Schema: FutureCloseMark (ID: 3120)

FutureCloseMark records are published immediately after the market close - 5 min and again when exchanges publish official marks.

FutureCloseMark records are published to the SpiderRock elastic cluster when clsMarkState=Final

METADATA

Attribute	Value
Topic	3120-market-marks
MLink Token	FutMarkData
SRSE Product	SRLive, SRAnalytics

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

BODY

#	Field	Type	Comment
10=	fkey	ExpiryKey
100	tradeDate	DateKey
103	clsMarkState	enum : ClsMarkState	Preview or Final
106	opnPrc	double	Open price (start of regular hours)
109	minPrc	double	Low price (during regular hours)
112	maxPrc	double	High price (during regular hours)
115	openInterest	int	Open interest
118	prtCount	int	Print count (entire trading period)
121	prtVolume	int	Print volume (entire trading period)
124	realizedCnt	int	number of minute bar segments used in realizedVar calc
158	realizedVol	double	realizedVar = SQRT: SUM[ LOG( qteTwap(T) / qteTwap(T+1) ) ^ 2 ] / realizedCnt @ 1 minute intervals during market hours
130	avgMktSize	float	Average market size
133	avgMktWidth	float	Average market width
136	bidPrc	double	bid price (close - 5 min)
139	askPrc	double	ask price (close - 5 min)
142	srClsPrc	double	SR close mark (close - 5 min)
145	closePrc	double	official exchange closing mark (or last print)
148	hasSRClsPrc	enum : YesNo	srClsPrc is valid
151	hasClosePrc	enum : YesNo	closePrc is valid; otherwise is last print
154	srCloseMarkDttm	DateTime	(close - 5 min) date/time
157	timestamp	DateTime	record publish/update timestamp

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 = 'FutureCloseMark'

# 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=FutureCloseMark'

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 = 'FutureCloseMark'

# 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 = 'tradeDate|clsMarkState|opnPrc|minPrc|maxPrc|openInterest|prtCount|prtVolume|realizedCnt|realizedVol|avgMktSize|avgMktWidth|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|srCloseMarkDttm|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 = ''

# 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=FutureCloseMark' \
--data-urlencode 'view=tradeDate|clsMarkState|opnPrc|minPrc|maxPrc|openInterest|prtCount|prtVolume|realizedCnt|realizedVol|avgMktSize|avgMktWidth|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|srCloseMarkDttm|timestamp' \
--data-urlencode 'where='

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 = 'FutureCloseMark'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'tradeDate|clsMarkState|opnPrc|minPrc|maxPrc|openInterest|prtCount|prtVolume|realizedCnt|realizedVol|avgMktSize|avgMktWidth|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|srCloseMarkDttm|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 = ''

# 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 = 'tradeDate: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=FutureCloseMark' \
--data-urlencode 'view=tradeDate|clsMarkState|opnPrc|minPrc|maxPrc|openInterest|prtCount|prtVolume|realizedCnt|realizedVol|avgMktSize|avgMktWidth|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|srCloseMarkDttm|timestamp' \
--data-urlencode 'where=' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=tradeDate: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 = 'FutureCloseMark'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'tradeDate|clsMarkState|opnPrc|minPrc|maxPrc|openInterest|prtCount|prtVolume|realizedCnt|realizedVol|avgMktSize|avgMktWidth|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|srCloseMarkDttm|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'clsMarkState|hasSRClsPrc|hasClosePrc'

# 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 = ''

# 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=FutureCloseMark' \
--data-urlencode 'measure=tradeDate|clsMarkState|opnPrc|minPrc|maxPrc|openInterest|prtCount|prtVolume|realizedCnt|realizedVol|avgMktSize|avgMktWidth|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|srCloseMarkDttm|timestamp' \
--data-urlencode 'group=clsMarkState|hasSRClsPrc|hasClosePrc' \
--data-urlencode 'where='

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 = 'FutureCloseMark'

# 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 = ''

# 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=FutureCloseMark' \
--data-urlencode 'where='