Schema: RFQQuoteBroadcast (ID: 6225)
Live spread quotes with SpiderRock markup details for equity and future option spreads. Legs details are included in a packed field. This table contains the most recent market for each spread.
METADATA
Attribute | Value |
---|---|
Topic | 6120-tool-rows |
MLink Token | SystemData |
SRSE Product | SRLive |
Note: The symbol
=
next to a field number indicates that it is a primary key.
BODY
# | Field | Type | Comment |
---|---|---|---|
10= | securityID | long | exchange spread ID (eg. CME ProductID or ISE SecurityID) |
11= | exchSource | enum : ExchSource | |
100 | ticker | TickerKey | first ticker in leg list |
103 | securityDesc | text1 | SR constructed;blank on broadcast (filled by tool or SRSE proxy) |
106 | rfqSource | flag : RFQSourceType | |
109 | rfqStrategy | enum : SpreadStrategy | |
112 | isCoveredStrategy | enum : YesNo | |
115 | isTradeable | enum : YesNo | |
118 | rfqBidPrice | double | best bid (buy) price for this RFQ/Spread book |
121 | rfqBidQuan | int | cumulative bid (buy) quantity |
124 | rfqAskPrice | double | best ask (sell) price for this RFQ/Spread book |
127 | rfqAskQuan | int | cumulative ask (sell) quantity |
130 | rfqPrtPrice | double | last print price for this RFQ/Spread |
133 | rfqPrtSize | int | last print size for this RFQ/Spread |
136 | rfqPrtVolume | int | total print volume (for session) for this RFQ/Spread |
139 | rfqPrtTime | long | |
142 | bidPrice | double | best bid (buy) price for this RFQ/Spread from individual legs |
145 | bidQuan | int | minimum bid (buy) quantity from individual legs |
148 | askPrice | double | best ask (sell) price for this RFQ/Spread from individual legs |
151 | askQuan | int | minimum ask (sell) quantity from individual legs |
154 | surfDelta | float | delta of all legs |
157 | surfVega | float | vega of all legs |
160 | surfPrice | float | surfPrice (SR mid-market) of all legs |
163 | theoPrice | float | theoPrice (if applicable) of all legs |
166 | theoPriceLo | float | theoPrice (if applicable) of all legs (best way) |
169 | theoPriceHi | float | theoPrice (if applicable) of all legs (worst way) |
172 | minUPrc | double | min uPrc of all option legs |
175 | maxUPrc | double | max uPrc of all option legs |
178 | minYears | float | min years of all option legs |
181 | maxYears | float | max years of all option legs |
184 | legSecTypes | flag : LegSecType | multi value |
187 | exchange | string(8) | comma separated list |
190 | grpNum | int | industry group number (equities only) |
193 | sector | string(16) | user defined sector code (if any) |
196 | riskClass | string(8) | risk class letter code |
199 | optStatus | enum : OptStatus | |
202 | posVega | float | |
205 | posGamma | float | |
208 | posTheta | float | |
211 | posDelta | float | |
214 | netTimestamp | long | PTP timestamp of most recent message update |
217 | filterId | long | used by tool/toolServer session to multiplex filters |
220 | numLegs | int |
REPEATING FIELDS
QuoteLegs
Field | Type | Comment |
---|---|---|
226 | legKey | OptionKey |
229 | legKeyType | enum : LegKeyType |
232 | legSecurityID | long |
235 | legParentSecID | long |
238 | legSecurityDesc | string(20) |
241 | legRatio | ushort |
244 | legSide | enum : BuySell |
247 | legBidPrice | double |
250 | legBidSize | int |
253 | legAskPrice | double |
256 | legAskSize | int |
259 | legYears | float |
262 | legUPrc | double |
265 | legOptMult | float |
268 | legFutMult | float |
271 | legSurfVol | float |
274 | legSurfDe | float |
277 | legSurfVe | float |
280 | legSurfPrice | float |
283 | legTheoPrice | float |
286 | legTheoPrcB | float |
289 | legTheoPrcS | float |
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 = 'RFQQuoteBroadcast'
# 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=RFQQuoteBroadcast'
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 = 'RFQQuoteBroadcast'
# 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|securityDesc|rfqSource|rfqStrategy|isCoveredStrategy|isTradeable|rfqBidPrice|rfqBidQuan|rfqAskPrice|rfqAskQuan|rfqPrtPrice|rfqPrtSize|rfqPrtVolume|rfqPrtTime|bidPrice|bidQuan|askPrice|askQuan|surfDelta|surfVega|surfPrice|theoPrice|theoPriceLo|theoPriceHi|minUPrc|maxUPrc|minYears|maxYears|legSecTypes|exchange|grpNum|sector|riskClass|optStatus|posVega|posGamma|posTheta|posDelta|netTimestamp|filterId|numLegs'
# 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 = 'exchange: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=RFQQuoteBroadcast' \
--data-urlencode 'view=ticker|securityDesc|rfqSource|rfqStrategy|isCoveredStrategy|isTradeable|rfqBidPrice|rfqBidQuan|rfqAskPrice|rfqAskQuan|rfqPrtPrice|rfqPrtSize|rfqPrtVolume|rfqPrtTime|bidPrice|bidQuan|askPrice|askQuan|surfDelta|surfVega|surfPrice|theoPrice|theoPriceLo|theoPriceHi|minUPrc|maxUPrc|minYears|maxYears|legSecTypes|exchange|grpNum|sector|riskClass|optStatus|posVega|posGamma|posTheta|posDelta|netTimestamp|filterId|numLegs' \
--data-urlencode 'where=exchange: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 = 'RFQQuoteBroadcast'
# 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|securityDesc|rfqSource|rfqStrategy|isCoveredStrategy|isTradeable|rfqBidPrice|rfqBidQuan|rfqAskPrice|rfqAskQuan|rfqPrtPrice|rfqPrtSize|rfqPrtVolume|rfqPrtTime|bidPrice|bidQuan|askPrice|askQuan|surfDelta|surfVega|surfPrice|theoPrice|theoPriceLo|theoPriceHi|minUPrc|maxUPrc|minYears|maxYears|legSecTypes|exchange|grpNum|sector|riskClass|optStatus|posVega|posGamma|posTheta|posDelta|netTimestamp|filterId|numLegs'
# 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 = 'exchange: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=RFQQuoteBroadcast' \
--data-urlencode 'view=ticker|securityDesc|rfqSource|rfqStrategy|isCoveredStrategy|isTradeable|rfqBidPrice|rfqBidQuan|rfqAskPrice|rfqAskQuan|rfqPrtPrice|rfqPrtSize|rfqPrtVolume|rfqPrtTime|bidPrice|bidQuan|askPrice|askQuan|surfDelta|surfVega|surfPrice|theoPrice|theoPriceLo|theoPriceHi|minUPrc|maxUPrc|minYears|maxYears|legSecTypes|exchange|grpNum|sector|riskClass|optStatus|posVega|posGamma|posTheta|posDelta|netTimestamp|filterId|numLegs' \
--data-urlencode 'where=exchange: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 = 'RFQQuoteBroadcast'
# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|securityDesc|rfqSource|rfqStrategy|isCoveredStrategy|isTradeable|rfqBidPrice|rfqBidQuan|rfqAskPrice|rfqAskQuan|rfqPrtPrice|rfqPrtSize|rfqPrtVolume|rfqPrtTime|bidPrice|bidQuan|askPrice|askQuan|surfDelta|surfVega|surfPrice|theoPrice|theoPriceLo|theoPriceHi|minUPrc|maxUPrc|minYears|maxYears|legSecTypes|exchange|grpNum|sector|riskClass|optStatus|posVega|posGamma|posTheta|posDelta|netTimestamp|filterId|numLegs'
# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'rfqStrategy|isCoveredStrategy|isTradeable|optStatus'
# 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 '$'
WHERE = 'exchange:eq:ExampleString'
# Request Parameters for getaggregate Of The MsgType
params = {
# Required Parameters
"apiKey": API_KEY,
"cmd": 'getaggregate',
"msgType": MSG_TYPE,
"measure": MEASURE,
"group": GROUP,
# Optional Parameters
"where": WHERE,
}
response = requests.get(MLINK_PROD_URL, params=params)
curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getaggregate' \
--data-urlencode 'msgType=RFQQuoteBroadcast' \
--data-urlencode 'measure=ticker|securityDesc|rfqSource|rfqStrategy|isCoveredStrategy|isTradeable|rfqBidPrice|rfqBidQuan|rfqAskPrice|rfqAskQuan|rfqPrtPrice|rfqPrtSize|rfqPrtVolume|rfqPrtTime|bidPrice|bidQuan|askPrice|askQuan|surfDelta|surfVega|surfPrice|theoPrice|theoPriceLo|theoPriceHi|minUPrc|maxUPrc|minYears|maxYears|legSecTypes|exchange|grpNum|sector|riskClass|optStatus|posVega|posGamma|posTheta|posDelta|netTimestamp|filterId|numLegs' \
--data-urlencode 'group=rfqStrategy|isCoveredStrategy|isTradeable|optStatus' \
--data-urlencode 'where=exchange:eq:ExampleString'
Get Count API Call
- Python
- cUrl
import requests
# Replace with your desired MLINK URL
MLINK_PROD_URL = 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json'
# Replace with your MLINK API Key
API_KEY = 'XXXX-XXXX-XXXX-XXXX'
# Replace with your desired MsgType.
MSG_TYPE = 'RFQQuoteBroadcast'
# Replace with your desired where clause.
# a string in the form "field1:eq:value" or "(field1:ne:value1 & field1:ne:value2)
# "WHERE" clauses can contain the following comparison symbols:
# :gt: is greater than
# :ge: is greater than or equal to
# :lt: is less than
# :le: is less than or equal to
# :eq: is equal
# :ne: is not equal
# %26 is an AND statement
# | is an OR statement
# :sw: is starts with
# :ew: is ends with
# :cv: is contains values
# :nv: is does not contain value
# :cb: is contained between (two dates for instance) separated by '$'
WHERE = 'exchange: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=RFQQuoteBroadcast' \
--data-urlencode 'where=exchange:eq:ExampleString'