Schema: FuturePositionRecordV5 (ID: 4775)

FuturePositionRecords are live risk records that contain start-of-day positions and all subsequent executions, including executions reported as done away.

These records are published by a CoreRiskServer and represent the position and risk markup detail for a single futures contract.

New records are published immediately when a position changes and about once per minute if no position has changed.

Note that all stock, future and option records for a chain are published simultaneously and records for the same chain should have consistent marks.

METADATA

Attribute	Value
Topic	4740-risk-v5
MLink Token	ClientRisk
SRSE Product	SRRisk

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

BODY

#	Field	Type	Comment
10=	fkey	ExpiryKey
11=	accnt	string(16)
12=	tradeDate	DateKey
13=	riskSession	enum : RiskSession
14=	clientFirm	string(16)	SR assigned client firm
103	riskServerCode	string(6)
106	aggGroup	string(16)	SR assigned aggregation group
109	ticker	TickerKey	underlying ticker
112	underliersPerCn	int	number of underlying units per futures contract
115	underlierType	enum : UnderlierType
118	tickValue	float	$NLV value of a single tick change in display premium (pointValue = tickValue / tickSize)
121	pointValue	float	$NLV value of a single point change in display premium (pointValue = tickValue / tickSize)
124	pointCurrency	enum : Currency
127	priceFormat	enum : PriceFormat	price display format code
130	futPrc	double	current future price (any market session) (persists if market closed/halted)
133	futBid	double	current future bid (any market session) (zero if market closed/halted)
136	futAsk	double	current future ask (any market session) (zero if market closed/halted)
139	futMark	double	current mark (usually mid market) (freezes at SR CloseMarkTime)
142	futMarkErrCodes	flag : MarkErrorCode
145	futMarkSource	enum : UMarkSource
148	futOpnMidMark	double	start of day SR mark
151	futOpnClrMark	double	start of day clearing mark (usually exchange settlement mark)
154	futOpnPosPrv	int	start-of-day SR contract position (rotated from prior day record)
157	futOpnPosClr	int	start-of-day CKR contract position (supplied by client/clearing firm via clearing position load)
160	futOpnPos	int	start of period contract position (effective; can be from either CLR or SR)
163	futOpnPosSrc	enum : PositionSource	start of period position source
166	cnBot	int	number of contracts bot today
169	cnSld	int	number of contracts sld today
172	cnBotTrd	int	number of contracts bot today
175	cnSldTrd	int	number of contracts sld today
178	cnBotHdg	int	number of contracts bot today from open pos hedging (spdrSource=HedgeTool)
181	cnSldHdg	int	number of contracts sld today from open pos hedging (spdrSource=HedgeTool)
184	cnBotTrh	int	number of contracts bot today from open pos hedging (spdrSource=TradeHedge)
187	cnSldTrh	int	number of contracts sld today from open pos hedging (spdrSource=TradeHedge)
190	cnBotOpn	int	number of contracts bot today from open pos hedging (spdrSource=OpenHedge)
193	cnSldOpn	int	number of contracts sld today from open pos hedging (spdrSource=OpenHedge)
196	cnOpened	int	number of contracts opened today
199	cnClosed	int	number of contracts closed today
202	futMnyBot	double	sum of settle cash for all buy executions
205	futMnySld	double	sum of settle cash for all sell executions
208	dayPnl	float
211	opnPnlMidMark	float
214	opnPnlClrMark	float
217	beta	float	beta (usually beta to SPX; see AccountConfig.betaSource) (if applicable)
220	betaSource	enum : BetaSource
223	days	short	days to expiration
226	rate	float	global rate to expiration
229	years	float	years to expiration
232	rh	float	rho; (dPrc / dRate) - only for STIR futures
235	ve	float	vega; (dPrc / dVol) - only for VIX futures
238	ratePr	float	start of period global rate
241	yearsPr	float	start of period years to expiration
251	marginUDn	float	Aggregate RiskSlide: uPrc dn
252	marginUUp	float	Aggregate RiskSlide: uPrc up
244	numExecutions	int	number of included SpdrParentExecution records
247	maxExecDttm	DateTime	maximum activity dttm of execution records included in this future risk record
250	timestamp	DateTime

Get Schema API Call

Python

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 = 'FuturePositionRecordV5'

# 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

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=FuturePositionRecordV5'

Get Msg API Call

Python

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 = 'FuturePositionRecordV5'

# 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 = 'riskServerCode|aggGroup|ticker|underliersPerCn|underlierType|tickValue|pointValue|pointCurrency|priceFormat|futPrc|futBid|futAsk|futMark|futMarkErrCodes|futMarkSource|futOpnMidMark|futOpnClrMark|futOpnPosPrv|futOpnPosClr|futOpnPos|futOpnPosSrc|cnBot|cnSld|cnBotTrd|cnSldTrd|cnBotHdg|cnSldHdg|cnBotTrh|cnSldTrh|cnBotOpn|cnSldOpn|cnOpened|cnClosed|futMnyBot|futMnySld|dayPnl|opnPnlMidMark|opnPnlClrMark|beta|betaSource|days|rate|years|rh|ve|ratePr|yearsPr|marginUDn|marginUUp|numExecutions|maxExecDttm|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

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=FuturePositionRecordV5' \
--data-urlencode 'view=riskServerCode|aggGroup|ticker|underliersPerCn|underlierType|tickValue|pointValue|pointCurrency|priceFormat|futPrc|futBid|futAsk|futMark|futMarkErrCodes|futMarkSource|futOpnMidMark|futOpnClrMark|futOpnPosPrv|futOpnPosClr|futOpnPos|futOpnPosSrc|cnBot|cnSld|cnBotTrd|cnSldTrd|cnBotHdg|cnSldHdg|cnBotTrh|cnSldTrh|cnBotOpn|cnSldOpn|cnOpened|cnClosed|futMnyBot|futMnySld|dayPnl|opnPnlMidMark|opnPnlClrMark|beta|betaSource|days|rate|years|rh|ve|ratePr|yearsPr|marginUDn|marginUUp|numExecutions|maxExecDttm|timestamp' \
--data-urlencode 'where=accnt:eq:ExampleString'

Get Msgs API Call

Python

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 = 'FuturePositionRecordV5'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'riskServerCode|aggGroup|ticker|underliersPerCn|underlierType|tickValue|pointValue|pointCurrency|priceFormat|futPrc|futBid|futAsk|futMark|futMarkErrCodes|futMarkSource|futOpnMidMark|futOpnClrMark|futOpnPosPrv|futOpnPosClr|futOpnPos|futOpnPosSrc|cnBot|cnSld|cnBotTrd|cnSldTrd|cnBotHdg|cnSldHdg|cnBotTrh|cnSldTrh|cnBotOpn|cnSldOpn|cnOpened|cnClosed|futMnyBot|futMnySld|dayPnl|opnPnlMidMark|opnPnlClrMark|beta|betaSource|days|rate|years|rh|ve|ratePr|yearsPr|marginUDn|marginUUp|numExecutions|maxExecDttm|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 = 'riskServerCode: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

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=FuturePositionRecordV5' \
--data-urlencode 'view=riskServerCode|aggGroup|ticker|underliersPerCn|underlierType|tickValue|pointValue|pointCurrency|priceFormat|futPrc|futBid|futAsk|futMark|futMarkErrCodes|futMarkSource|futOpnMidMark|futOpnClrMark|futOpnPosPrv|futOpnPosClr|futOpnPos|futOpnPosSrc|cnBot|cnSld|cnBotTrd|cnSldTrd|cnBotHdg|cnSldHdg|cnBotTrh|cnSldTrh|cnBotOpn|cnSldOpn|cnOpened|cnClosed|futMnyBot|futMnySld|dayPnl|opnPnlMidMark|opnPnlClrMark|beta|betaSource|days|rate|years|rh|ve|ratePr|yearsPr|marginUDn|marginUUp|numExecutions|maxExecDttm|timestamp' \
--data-urlencode 'where=accnt:eq:ExampleString' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=riskServerCode:ASC'

Get Aggregate API Call

Python

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 = 'FuturePositionRecordV5'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'riskServerCode|aggGroup|ticker|underliersPerCn|underlierType|tickValue|pointValue|pointCurrency|priceFormat|futPrc|futBid|futAsk|futMark|futMarkErrCodes|futMarkSource|futOpnMidMark|futOpnClrMark|futOpnPosPrv|futOpnPosClr|futOpnPos|futOpnPosSrc|cnBot|cnSld|cnBotTrd|cnSldTrd|cnBotHdg|cnSldHdg|cnBotTrh|cnSldTrh|cnBotOpn|cnSldOpn|cnOpened|cnClosed|futMnyBot|futMnySld|dayPnl|opnPnlMidMark|opnPnlClrMark|beta|betaSource|days|rate|years|rh|ve|ratePr|yearsPr|marginUDn|marginUUp|numExecutions|maxExecDttm|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'underlierType|pointCurrency|priceFormat|futMarkSource|futOpnPosSrc|betaSource'

# 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

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=FuturePositionRecordV5' \
--data-urlencode 'measure=riskServerCode|aggGroup|ticker|underliersPerCn|underlierType|tickValue|pointValue|pointCurrency|priceFormat|futPrc|futBid|futAsk|futMark|futMarkErrCodes|futMarkSource|futOpnMidMark|futOpnClrMark|futOpnPosPrv|futOpnPosClr|futOpnPos|futOpnPosSrc|cnBot|cnSld|cnBotTrd|cnSldTrd|cnBotHdg|cnSldHdg|cnBotTrh|cnSldTrh|cnBotOpn|cnSldOpn|cnOpened|cnClosed|futMnyBot|futMnySld|dayPnl|opnPnlMidMark|opnPnlClrMark|beta|betaSource|days|rate|years|rh|ve|ratePr|yearsPr|marginUDn|marginUUp|numExecutions|maxExecDttm|timestamp' \
--data-urlencode 'group=underlierType|pointCurrency|priceFormat|futMarkSource|futOpnPosSrc|betaSource' \
--data-urlencode 'where=accnt:eq:ExampleString'

Get Count API Call

Python

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 = 'FuturePositionRecordV5'

# 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

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=FuturePositionRecordV5' \
--data-urlencode 'where=accnt:eq:ExampleString'