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Version: 8.4.10.2

Schema: AuctionPrintRC (ID: 2486)

METADATA​

AttributeValue
Topic2450-liquidity-notice
MLink TokenSRATS
SRSE ProductSRTrade

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

BODY​

#FieldTypeComment
10=noticeNumberlongAuctionNotice.noticeNumber
100tickerTickerKeyunderlier ticker
101tradeDateDateKey
102isTestAuctionenum : YesNoif yes, auction is a test auction (not a prod/live auction)
103noticeTimeDateTimenotice create timestamp (high precision)
104auctionTypeenum : AuctionType(eg. Block, Flash, Improvement, Facilitation, etc.)
105auctionSourceenum : AuctionSourcesource of the auction notice (eg. SRC, MIAX, etc.)
106containsFlexenum : YesNoFlex = European
107rootTickerKeyoption root
108expiryDateKey
109strikedoublerev/con strike
110industrytext1industry string
111symbolTypeenum : SymbolType
112uAvgDailyVlmfloatunderlier average daily trading volume
113custSideenum : BuySellfrom AuctionNotice (if known)
114custQtyintfrom AuctionNotice (if known)
115custPrcdoublefrom AuctionNotice (if known)
116hasCustPrcenum : YesNofrom AuctionNotice (if known)
117custFirmTypeenum : FirmTypecust firm type (if disclosed)
118custAgentMPIDstring(6)cust agent exchange member initiating the auction (if disclosed)
119commEnhancementfloatadditional commission (if any) paid by responder
120noticeUBiddouble
121noticeUAskdouble
122netSurfPrcfloatSR Surface Price (entire package)
123iDaysdoubleiDays = effective interest days [SR supplied]
124iYearsdoubleiYears = iDays / 360.0
125moneyRatedoubleeffective rate to borrow/lend money to expiry (360 day convention) [compares to globalRate * 360 / 365] [SR Supplied Estimate]
126ddivPvdoublepresent value of any expected dividends to expiry [SR Supplied Estimate]
127hasEstDDivsenum : YesNoYes if one or more expected ddiv is an estimate (not yet announced) [SR Supplied]
128sVoldoublesurface volatility for rev/con strike [SR Supplied Estimate]
129rcEExPremdoublercEExPrem = (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]
130strikePvdoublestrikePv = strike * (1.0 - moneyRate * iYears) [moneyRate supplied above]
131effStockLendPvdoubleeffStockLendPv = custPrice - strikePv - ddivPv - rcEExPrem [if cust price is visible]
132effStockRatedoubleeffStockRate = effStockLendPv / (uMid * iYears) [if cust price is visible]
133prtPricedoublereported OPRA print price (pkgPrice if MLeg)
134prtPrice2doubleif reported as 2 separate prints at different prices (ie, partial size improvement)
135prtSizeintreported OPRA print size (pgkSize if MLeg)
136prtSize2intreported OPRA print size (pgkSize if MLeg)
137prtTimeDateTimereported OPRA print time (1st print if MLeg) (high precision)
138prtTypeenum : PrtTypereported OPRA print type
139prtUBiddoublebest estimate of uBid @ auction print time
140prtUAskdoublebest estimate of uAsk @ auction print time
141prtUPrcdoublebest estimate of uPrc @ auction print time
142prtSurfPrcfloatsurface prc @ auction print time (@ uMid) (pkgSurfPrc if MLeg)
143prtStockLendPvdoubleprtStockLendPv = prtPrice - strikePv - ddivPv - rcEExPrem
144prtStockRatedoubleprtStockRate = prtStockLendPv / (prtUPrc * iYears)
145uPrc1mfloatuPrc (mid market) @ auction print time + 1m
146bidPrc1mfloatoption nbbo bid @ auction print time + 1m
147askPrc1mfloatoption nbbo ask @ auction print time + 1m
148surfPrc1mfloatsurface prc @ auction print time + 1m (@ uMid)
149prtStockLendPv1mdoubleprtStockLendPv1m = surfPrc1m - strikePv - ddivPv - rcEExPrem
150prtStockRate1mdoubleprtStockRate1m = prtStockLendPv1m / (uPrc1m * iYears)
151uPrc10mfloatuPrc (mid market) @ auction print time + 10m
152bidPrc10mfloatoption nbbo bid @ auction print time + 10m
153askPrc10mfloatoption nbbo ask @ auction print time + 10m
154surfPrc10mfloatsurface prc @ auction print time + 10m (@ uMid)
155prtStockLendPv10mdoubleprtStockLendPv10m = surfPrc10m - strikePv - ddivPv - rcEExPrem
156prtStockRate10mdoubleprtStockRate10m = prtStockLendPv10m / (uPrc10m * iYears)
157timestampDateTime

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 = 'AuctionPrintRC'

# 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 = 'AuctionPrintRC'

# 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|strike|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|noticeUBid|noticeUAsk|netSurfPrc|iDays|iYears|moneyRate|ddivPv|hasEstDDivs|sVol|rcEExPrem|strikePv|effStockLendPv|effStockRate|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUBid|prtUAsk|prtUPrc|prtSurfPrc|prtStockLendPv|prtStockRate|uPrc1m|bidPrc1m|askPrc1m|surfPrc1m|prtStockLendPv1m|prtStockRate1m|uPrc10m|bidPrc10m|askPrc10m|surfPrc10m|prtStockLendPv10m|prtStockRate10m|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)

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 = 'AuctionPrintRC'

# 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|strike|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|noticeUBid|noticeUAsk|netSurfPrc|iDays|iYears|moneyRate|ddivPv|hasEstDDivs|sVol|rcEExPrem|strikePv|effStockLendPv|effStockRate|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUBid|prtUAsk|prtUPrc|prtSurfPrc|prtStockLendPv|prtStockRate|uPrc1m|bidPrc1m|askPrc1m|surfPrc1m|prtStockLendPv1m|prtStockRate1m|uPrc10m|bidPrc10m|askPrc10m|surfPrc10m|prtStockLendPv10m|prtStockRate10m|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)

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 = 'AuctionPrintRC'

# 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|strike|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|noticeUBid|noticeUAsk|netSurfPrc|iDays|iYears|moneyRate|ddivPv|hasEstDDivs|sVol|rcEExPrem|strikePv|effStockLendPv|effStockRate|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUBid|prtUAsk|prtUPrc|prtSurfPrc|prtStockLendPv|prtStockRate|uPrc1m|bidPrc1m|askPrc1m|surfPrc1m|prtStockLendPv1m|prtStockRate1m|uPrc10m|bidPrc10m|askPrc10m|surfPrc10m|prtStockLendPv10m|prtStockRate10m|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|hasEstDDivs|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)

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 = 'AuctionPrintRC'

# 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)