Schema: AuctionPrintBX (ID: 2488)
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 | |
102 | isTestAuction | enum : YesNo | if yes, auction is a test auction (not a prod/live auction) |
103 | noticeTime | DateTime | notice create timestamp (high precision) |
104 | auctionType | enum : AuctionType | (eg. Block, Flash, Improvement, Facilitation, etc.) |
105 | auctionSource | enum : AuctionSource | source of the auction notice (eg. SRC, MIAX, etc.) |
106 | containsFlex | enum : YesNo | Flex = European |
107 | root | TickerKey | option root |
108 | expiry | DateKey | |
109 | loStrike | double | lo strike |
110 | hiStrike | double | hi strike |
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) |
120 | commEnhancement | float | additional commission (if any) paid by responder |
121 | noticeUBid | double | |
122 | noticeUAsk | double | |
123 | netSurfPrc | float | SR Surface Price (entire package) |
124 | iDays | double | iDays = effective interest days [SR supplied] |
125 | iYears | double | iYears = iDays / 360.0 |
126 | moneyRate | double | effective rate to borrow/lend money to expiry (360 day convention) [compares to globalRate * 360 / 365] [SR Supplied Estimate] |
127 | strikePv | double | strikePv = strike * (1.0 - moneyRate * iYears) [moneyRate supplied above] |
128 | prtPrice | double | reported OPRA print price (pkgPrice if MLeg) |
129 | prtPrice2 | double | if reported as 2 separate prints at different prices (ie, partial size improvement) |
130 | prtSize | int | reported OPRA print size (pgkSize if MLeg) |
131 | prtSize2 | int | reported OPRA print size (pgkSize if MLeg) |
132 | prtTime | DateTime | reported OPRA print time (1st print if MLeg) (high precision) |
133 | prtType | enum : PrtType | reported OPRA print type |
134 | prtUPrc | double | best estimate of uPrc @ auction print time |
135 | prtSurfPrc | float | surface prc @ auction print time (@ uMid) (pkgSurfPrc if MLeg) |
136 | prtMoneyRate | double | prtMoneyRate = (1.0 - (prtPrice / (hiStrike - loStrike)) / iYears |
137 | uPrc1m | float | uPrc (mid market) @ auction print time + 1m |
138 | bidPrc1m | float | option nbbo bid @ auction print time + 1m |
139 | askPrc1m | float | option nbbo ask @ auction print time + 1m |
140 | surfPrc1m | float | surface prc @ auction print time + 1m (@ uMid) |
141 | surfRate1m | double | surfRate1m = (1.0 - (surfPrc1m / (hiStrike - loStrike)) / iYears |
142 | uPrc10m | float | uPrc (mid market) @ auction print time + 10m |
143 | bidPrc10m | float | option nbbo bid @ auction print time + 10m |
144 | askPrc10m | float | option nbbo ask @ auction print time + 10m |
145 | surfPrc10m | float | surface prc @ auction print time + 10m (@ uMid) |
146 | surfRate10m | double | surfRate10m = (1.0 - (surfPrc10m / (hiStrike - loStrike)) / iYears |
147 | timestamp | DateTime |
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 = 'AuctionPrintBX'
# 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=AuctionPrintBX'
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 = 'AuctionPrintBX'
# 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|containsFlex|root|expiry|loStrike|hiStrike|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|noticeUBid|noticeUAsk|netSurfPrc|iDays|iYears|moneyRate|strikePv|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUPrc|prtSurfPrc|prtMoneyRate|uPrc1m|bidPrc1m|askPrc1m|surfPrc1m|surfRate1m|uPrc10m|bidPrc10m|askPrc10m|surfPrc10m|surfRate10m|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=AuctionPrintBX' \
--data-urlencode 'view=ticker|tradeDate|isTestAuction|noticeTime|auctionType|auctionSource|containsFlex|root|expiry|loStrike|hiStrike|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|noticeUBid|noticeUAsk|netSurfPrc|iDays|iYears|moneyRate|strikePv|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUPrc|prtSurfPrc|prtMoneyRate|uPrc1m|bidPrc1m|askPrc1m|surfPrc1m|surfRate1m|uPrc10m|bidPrc10m|askPrc10m|surfPrc10m|surfRate10m|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 = 'AuctionPrintBX'
# 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|containsFlex|root|expiry|loStrike|hiStrike|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|noticeUBid|noticeUAsk|netSurfPrc|iDays|iYears|moneyRate|strikePv|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUPrc|prtSurfPrc|prtMoneyRate|uPrc1m|bidPrc1m|askPrc1m|surfPrc1m|surfRate1m|uPrc10m|bidPrc10m|askPrc10m|surfPrc10m|surfRate10m|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=AuctionPrintBX' \
--data-urlencode 'view=ticker|tradeDate|isTestAuction|noticeTime|auctionType|auctionSource|containsFlex|root|expiry|loStrike|hiStrike|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|noticeUBid|noticeUAsk|netSurfPrc|iDays|iYears|moneyRate|strikePv|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUPrc|prtSurfPrc|prtMoneyRate|uPrc1m|bidPrc1m|askPrc1m|surfPrc1m|surfRate1m|uPrc10m|bidPrc10m|askPrc10m|surfPrc10m|surfRate10m|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 = 'AuctionPrintBX'
# 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|containsFlex|root|expiry|loStrike|hiStrike|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|noticeUBid|noticeUAsk|netSurfPrc|iDays|iYears|moneyRate|strikePv|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUPrc|prtSurfPrc|prtMoneyRate|uPrc1m|bidPrc1m|askPrc1m|surfPrc1m|surfRate1m|uPrc10m|bidPrc10m|askPrc10m|surfPrc10m|surfRate10m|timestamp'
# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'isTestAuction|auctionType|auctionSource|containsFlex|symbolType|custSide|hasCustPrc|custFirmType|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=AuctionPrintBX' \
--data-urlencode 'measure=ticker|tradeDate|isTestAuction|noticeTime|auctionType|auctionSource|containsFlex|root|expiry|loStrike|hiStrike|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|noticeUBid|noticeUAsk|netSurfPrc|iDays|iYears|moneyRate|strikePv|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUPrc|prtSurfPrc|prtMoneyRate|uPrc1m|bidPrc1m|askPrc1m|surfPrc1m|surfRate1m|uPrc10m|bidPrc10m|askPrc10m|surfPrc10m|surfRate10m|timestamp' \
--data-urlencode 'group=isTestAuction|auctionType|auctionSource|containsFlex|symbolType|custSide|hasCustPrc|custFirmType|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 = 'AuctionPrintBX'
# 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=AuctionPrintBX' \
--data-urlencode 'where=custAgentMPID:eq:ExampleString'