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Version: 8.4.08.4

Schema: TradeCubeDetailV5 (ID: 4870)

TradeCubeDetail records are published by CoreRiskServers and are visible in SRSE throughout the day. They are designed to be aggregated and analyzed over time.

TradeCubeDetail records are published to the SpiderRock Archive Host data pipeline after all markup detail is complete.

METADATA​

AttributeValue
Topic4740-risk-v5
MLink TokenSystemData
SRSE ProductSRRisk

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

BODY​

#FieldTypeComment
10=fillNumberlongSpiderRock execution number (globally unique over trailing 10 days)
11=tradeDateDateKeytrade date
100runStatusenum : RunStatus
103sysEnvironmentenum : SysEnvironment
106versionbyterecord version number; starts at zero and goes up every time an execution record is re-published (eg, bust, +1m marks, +10m marks, etc)
109clOrdIdstring(24)clOrdId resulting in fill (child order)
112parentNumberlongSpiderRock parent number
115packageIdlonggroups related order/brokers together (eg. Legger w/MLeg Parent)
118altOrderIdstring(24)alternate order ID (usually clOrdId from client)
121srcRoutingCodetext1inbound FIX routing code, if any
124spdrSourceenum : SpdrSourceSpiderRock parent order source code [broker pkey]
127groupingCodelongSpiderRock parent broker number [broker pkey]
130accntstring(16)SpiderRock Accnt Code
133clientFirmstring(16)SpiderRock ClientFirm Code
136priAggGroupstring(16)primary aggregation group
139secAggGroupstring(16)secondary aggregation group
145secKeyOptionKeysecurity key
148secTypeenum : SpdrKeyTypesecurity type [Stock, Future, Option]
151tickerTickerKeybase ticker
154viewGroup1string(12)viewGroup1 (user supplied; if any)
157viewGroup2string(12)viewGroup2 (user supplied; if any)
160viewGroup3string(12)viewGroup3 (user supplied; if any)
163riskClassstring(8)user supplied risk class code (from SymbolControl record)
166symbolTypeenum : SymbolTypesymbol type
169sectorstring(16)user supplied sector code (from SymbolControl record)
172indNumintind num (00)
175subNumintsub num (0000)
178grpNumintgrp num (000000)
181nbrNumintnbr num (00000000)
184edaysshortdays to next earnings [-5, +60]
187expCodeenum : ExpCodeexpiration tenor code
190skewCodeenum : SkewCodestrike skew code
193widthCodeenum : WidthCodemarket width code
196priceFormatenum : PriceFormatSpiderRock price display format code
199uPriceFormatenum : PriceFormatSpiderRock underlier price display code
202yearsfloatyears to expiration
205underliersPerCnintunderliers per contract (futures and options)
208underlierTypeenum : UnderlierTypeunderlier type (affects $greek calcs)
211tickValuefloat$NLV value of a single tick change in display premium (pointValue = tickValue / tickSize)
214pointValuefloat$NLV value of a point
217pointCurrencyenum : Currency
220uPrcRatiofloatUPrcRatio (SymbolRatio) from product definition
223minTickSizefloat
226routingCodetext1SpiderRock market routing code
229origExecIDstring(20)original execution ID string (child order)
232lastExecIDstring(20)most recent execution ID (same as origExecID unless CANCEL/CORRECTION has been processed)
235transactDttmDateTimetransaction date/time as reported by exchange or down stream broker
238execStatusenum : ExecStatusSpiderRock execution status (Fill,Bust,Correct,Reject,SysRej)
241remoteTextstring(64)text comment from endpoint (if any)
244orderLimitTypeenum : SpdrLimitTypeparent order limit type [Vol, VolX, PrcDe, PrcDeX, etc]
247orderLimitClassenum : SpdrLimitClassparent order limit class (makeLimitClass if fill was from making; takeLimitClass if fill was from taking)
250parentShapeenum : SpdrOrderShape
253parentOrderHandlingenum : ParentOrderHandlingbase parent order algo [take style algo]
256parentBalanceHandlingenum : ParentBalanceHandlingbase parent order balance handling [make style algo]
259parentOrderSizeintparent order size
262methodstring(16)execution method string
265strategystring(36)client strategy [usually client supplied]
268userNamestring(24)SpiderRock user name associated with the parent order
271originstring(16)parent order origin string
274sourcestring(16)execution source string
277serverstring(20)SpiderRock execution engine that handled the parent order
280clearingFirmstring(8)clearing firm (delivery)
283clearingAccntstring(16)clearing firm account (if any)
286lastCapacityenum : OrderCapacitychild order capacity
289execRoleenum : ExecRoleSpiderRock relationship to this execution record (Direct, Drop, etc)
705execBrkrCodestring(16)SR exec broker acronym
295execBrkrAccntstring(16)account at executing broker/prime (if any)
298execBrkrClFirmstring(16)client/firm at executing broker/prime (if any)
301execBrkrUserNamestring(16)
304clearingFlipTypeenum : FlipTypeclearingFlip Type (CMTA or Giveup)
307clearingFlipFirmstring(6)clearingFlip Broker/MPID/CMTA
310clearingFlipAccntstring(10)clearingFlip additional detail (sub-accnt)
313riskGroupIdlongriskGroupId (parent order group ID) for this execution report
316fillBrkrRatefloatbilling brokerage rate (tier 1)
319fillRoutingRatefloatbilling routing rate (tier 1)
322billingSecTypeenum : BillingSecTypeSpiderRock billing security type
325billingCategoryenum : BillingCategorySpiderRock billing category
328firmTypeenum : FirmTypechld order firm type [Customer, ProCust, Firm, MM, etc]
331sideenum : BuySellparent/child order side
334priceTypeenum : PriceTypeorder limit price type
337ssaleFlagenum : ShortSaleFlagchild order short sale flag
340spdrSSaleFlagenum : ShortSaleFlagparent order short sale flag
343positionTypeenum : PositionTypechild order position type
346autoHedgeenum : AutoHedgeSpiderRock auto-hedge algorithm (if any)
349orderDttmDateTimeDate/time of parent order arrival
352orderUBiddoubleunderlier market bid @ parent order arrival
355orderUAskdoubleunderlier market ask @ parent order arrival
358orderBiddoubleoption market bid @ parent order arrival (options only)
361orderAskdoubleoption market ask @ parent order arrival (options only)
364orderSurfPrcfloatSpiderRock surface price @ parent order arrival (options only)
367orderSurfVolfloat
370orderLimitVolfloatparent order limit volatilty (options only)
373orderLimitPrcdoubleparent order limit price @ parent order arrival
376orderLimitRefUPrcdoublelimit reference underlier price @ parent order arrival (options only)
379childShapeenum : SpdrOrderShape
382childSizeintchild order size
385childPricedoublechild order price
388childExchstring(6)child order exchange code (SpiderRock)
391childExDeststring(12)child order exchange code (downstream)
394childDttmDateTimechild order send date/time
397childUBiddoubleunderlier market bid @ child order send time
400childUAskdoubleunderlier market bid @ child order send time
403childBiddoubleoption market bid @ child order send time (options only)
406childAskdoubleoption market ask @ child order send time (options only)
409childSurfPrcfloatSpiderRock surface price @ child order send time (options only)
412childVolfloatchild order volatilty (options only)
415childProbfloatchild order probability (T+x)
418childLimitPrcdoubleparent order limit price @ child order send time
421childLimitRefUPrcdoublelimit reference underlier price @ child order send time (options only)
424childLimitPnlfloatchild limit improvement pnl (childLimitPrc to fillPrice)
427childAlgoHandlerenum : ChildHandleralgo that generated the child order responsible for this fill
430childOrderHandlingstring(24)algo that generated the child order responsible for this fill
433childCreateReasonenum : ChildCreateReasonchild order create reason code
436childCancelReasonenum : ChildCancelReasonchild order cancel reason code
439childMktStanceenum : MktStancechild order was expected to be marketable @ child send time
442childCxlAttemptedenum : YesNocancel attempt was made on the child order prior to receiving this fill
445childCxlFillLatencyfloatcancel latency (for fills with a cancel attempt)
448fillExchstring(12)ExDest code from child order execution report (lastMkt)
451fillPricedoublefill price
454fillTsdoublefill report ts (seconds since startup; 100 nanosec resolution)
457fillDttmDateTimeDate/time of fill arrival
460fillSizeintfill quantity
463effFillSizeintfill size x underliers per contract
466fillVolfloatfill volatilty (options only)
469fillProbfloatfill order probability (T+x)
472fillLimitPrcdoubleparent order limit price @ fill arrival time
475fillLimitRefUPrcdoublelimit reference underlier price @ fill arrival time (options only)
478fillLimitPnlfloatfill limit improvement pnl (fillLimitPrc to fillPrice)
481fillDefloatfill delta
484fillVefloatfill vega
487fillThfloatfill theta
493fillUPrcdoublefill underlier mid-market
496fillBetafloatSpiderRock estimate of beta to SPX
532fillTvfloattheo vol (user supplied)
535fillTpfloattheo price
538fillUBiddoubleunderlier market bid @ fill arrival
541fillUAskdoubleunderlier market ask @ fill arrival
544fillBiddoubleoption market bid @ fill arrival
547fillAskdoubleoption market ask @ fill arrival
550fillSurfPrcfloatSpiderRock surface price @ fill arrival
553fillPostUMark1Mdoubleunderlier mark @ fill arrival + 1M
556fillPostUMark10Mdoubleunderlier mark @ fill arrival + 10M
559fillPostMark1MdoubleSpiderRock mid or surface mark @ fill arrival + 1M
562fillPostMark10MdoubleSpiderRock mid or surface mark @ fill arrival + 10M
701marginUDnVDnfloatAggregate RiskSlide: uPrc dn, vol dn
702marginUDnVUpfloatAggregate RiskSlide: uPrc dn, vol up
703marginUUpVDnfloatAggregate RiskSlide: uPrc up, vol dn
704marginUUpVUpfloatAggregate RiskSlide: uPrc up, vol up
565riskCodeenum : RiskCodeSpiderRock Risk Code (if any)
568exchLiquidityTagstring(4)liquidity tag (exchange)
571spdrLiquidityTagstring(2)SpiderRock normalized liquidity tag
574fillExchDetailtext1other fix tags (tag:value#tag:value) [additional detail used for analysis]
577notionalValuefloatcn * mult * uPrc
580marketValuefloatcn * mult * fillPrice
583orderMktWidthfloatmarket width @ parent order arrival
586childMktWidthfloatmarket width @ child order send time
589fillMktWidthfloatmarket width @ fill arrival
592parentOrderAgefloatelaspsed time from parent order entry/update to this fill event
595parentAgeCodeenum : ParentAgeelaspsed time from parent order entry/update to this fill event [coded]
598trdDeltafloattrade delta
601trdDDeltafloattrade $delta
604trdGammafloattrade gamma
607trdVegafloattrade vega
610trdWtVegafloattrade wtVega (vega * vol / sqrt(max(0.1, years * 4)))
613trdThetafloattrade theta
616trdPremfloattrade premium over parity
619trdBetafloattrade beta
622trdDBetafloattrade $beta
625surfEdgefloatSR surface edge (user supplied theo vol/prc to SpiderRock surface price)
628surfEdgeUnitfloatSR surface edge normalized to $100 underlier
631theoEdgefloattheo edge (user supplied theo vol/prc to SpiderRock surface price)
634theoEdgeUnitfloattheo edge normalized to $100 underlier
637exchFeefloatSpiderRock exchange fee estimate
640halfWidthPnlfloatestimated half-width Pnl
643clArrivePnlfloat-dir * qty * (fillPrice - clArriveMark) # maybe use orderSurfPrc instead
646arrivePnlfloat-dir * qty * (fillPrice - 0.5 * (orderBid + orderAsk)) # maybe use orderSurfPrc instead
649arriveDnPnlfloatarrivePnl - uDriftArrivePnl
652uDriftArrivePnlfloat-dir * qty * fillDe * (0.5 * (fillUBid + fillUAsk) - 0.5 * (orderUBid + orderUAsk))
655dayDnPnlfloatdelta neutral Pnl (to EOD)
658dayM1Pnlfloatdelta neutral Pnl (Fill + 1M)
661dayM10Pnlfloatdelta neutral Pnl (Fill + 10M)
664uDriftDayPnlfloatunderlier delta drift Pnl (to EOD)
667uDriftM1Pnlfloatunderlier delta drift Pnl (Fill + 1M)
670uDriftM10Pnlfloatunderlier delta drift Pnl (Fill + 10M)
673dayPnlfloatactual Pnl to EOD
676liveMarkdoubleSpiderRock internal use
679liveUPrcdoubleSpiderRock internal use
682pendMarkdoubleSpiderRock internal use
685pendUPrcdoubleSpiderRock internal use
688trdMarkErrorstring(8)trade mark error code
691dayMarkErrorstring(8)day mark error code
694userData1text1client supplied data field; passes through to parent and child executions and reports as well as FIX drops
697userData2text1client supplied data field; passes through to parent and child executions and reports as well as FIX drops
700timestampDateTimeSR system timestamp

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 = 'TradeCubeDetailV5'

# 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 = 'TradeCubeDetailV5'

# 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 = 'runStatus|sysEnvironment|version|clOrdId|parentNumber|packageId|altOrderId|srcRoutingCode|spdrSource|groupingCode|accnt|clientFirm|priAggGroup|secAggGroup|secKey|secType|ticker|viewGroup1|viewGroup2|viewGroup3|riskClass|symbolType|sector|indNum|subNum|grpNum|nbrNum|edays|expCode|skewCode|widthCode|priceFormat|uPriceFormat|years|underliersPerCn|underlierType|tickValue|pointValue|pointCurrency|uPrcRatio|minTickSize|routingCode|origExecID|lastExecID|transactDttm|execStatus|remoteText|orderLimitType|orderLimitClass|parentShape|parentOrderHandling|parentBalanceHandling|parentOrderSize|method|strategy|userName|origin|source|server|clearingFirm|clearingAccnt|lastCapacity|execRole|execBrkrCode|execBrkrAccnt|execBrkrClFirm|execBrkrUserName|clearingFlipType|clearingFlipFirm|clearingFlipAccnt|riskGroupId|fillBrkrRate|fillRoutingRate|billingSecType|billingCategory|firmType|side|priceType|ssaleFlag|spdrSSaleFlag|positionType|autoHedge|orderDttm|orderUBid|orderUAsk|orderBid|orderAsk|orderSurfPrc|orderSurfVol|orderLimitVol|orderLimitPrc|orderLimitRefUPrc|childShape|childSize|childPrice|childExch|childExDest|childDttm|childUBid|childUAsk|childBid|childAsk|childSurfPrc|childVol|childProb|childLimitPrc|childLimitRefUPrc|childLimitPnl|childAlgoHandler|childOrderHandling|childCreateReason|childCancelReason|childMktStance|childCxlAttempted|childCxlFillLatency|fillExch|fillPrice|fillTs|fillDttm|fillSize|effFillSize|fillVol|fillProb|fillLimitPrc|fillLimitRefUPrc|fillLimitPnl|fillDe|fillVe|fillTh|fillUPrc|fillBeta|fillTv|fillTp|fillUBid|fillUAsk|fillBid|fillAsk|fillSurfPrc|fillPostUMark1M|fillPostUMark10M|fillPostMark1M|fillPostMark10M|marginUDnVDn|marginUDnVUp|marginUUpVDn|marginUUpVUp|riskCode|exchLiquidityTag|spdrLiquidityTag|fillExchDetail|notionalValue|marketValue|orderMktWidth|childMktWidth|fillMktWidth|parentOrderAge|parentAgeCode|trdDelta|trdDDelta|trdGamma|trdVega|trdWtVega|trdTheta|trdPrem|trdBeta|trdDBeta|surfEdge|surfEdgeUnit|theoEdge|theoEdgeUnit|exchFee|halfWidthPnl|clArrivePnl|arrivePnl|arriveDnPnl|uDriftArrivePnl|dayDnPnl|dayM1Pnl|dayM10Pnl|uDriftDayPnl|uDriftM1Pnl|uDriftM10Pnl|dayPnl|liveMark|liveUPrc|pendMark|pendUPrc|trdMarkError|dayMarkError|userData1|userData2|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 = 'clOrdId: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 = 'TradeCubeDetailV5'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'runStatus|sysEnvironment|version|clOrdId|parentNumber|packageId|altOrderId|srcRoutingCode|spdrSource|groupingCode|accnt|clientFirm|priAggGroup|secAggGroup|secKey|secType|ticker|viewGroup1|viewGroup2|viewGroup3|riskClass|symbolType|sector|indNum|subNum|grpNum|nbrNum|edays|expCode|skewCode|widthCode|priceFormat|uPriceFormat|years|underliersPerCn|underlierType|tickValue|pointValue|pointCurrency|uPrcRatio|minTickSize|routingCode|origExecID|lastExecID|transactDttm|execStatus|remoteText|orderLimitType|orderLimitClass|parentShape|parentOrderHandling|parentBalanceHandling|parentOrderSize|method|strategy|userName|origin|source|server|clearingFirm|clearingAccnt|lastCapacity|execRole|execBrkrCode|execBrkrAccnt|execBrkrClFirm|execBrkrUserName|clearingFlipType|clearingFlipFirm|clearingFlipAccnt|riskGroupId|fillBrkrRate|fillRoutingRate|billingSecType|billingCategory|firmType|side|priceType|ssaleFlag|spdrSSaleFlag|positionType|autoHedge|orderDttm|orderUBid|orderUAsk|orderBid|orderAsk|orderSurfPrc|orderSurfVol|orderLimitVol|orderLimitPrc|orderLimitRefUPrc|childShape|childSize|childPrice|childExch|childExDest|childDttm|childUBid|childUAsk|childBid|childAsk|childSurfPrc|childVol|childProb|childLimitPrc|childLimitRefUPrc|childLimitPnl|childAlgoHandler|childOrderHandling|childCreateReason|childCancelReason|childMktStance|childCxlAttempted|childCxlFillLatency|fillExch|fillPrice|fillTs|fillDttm|fillSize|effFillSize|fillVol|fillProb|fillLimitPrc|fillLimitRefUPrc|fillLimitPnl|fillDe|fillVe|fillTh|fillUPrc|fillBeta|fillTv|fillTp|fillUBid|fillUAsk|fillBid|fillAsk|fillSurfPrc|fillPostUMark1M|fillPostUMark10M|fillPostMark1M|fillPostMark10M|marginUDnVDn|marginUDnVUp|marginUUpVDn|marginUUpVUp|riskCode|exchLiquidityTag|spdrLiquidityTag|fillExchDetail|notionalValue|marketValue|orderMktWidth|childMktWidth|fillMktWidth|parentOrderAge|parentAgeCode|trdDelta|trdDDelta|trdGamma|trdVega|trdWtVega|trdTheta|trdPrem|trdBeta|trdDBeta|surfEdge|surfEdgeUnit|theoEdge|theoEdgeUnit|exchFee|halfWidthPnl|clArrivePnl|arrivePnl|arriveDnPnl|uDriftArrivePnl|dayDnPnl|dayM1Pnl|dayM10Pnl|uDriftDayPnl|uDriftM1Pnl|uDriftM10Pnl|dayPnl|liveMark|liveUPrc|pendMark|pendUPrc|trdMarkError|dayMarkError|userData1|userData2|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 = 'clOrdId: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 = 'runStatus: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 = 'TradeCubeDetailV5'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'runStatus|sysEnvironment|version|clOrdId|parentNumber|packageId|altOrderId|srcRoutingCode|spdrSource|groupingCode|accnt|clientFirm|priAggGroup|secAggGroup|secKey|secType|ticker|viewGroup1|viewGroup2|viewGroup3|riskClass|symbolType|sector|indNum|subNum|grpNum|nbrNum|edays|expCode|skewCode|widthCode|priceFormat|uPriceFormat|years|underliersPerCn|underlierType|tickValue|pointValue|pointCurrency|uPrcRatio|minTickSize|routingCode|origExecID|lastExecID|transactDttm|execStatus|remoteText|orderLimitType|orderLimitClass|parentShape|parentOrderHandling|parentBalanceHandling|parentOrderSize|method|strategy|userName|origin|source|server|clearingFirm|clearingAccnt|lastCapacity|execRole|execBrkrCode|execBrkrAccnt|execBrkrClFirm|execBrkrUserName|clearingFlipType|clearingFlipFirm|clearingFlipAccnt|riskGroupId|fillBrkrRate|fillRoutingRate|billingSecType|billingCategory|firmType|side|priceType|ssaleFlag|spdrSSaleFlag|positionType|autoHedge|orderDttm|orderUBid|orderUAsk|orderBid|orderAsk|orderSurfPrc|orderSurfVol|orderLimitVol|orderLimitPrc|orderLimitRefUPrc|childShape|childSize|childPrice|childExch|childExDest|childDttm|childUBid|childUAsk|childBid|childAsk|childSurfPrc|childVol|childProb|childLimitPrc|childLimitRefUPrc|childLimitPnl|childAlgoHandler|childOrderHandling|childCreateReason|childCancelReason|childMktStance|childCxlAttempted|childCxlFillLatency|fillExch|fillPrice|fillTs|fillDttm|fillSize|effFillSize|fillVol|fillProb|fillLimitPrc|fillLimitRefUPrc|fillLimitPnl|fillDe|fillVe|fillTh|fillUPrc|fillBeta|fillTv|fillTp|fillUBid|fillUAsk|fillBid|fillAsk|fillSurfPrc|fillPostUMark1M|fillPostUMark10M|fillPostMark1M|fillPostMark10M|marginUDnVDn|marginUDnVUp|marginUUpVDn|marginUUpVUp|riskCode|exchLiquidityTag|spdrLiquidityTag|fillExchDetail|notionalValue|marketValue|orderMktWidth|childMktWidth|fillMktWidth|parentOrderAge|parentAgeCode|trdDelta|trdDDelta|trdGamma|trdVega|trdWtVega|trdTheta|trdPrem|trdBeta|trdDBeta|surfEdge|surfEdgeUnit|theoEdge|theoEdgeUnit|exchFee|halfWidthPnl|clArrivePnl|arrivePnl|arriveDnPnl|uDriftArrivePnl|dayDnPnl|dayM1Pnl|dayM10Pnl|uDriftDayPnl|uDriftM1Pnl|uDriftM10Pnl|dayPnl|liveMark|liveUPrc|pendMark|pendUPrc|trdMarkError|dayMarkError|userData1|userData2|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'runStatus|sysEnvironment|spdrSource|secType|symbolType|expCode|skewCode|widthCode|priceFormat|uPriceFormat|underlierType|pointCurrency|execStatus|orderLimitType|orderLimitClass|parentShape|parentOrderHandling|parentBalanceHandling|lastCapacity|execRole|clearingFlipType|billingSecType|billingCategory|firmType|side|priceType|ssaleFlag|spdrSSaleFlag|positionType|autoHedge|childShape|childAlgoHandler|childCreateReason|childCancelReason|childMktStance|childCxlAttempted|riskCode|parentAgeCode'

# 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 = 'clOrdId: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 = 'TradeCubeDetailV5'

# 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 = 'clOrdId: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)