Version: 8.4.10.2

Schema: NoticeExecReport (ID: 2475)

METADATA

Attribute	Value
Topic	2450-liquidity-notice
MLink Token	SRATS
SRSE Product	SRTrade

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

BODY

#	Field	Type	Comment
13=	noticeNumber	long	AuctionNotice.noticeNumber
14=	baseParentNumber	long
125	ticker	TickerKey	underlier ticker
126	tradeDate	DateKey
139	accnt	string(16)	SR Accnt
140	clientFirm	string(16)	SR ClientFirm
141	noticeDttm	DateTime	either notice create datetime or notice arrival@SR datetime (high precision)
100	responseId	string(24)	from NoticeResponse.responseId (most recently processed response to noticeNumber for this accnt/clientFirm pair)
142	respOrigin	enum : SpdrSource
101	stageType	enum : SpdrStageType
143	auctionType	enum : AuctionType
144	auctionSource	enum : AuctionSource	source of the auction notice (eg. SRC, MIAX, etc.)
127	respDttm	DateTime	response arrival dttm (high precision)
102	respSide	enum : BuySell
103	respSize	int
104	respActiveSize	int	active response order size (zero for ActiveHold)
105	respPrice	double	effRespPrice = respPrice + de * (uMid - refUPrc) + 0.5 * ga * (uMid - refUPrc)^2
106	refUPrc	double	reference price for tied to underlier orders (mid-market tie) (block auctions only)
107	refDe	float	reference delta for tied to underlier orders (zero if tie is not desired) (block auctions only)
108	refGa	float	reference gamma for tied to underlier orders (zero if tie is not desired) (block auctions only)
128	roundRule	enum : RoundRule	Exact (100%) or Fuzzy (90%) [default is Exact] (block auctions only)
129	stepUpIncr	double	additional price increment (best price) (typically only used if auction is competitive)
109	riskGroupId	long	any auction response is associated with this riskGroupID (and SpdrRiskGroupControl)
110	strategy	string(32)	user strategy field (visible on SR tools)
111	userData1	text1	user data field (free text) (from NoticeResponse)
112	respStatus	enum : SpdrOrderStatus
113	respDetail	text1
145	lastUPrc	double	effective uPrc (mid-market) from last trial pass
146	lastTrialPrc	double	effective response price from last trial pass
147	leavesQty	int	open order quantity
130	cumFillQty	int	pkg cumFillQty if MLeg
131	avgFillPrice	double	pkg avgFillPrice if MLeg
148	addLatency	double	latency from notice arrival@SR to external response send (in seconds) OR latency from notice create to response accepted (in seconds) (SRC Auctions)
149	ackLatency	double	latency from external response send to external response ack (FRT) (in seconds) (external auctions only)
132	responseResult	enum : NoticeResult
133	responseTime	short	notice response arrival time (milliseconds since auction start)
134	prtPrice	double	reported print price (pkgPrice if MLeg)
135	prtSize	int	reported print size (pgkSize if MLeg)
136	prtTime	DateTime	reported print time (1st print if MLeg)
150	prtUBid	double	best estimate of uBid @ auction print time
151	prtUAsk	double	best estimate of uAsk @ auction print time
124	timestamp	DateTime

REPEATING FIELDS

OrderLegs

Field	Type	Comment
117	secKey	OptionKey
118	secType	enum : SpdrKeyType
119	side	enum : BuySell
120	ratio	int
121	positionType	enum : LegPositionType
122	legCumFillQty	int
123	legAvgFillPrice	double

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 = 'NoticeExecReport'

# 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=NoticeExecReport'

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 = 'NoticeExecReport'

# 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|accnt|clientFirm|noticeDttm|responseId|respOrigin|stageType|auctionType|auctionSource|respDttm|respSide|respSize|respActiveSize|respPrice|refUPrc|refDe|refGa|roundRule|stepUpIncr|riskGroupId|strategy|userData1|respStatus|respDetail|lastUPrc|lastTrialPrc|leavesQty|cumFillQty|avgFillPrice|addLatency|ackLatency|responseResult|responseTime|prtPrice|prtSize|prtTime|prtUBid|prtUAsk|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 = 'accnt: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=NoticeExecReport' \
--data-urlencode 'view=ticker|tradeDate|accnt|clientFirm|noticeDttm|responseId|respOrigin|stageType|auctionType|auctionSource|respDttm|respSide|respSize|respActiveSize|respPrice|refUPrc|refDe|refGa|roundRule|stepUpIncr|riskGroupId|strategy|userData1|respStatus|respDetail|lastUPrc|lastTrialPrc|leavesQty|cumFillQty|avgFillPrice|addLatency|ackLatency|responseResult|responseTime|prtPrice|prtSize|prtTime|prtUBid|prtUAsk|timestamp' \
--data-urlencode 'where=accnt: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 = 'NoticeExecReport'

# 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|accnt|clientFirm|noticeDttm|responseId|respOrigin|stageType|auctionType|auctionSource|respDttm|respSide|respSize|respActiveSize|respPrice|refUPrc|refDe|refGa|roundRule|stepUpIncr|riskGroupId|strategy|userData1|respStatus|respDetail|lastUPrc|lastTrialPrc|leavesQty|cumFillQty|avgFillPrice|addLatency|ackLatency|responseResult|responseTime|prtPrice|prtSize|prtTime|prtUBid|prtUAsk|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 = 'accnt: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=NoticeExecReport' \
--data-urlencode 'view=ticker|tradeDate|accnt|clientFirm|noticeDttm|responseId|respOrigin|stageType|auctionType|auctionSource|respDttm|respSide|respSize|respActiveSize|respPrice|refUPrc|refDe|refGa|roundRule|stepUpIncr|riskGroupId|strategy|userData1|respStatus|respDetail|lastUPrc|lastTrialPrc|leavesQty|cumFillQty|avgFillPrice|addLatency|ackLatency|responseResult|responseTime|prtPrice|prtSize|prtTime|prtUBid|prtUAsk|timestamp' \
--data-urlencode 'where=accnt: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 = 'NoticeExecReport'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|tradeDate|accnt|clientFirm|noticeDttm|responseId|respOrigin|stageType|auctionType|auctionSource|respDttm|respSide|respSize|respActiveSize|respPrice|refUPrc|refDe|refGa|roundRule|stepUpIncr|riskGroupId|strategy|userData1|respStatus|respDetail|lastUPrc|lastTrialPrc|leavesQty|cumFillQty|avgFillPrice|addLatency|ackLatency|responseResult|responseTime|prtPrice|prtSize|prtTime|prtUBid|prtUAsk|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'respOrigin|stageType|auctionType|auctionSource|respSide|roundRule|respStatus|responseResult'

# 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 = 'accnt: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=NoticeExecReport' \
--data-urlencode 'measure=ticker|tradeDate|accnt|clientFirm|noticeDttm|responseId|respOrigin|stageType|auctionType|auctionSource|respDttm|respSide|respSize|respActiveSize|respPrice|refUPrc|refDe|refGa|roundRule|stepUpIncr|riskGroupId|strategy|userData1|respStatus|respDetail|lastUPrc|lastTrialPrc|leavesQty|cumFillQty|avgFillPrice|addLatency|ackLatency|responseResult|responseTime|prtPrice|prtSize|prtTime|prtUBid|prtUAsk|timestamp' \
--data-urlencode 'group=respOrigin|stageType|auctionType|auctionSource|respSide|roundRule|respStatus|responseResult' \
--data-urlencode 'where=accnt: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 = 'NoticeExecReport'

# 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 = 'accnt: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=NoticeExecReport' \
--data-urlencode 'where=accnt:eq:ExampleString'

Schema: NoticeExecReport (ID: 2475)

METADATA​

BODY​

REPEATING FIELDS​

Get Schema API Call​

Get Msg API Call​

Get Msgs API Call​

Get Aggregate API Call​

Get Count API Call​

METADATA

BODY

REPEATING FIELDS

Get Schema API Call

Get Msg API Call

Get Msgs API Call

Get Aggregate API Call

Get Count API Call