print time + 1m (single option auction only) |
150 | surfPrc1m | float | surface prc @ auction print time + 1m (@ uMid) |
151 | uPrc10m | float | uPrc (mid market) @ auction print time + 10m |
152 | bidPrc10m | float | option nbbo bid @ auction print time + 10m |
153 | askPrc10m | float | option nbbo ask @ auction print time + 10m |
154 | surfVol10m | float | surface vol @ auction print time + 10m (single option auction only) |
155 | surfPrc10m | float | surface prc @ auction print time + 10m (@ uMid) |
156 | timestamp | DateTime |
REPEATING FIELDS
OrderLegs
Field | Type | Comment |
---|---|---|
165 | secKey | OptionKey |
166 | secType | enum : SpdrKeyType |
167 | side | enum : BuySell |
168 | ratio | ushort |
169 | undPerCn | int |
170 | pointValue | float |
171 | expType | enum : ExpiryType |
172 | years | float |
173 | rate | float |
174 | atmVol | float |
175 | ddivPv | float |
176 | tVol | float |
177 | sVol | float |
178 | sDiv | float |
179 | sPrc | float |
180 | de | float |
181 | ga | float |
182 | th | float |
183 | ve | float |
184 | sVolOk | enum : YesNo |
185 | oBid | float |
186 | oBidSz | int |
187 | oBidMask | uint |
188 | oAsk | float |
189 | oAskSz | int |
190 | oAskMask | uint |
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 = 'AuctionPrint'
# 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=AuctionPrint'
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 = 'AuctionPrint'
# 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|isTestAuction|noticeTime|auctionType|auctionSource|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|numOptLegs|spreadClass|spreadFlavor|containsHedge|containsFlex|containsMultiHedge|uBid|uAsk|netDe|netGa|netTh|netVe|pkgSurfPrc|pkgBidPrc|pkgAskPrc|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUBid|prtUAsk|prtUPrc|prtSurfVol|prtSurfPrc|bidPrc|bidSz|bidMask|askPrc|askSz|askMask|exchBidPrc|exchBidSz|exchAskPrc|exchAskSz|uPrc1m|bidPrc1m|askPrc1m|surfVol1m|surfPrc1m|uPrc10m|bidPrc10m|askPrc10m|surfVol10m|surfPrc10m|timestamp'
# 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 = 'custAgentMPID: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=AuctionPrint' \
--data-urlencode 'view=ticker|tradeDate|isTestAuction|noticeTime|auctionType|auctionSource|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|numOptLegs|spreadClass|spreadFlavor|containsHedge|containsFlex|containsMultiHedge|uBid|uAsk|netDe|netGa|netTh|netVe|pkgSurfPrc|pkgBidPrc|pkgAskPrc|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUBid|prtUAsk|prtUPrc|prtSurfVol|prtSurfPrc|bidPrc|bidSz|bidMask|askPrc|askSz|askMask|exchBidPrc|exchBidSz|exchAskPrc|exchAskSz|uPrc1m|bidPrc1m|askPrc1m|surfVol1m|surfPrc1m|uPrc10m|bidPrc10m|askPrc10m|surfVol10m|surfPrc10m|timestamp' \
--data-urlencode 'where=custAgentMPID: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 = 'AuctionPrint'
# 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|isTestAuction|noticeTime|auctionType|auctionSource|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|numOptLegs|spreadClass|spreadFlavor|containsHedge|containsFlex|containsMultiHedge|uBid|uAsk|netDe|netGa|netTh|netVe|pkgSurfPrc|pkgBidPrc|pkgAskPrc|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUBid|prtUAsk|prtUPrc|prtSurfVol|prtSurfPrc|bidPrc|bidSz|bidMask|askPrc|askSz|askMask|exchBidPrc|exchBidSz|exchAskPrc|exchAskSz|uPrc1m|bidPrc1m|askPrc1m|surfVol1m|surfPrc1m|uPrc10m|bidPrc10m|askPrc10m|surfVol10m|surfPrc10m|timestamp'
# 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 = 'custAgentMPID: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=AuctionPrint' \
--data-urlencode 'view=ticker|tradeDate|isTestAuction|noticeTime|auctionType|auctionSource|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|numOptLegs|spreadClass|spreadFlavor|containsHedge|containsFlex|containsMultiHedge|uBid|uAsk|netDe|netGa|netTh|netVe|pkgSurfPrc|pkgBidPrc|pkgAskPrc|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUBid|prtUAsk|prtUPrc|prtSurfVol|prtSurfPrc|bidPrc|bidSz|bidMask|askPrc|askSz|askMask|exchBidPrc|exchBidSz|exchAskPrc|exchAskSz|uPrc1m|bidPrc1m|askPrc1m|surfVol1m|surfPrc1m|uPrc10m|bidPrc10m|askPrc10m|surfVol10m|surfPrc10m|timestamp' \
--data-urlencode 'where=custAgentMPID: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 = 'AuctionPrint'
# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|tradeDate|isTestAuction|noticeTime|auctionType|auctionSource|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|numOptLegs|spreadClass|spreadFlavor|containsHedge|containsFlex|containsMultiHedge|uBid|uAsk|netDe|netGa|netTh|netVe|pkgSurfPrc|pkgBidPrc|pkgAskPrc|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUBid|prtUAsk|prtUPrc|prtSurfVol|prtSurfPrc|bidPrc|bidSz|bidMask|askPrc|askSz|askMask|exchBidPrc|exchBidSz|exchAskPrc|exchAskSz|uPrc1m|bidPrc1m|askPrc1m|surfVol1m|surfPrc1m|uPrc10m|bidPrc10m|askPrc10m|surfVol10m|surfPrc10m|timestamp'
# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'isTestAuction|auctionType|auctionSource|symbolType|custSide|hasCustPrc|custFirmType|spreadClass|spreadFlavor|containsHedge|containsFlex|containsMultiHedge|prtType'
# 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 = 'custAgentMPID: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=AuctionPrint' \
--data-urlencode 'measure=ticker|tradeDate|isTestAuction|noticeTime|auctionType|auctionSource|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|numOptLegs|spreadClass|spreadFlavor|containsHedge|containsFlex|containsMultiHedge|uBid|uAsk|netDe|netGa|netTh|netVe|pkgSurfPrc|pkgBidPrc|pkgAskPrc|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUBid|prtUAsk|prtUPrc|prtSurfVol|prtSurfPrc|bidPrc|bidSz|bidMask|askPrc|askSz|askMask|exchBidPrc|exchBidSz|exchAskPrc|exchAskSz|uPrc1m|bidPrc1m|askPrc1m|surfVol1m|surfPrc1m|uPrc10m|bidPrc10m|askPrc10m|surfVol10m|surfPrc10m|timestamp' \
--data-urlencode 'group=isTestAuction|auctionType|auctionSource|symbolType|custSide|hasCustPrc|custFirmType|spreadClass|spreadFlavor|containsHedge|containsFlex|containsMultiHedge|prtType' \
--data-urlencode 'where=custAgentMPID: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 = 'AuctionPrint'
# 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 = 'custAgentMPID: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=AuctionPrint' \
--data-urlencode 'where=custAgentMPID:eq:ExampleString'