Schema: MLegOrderGateway (ID: 5155)

Records inserted, updated, or replaced into the MLegOrderGateway table are validated and then converted to SpdrParentOrder records and forwarded to the appropriate execution engine for futher processing. Parent orders can be inserted as either active/ready or in a wait start mode that requires subsequent release.

See the SpiderRock Execution Engine concept guide for more details.

METADATA

Attribute	Value
Topic	5120-srse-gateway
MLink Token	Internal
SRSE Product	SRTrade

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

BODY

#	Field	Type	Comment
10=	ticker	TickerKey
11=	accnt	string(16)	Will automatically be set to the account associated with DB login
12=	groupingCode	long	Client supplied order
13=	orderSide	enum : BuySell
14=	clientFirm	string(16)
103	spdrActionType	enum : SpdrActionType	[Add (new order), AddReplace (add or replace order), Cancel (cxl existing), Replace (update existing only), Release (modify order active size)]
106	altOrderId	string(24)	Alternate client order ID. This order ID will be copied to all execution reports.
109	altAutoHedgeId	string(24)	alternate order ID for child autohedge orders (if any)
112	altAccnt	string(32)	alternate (client assigned) "long" account string (optional) [used to map between client and SR account strings]
115	altUserName	string(24)	alternate (client assigned) user name (optional) [used to map between client and SR account strings]
607	execBrkrCode	string(16)	(optional) override the default execBrkrCode for this order
121	strategy	string(36)	Client strategy string. This value will appear on the SR Trade Monitor and in execution reports.
127	orderDttm	DateTime	order entry time (from client;if any)
130	orderSize	int	parent order size (contracts) [-1 = no change;used when spdrActionType=Release]
133	orderActiveSize	int	total activated size (total size released for execution) (-1 = all available size)
136	addCumFillQuantity	enum : YesNo	If Yes then OrderSize is calculated @ order arrival as requested OrderSize + existing 'CumFillQuantity'.
139	exchMask	uint	eligible exchanges (0 = all)
142	maxExposureSize	int	maximum simultaneous cumulative child order public size exposure (-1 = orderActiveSize) [order can overfill if > orderActiveSize and numMakeExchanges > 1]
145	numMakeExchanges	byte	number of exchanges (1 - 4) on which to publish public making orders. Effective number might be less than requested number if sufficient exchanges are not available.
148	publicSize	enum : PublicSizeHandling	public order size handling: None=use default size handling (usually limits public size to 'typical' market size); Randomize=randomize public size; MktSize=expose only 'typical' market size; FullSize=expose entire order size where possible
151	randomizeSize	enum : YesNo	randomize public order size
154	canOverlapCxlRepl	enum : YesNo	can execution engines overlap cancel/replace operations [order can overfill if YES] (at most one active overlapping cxl/replace operation for each parent order)
157	progressRule	enum : ProgressRule	None = all size immediately available;TWAP = size released in time intervals;VWAP = size released in volume intervals;
160	twapSliceCnt	byte	[ProgressSliceCnt] number of progress slices to use (default = 4 or 8) [max 20]
163	progressExposeTime	int	minimum time (secs) to expose order (0 = no minimum; used to guarantee that the order is exposed at mid-market for some time before actively taking)
166	auctionResponder	enum : AuctionResponder	if set, parent order can be an auction responder
169	autoHedge	enum : AutoHedge
172	hedgeInstrument	enum : HedgeInst	Default=underlier (EQT or FUT) [Index Options use ETF]; FrontMonth=underlier (EQT) or front month (FUT) [Index Options use FM Fut]; Stock=hedgeSecKey; Future=hedgeSecKey
175	hedgeSecKey	ExpiryKey	auto-hedge instrument (either TickerKey or ExpiryKey)
178	hedgeBetaRatio	float	Portion of executed $money to auto-hedge (can be 1.0 / Beta for beta hedging) [-4.0 to +4.0]
181	hedgeScope	enum : HedgeScope	Auto-hedge at the RiskGroup or Accnt level
596	hedgeSession	enum : MarketSession
187	cxlUPrcRange	enum : UPrcCxl	cancel parent order if/when outside min/max uPrc range [_Halt = also cancel if the security/underlier has been halted]
190	minUBid	float	[optional]
193	maxUAsk	float	[optional] (< $0.01 = none)
196	minMaxType	enum : MinMaxType	if Prc minUBid/maxUAsk are expressed as prices; if Pct then they are expresses as pct change since parent order arrival
199	maxChildOrders	int	maximum number of child orders that can be generated by this parent order [order will terminate if/when this cap is reached;zero or neg = unlimited]
202	spdrStageType	enum : SpdrStageType	SizeLock = stage pending modification (can reduce size); SizeModify = stage pending modification (can increase/reduce size)
597	marketSession	enum : MarketSession
208	startDttm	DateTime	[optional] (parent order start time)
211	orderDuration	int	[optional] (number of seconds)
598	activeDuration	int
214	goodTillDttm	DateTime	[optional] (default: 2000-01-01)
217	startType	enum : StartType	[WaitTrigger]
223	parentOrderHandling	enum : ParentOrderHandling
226	parentBalanceHandling	enum : ParentBalanceHandling
229	orderLimitType	enum : SpdrLimitType	Various (Prc, PrcDe, Rel, Market);establishes the primary LimitPrice for a parent order
232	takeLimitClass	enum : SpdrLimitClass	Simple = LimitPrice, Surface = BEST(LimitPrice, SurfLimit), Probability = BEST(LimitPrice, ProbLimit)
235	makeLimitClass	enum : SpdrLimitClass	Simple = LimitPrice, Surface = BEST(LimitPrice, SurfLimit), Probability = BEST(LimitPrice, ProbLimit)
238	takeReachRule	enum : ReachRule	None = reach room immediately available; Delayed = available after [1-3] seconds; Passive = available if contra side aggresses; WeakOnly = only take if available size < avgMarketSize; ISOSweep = Intermarket Sweep [requires WaitTrigger]
241	leadSide	enum : BuySell	for legged orders, which side to lead with. (optional, None ok)
244	maxCompletionSlippage	double	Maximum price slippage to complete an open basket or a cross auction (face side slippage)
247	orderPrcLimit	double	Applies if LimitType = Prc[]
250	takeSurfPrcOffset	double	default=0
253	takeSurfVolOffset	float	default=0
256	orderPrcOffset	double	default=0
259	takeAlphaType	enum : AlphaType	Applies if takeLimitClass = Probability
262	makeAlphaType	enum : AlphaType	Applies if makeLimitClass = Probability
265	takeAlphaFactor	float	[-2,+2] takeProbLimit = MAX(takeProbability, takeProbAvg + takeAlphaFactor * takeProbStd) [if takeAlphaType = Relative]
268	makeAlphaFactor	float	[-2,+2] makeProbLimit = MAX(makeProbability, makeProbAvg + makeAlphaFactor * makeProbStd) [if takeAlphaType = Relative]
271	takeProbability	float	takeProbLimit = takeProbability [if takeAlphaType = Static]
274	makeProbability	float	makeProbLimit = makeProbability [if makeAlphaType = Static]
277	firmType	enum : FirmType	Used to override firmType in account config. Default: None (use SpiderRock account configuration).
280	stockSide	enum : BuySell	Stock Orde Side (if any).
283	ssaleFlag	enum : ShortSaleFlag	Used to determine stock auto-hedge flags.
284	locateFirm	string(6)	firm granting the locate if using an away locate source for this order
285	locatePool	string(16)	locate pool @ firm granting the locate
286	stockShares	int	Number of shares in spread package. Default: 0 (none).
289	altStkLegID	string(24)	Optional stock leg ID.
292	numOptionLegs	byte	The number of valid legs below. The first leg is required and the rest are optional. For each optional leg okey_ and mult_ must be valid values whereas side_, positionType_, and legID_ will be assigned default values.
295	multihedge	enum : Multihedge
298	optionType	enum : OptionType
301	underliersPerCn	int	Default: 100.
304	okey1	OptionKey	Option symbol for leg #1. Must be a valid option symbol.
307	mult1	ushort	Multiplier for leg #1. Must be greater than zero.
310	side1	enum : BuySell	Order side for leg #1.
313	positionType1	enum : PositionType	Position type for leg #1.
316	altLegID1	string(24)	ID for leg #1. If left blank will be assigned an auto-generated ID.
319	okey2	OptionKey	Option symbol for leg #2. Must be a valid option symbol.
322	mult2	ushort	Multiplier for leg #2. Must be greater than zero.
325	side2	enum : BuySell	Order side for leg #2.
328	positionType2	enum : PositionType	Position type for leg #2.
331	altLegID2	string(24)	ID for leg #2. If left blank will be assigned an auto-generated ID.
334	okey3	OptionKey	Option symbol for leg #3. Must be a valid option symbol.
337	mult3	ushort	Multiplier for leg #3. Must be greater than zero.
340	side3	enum : BuySell	Order side for leg #3.
343	positionType3	enum : PositionType	Position type for leg #3.
346	altLegID3	string(24)	ID for leg #3. If left blank will be assigned an auto-generated ID.
349	okey4	OptionKey	Option symbol for leg #4. Must be a valid option symbol.
352	mult4	ushort	Multiplier for leg #4. Must be greater than zero.
355	side4	enum : BuySell	Order side for leg #4.
358	positionType4	enum : PositionType	Position type for leg #4.
361	altLegID4	string(24)	ID for leg #4. If left blank will be assigned an auto-generated ID.
364	okey5	OptionKey	Option symbol for leg #5. Must be a valid option symbol.
367	mult5	ushort	Multiplier for leg #5. Must be greater than zero.
370	side5	enum : BuySell	Order side for leg #5.
373	positionType5	enum : PositionType	Position type for leg #5.
376	altLegID5	string(24)	ID for leg #5. If left blank will be assigned an auto-generated ID.
379	okey6	OptionKey	Option symbol for leg #6. Must be a valid option symbol.
382	mult6	ushort	Multiplier for leg #6. Must be greater than zero.
385	side6	enum : BuySell	Order side for leg #6.
388	positionType6	enum : PositionType	Position type for leg #6.
391	altLegID6	string(24)	ID for leg #6. If left blank will be assigned an auto-generated ID.
394	optPremium	float	The premium for the option legs, a contribution to the order premium. Valid range is [-9999.0, 9999.0]. Default: 0.
397	orderRefUPrc	float	The stock reference price, a contribution to the order premium. Default: 0.
400	riskGroupId	long	Default: 0 (none). Required to be non-zero if autoHedge is something other than None.
599	reqAuxRiskGroupCtrl	enum : YesNo
403	refRMetric1Src	enum : RMetricSource
406	refRMetric2Src	enum : RMetricSource
409	refRMetric3Src	enum : RMetricSource
412	refRMetric4Src	enum : RMetricSource
415	refRMetric5Src	enum : RMetricSource
600	refRMetric6Src	enum : RMetricSource
418	refRMetric7Src	enum : RMetricSource
421	orderRefRMetric1	float	user supplied RMetric1 value (used in RiskGroupID risk controls) [netRMetric1 = sum(fillQty * orderRefRMetric1 * underlierPerCn)]
424	orderRefRMetric2	float	user supplied RMetric2 value (used in RiskGroupID risk controls) [netRMetric2 = sum(fillQty * orderRefRMetric2 * underlierPerCn)]
427	orderRefRMetric3	float	user supplied RMetric3 value (used in RiskGroupID risk controls) [netRMetric3 = sum(fillQty * orderRefRMetric3 * underlierPerCn)]
430	orderRefRMetric4	float	user supplied RMetric4 value (used in RiskGroupID risk controls) [netRMetric4 = sum(fillQty * orderRefRMetric4 * underlierPerCn)]
433	orderRefRMetric5	float	user supplied RMetric5 value (used in RiskGroupID risk controls) [netRMetric5 = sum(fillQty * orderRefRMetric5 * underlierPerCn)]
601	orderRefRMetric6	float	user supplied RMetric6 value (used in ExpDay risk controls) [netRMetric6 = sum(fillQty * orderRefRMetric6 * underlierPerCn)]
436	orderRefRMetric7	float	user supplied RMetric7 value (used in SymDay risk controls) [netRMetric7 = sum(fillQty * orderRefRMetric7 * underlierPerCn)]
602	expDayWtVegaOffset	float	max acct+symbol day wtVega offset (target)
603	maxExpDayWtVegaLn	float	max accnt+expiration day (time weighted) vega long (positive number;-1=no limit);risk limit = max limit - (current net counter - offset)
604	maxExpDayWtVegaSh	float	max accnt+expiration day (time weighted) vega short (positive number;-1=no limit);risk limit = max limit + (current net counter - offset)
605	maxExpDayRMetric6Ln	float	max acct+expiration day rMetric6 long (positive number;-1=no limit);risk limit = max limit - current net counter
606	maxExpDayRMetric6Sh	float	max acct+expiration day rMetric6 short (positive number;-1=no limit);risk limit = max limit + current net counter
481	symDayDDeltaOffset	float	max acct+symbol day $delta offset (target)
475	maxSymDayDDeltaLn	float	max acct+symbol day $delta long (positive number;-1=no limit);risk limit = max limit - (current net counter - offset)
478	maxSymDayDDeltaSh	float	max acct+symbol day $delta short (positive number;-1=no limit);risk limit = max limit + (current net counter - offset)
463	symDayVegaOffset	float	max acct+symbol day vega offset (target)
457	maxSymDayVegaLn	float	max acct+symbol day vega long (positive number;-1=no limit);risk limit = max limit - (current net counter - offset)
460	maxSymDayVegaSh	float	max acct+symbol day vega short (positive number;-1=no limit);risk limit = max limit + (current net counter - offset)
472	symDayWtVegaOffset	float	max acct+symbol day wtVega offset (target)
466	maxSymDayWtVegaLn	float	max acct+symbol day (time weighted) vega long (positive number;-1=no limit);risk limit = max limit - (current net counter - offset)
469	maxSymDayWtVegaSh	float	max acct+symbol day (time weighted) vega short (positive number;-1=no limit);risk limit = max limit + (current net counter - offset)
484	maxSymDayRMetric7Ln	float	max acct+symbol day rMetric7 long (positive number;-1=no limit);risk limit = max limit - current net counter
487	maxSymDayRMetric7Sh	float	max acct+symbol day rMetric7 short (positive number;-1=no limit);risk limit = max limit + current net counter
493	maxGrpDayDDeltaLn	float	max acct+riskGroup day $delta long (positive number;-1=no limit);risk limit = max limit - current net counter
496	maxGrpDayDDeltaSh	float	max acct+riskGroup day $delta short (positive number;-1=no limit);risk limit = max limit + current net counter
502	maxGrpDayVegaLn	float	max acct+riskGroup day vega long (positive number;-1=no limit);risk limit = max limit - current net counter
505	maxGrpDayVegaSh	float	max acct+riskGroup day vega short (positive number;-1=no limit);risk limit = max limit + current net counter
508	maxGrpDayVegaAbs	float	max acct+riskGroup day vega abs (positive number;-1=no limit);risk limit = max limit - abs(current net counter)
511	grpDayVegaRatio	float	target bot / sld ratio (eg ratio=2.0 means that neutral is bot vega = 2x sld vega)
562	maxGrpDayContractsLn	int	max acct+riskGroup day opt contracts long (positive number;-1=no limit);risk limit = max limit - current net counter
565	maxGrpDayContractsSh	int	max acct+riskGroup day opt contracts short (positive number;-1=no limit);risk limit = max limit + current net counter
568	maxGrpDayContractsAbs	int	max acct+riskGroup day opt contracts abs (positive number;-1=no limit);risk limit = max limit - abs(current net counter)
526	maxGrpDayRMetric1Ln	float	max acct+riskGroup day rMetric1 long (positive number;-1=no limit);risk limit = max limit - current net counter
529	maxGrpDayRMetric1Sh	float	max acct+riskGroup day rMetric1 short (positive number;-1=no limit);risk limit = max limit + current net counter
532	maxGrpDayRMetric1Abs	float	max acct+riskGroup day rMetric1 abs (positive number;-1=no limit);risk limit = max limit - abs(current net counter)
535	grpDayRMetric1Ratio	float	target bot / sld ratio (eg ratio=0.5 means that neutral is bot rMetric1 = 0.5x sld rMetric1)
538	maxGrpDayRMetric2Ln	float	max acct+riskGroup day rMetric2 long (positive number;-1=no limit);risk limit = max limit - current net counter
541	maxGrpDayRMetric2Sh	float	max acct+riskGroup day rMetric2 short (positive number;-1=no limit);risk limit = max limit + current net counter
544	maxGrpDayRMetric3Ln	float	max acct+riskGroup day rMetric3 long (positive number;-1=no limit);risk limit = max limit - current net counter
547	maxGrpDayRMetric3Sh	float	max acct+riskGroup day rMetric3 short (positive number;-1=no limit);risk limit = max limit + current net counter
550	maxGrpDayRMetric4Ln	float	max acct+riskGroup day rMetric4 long (positive number;-1=no limit);risk limit = max limit - current net counter
553	maxGrpDayRMetric4Sh	float	max acct+riskGroup day rMetric4 short (positive number;-1=no limit);risk limit = max limit + current net counter
556	maxGrpDayRMetric5Ln	float	max acct+riskGroup day rMetric5 long (positive number;-1=no limit);risk limit = max limit - current net counter
559	maxGrpDayRMetric5Sh	float	max acct+riskGroup day rMetric5 short (positive number;-1=no limit);risk limit = max limit + current net counter
571	symEmaCxlDDeltaLn	float	max acct+symbol 60s EMA $delta long (positive number; <= 0 is no limit) [will immediately cxl all option orders in a symbol if any order in the symbol breaches]
574	symEmaCxlDDeltaSh	float	max acct+symbol 60s EMA $delta short (positive number; <= 0 is no limit)
577	symEmaCxlWtVegaLn	float	max acct+symbol 60s EMA wtVega long (positive number; <= 0 is no limit) [will immediately cxl all option orders in a symbol if any order in the symbol breaches]
580	symEmaCxlWtVegaSh	float	max acct+symbol 60s EMA wtVega short (positive number; <= 0 is no limit)
583	traderName	string(32)	Name of the trader associated with the order
586	userData1	text1	client supplied data field; passes through to parent and child executions and reports as well as FIX drops
589	userData2	text1	client supplied data field; passes through to parent and child executions and reports as well as FIX drops
592	childData	text1	client supplied data field; passes through to down stream child orders
595	checksum	byte	Must be set to 13. This helps detect some column/value misalignments.

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 = 'MLegOrderGateway'

# 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=MLegOrderGateway'

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 = 'MLegOrderGateway'

# 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 = 'spdrActionType|altOrderId|altAutoHedgeId|altAccnt|altUserName|execBrkrCode|strategy|orderDttm|orderSize|orderActiveSize|addCumFillQuantity|exchMask|maxExposureSize|numMakeExchanges|publicSize|randomizeSize|canOverlapCxlRepl|progressRule|twapSliceCnt|progressExposeTime|auctionResponder|autoHedge|hedgeInstrument|hedgeSecKey|hedgeBetaRatio|hedgeScope|hedgeSession|cxlUPrcRange|minUBid|maxUAsk|minMaxType|maxChildOrders|spdrStageType|marketSession|startDttm|orderDuration|activeDuration|goodTillDttm|startType|parentOrderHandling|parentBalanceHandling|orderLimitType|takeLimitClass|makeLimitClass|takeReachRule|leadSide|maxCompletionSlippage|orderPrcLimit|takeSurfPrcOffset|takeSurfVolOffset|orderPrcOffset|takeAlphaType|makeAlphaType|takeAlphaFactor|makeAlphaFactor|takeProbability|makeProbability|firmType|stockSide|ssaleFlag|locateFirm|locatePool|stockShares|altStkLegID|numOptionLegs|multihedge|optionType|underliersPerCn|okey1|mult1|side1|positionType1|altLegID1|okey2|mult2|side2|positionType2|altLegID2|okey3|mult3|side3|positionType3|altLegID3|okey4|mult4|side4|positionType4|altLegID4|okey5|mult5|side5|positionType5|altLegID5|okey6|mult6|side6|positionType6|altLegID6|optPremium|orderRefUPrc|riskGroupId|reqAuxRiskGroupCtrl|refRMetric1Src|refRMetric2Src|refRMetric3Src|refRMetric4Src|refRMetric5Src|refRMetric6Src|refRMetric7Src|orderRefRMetric1|orderRefRMetric2|orderRefRMetric3|orderRefRMetric4|orderRefRMetric5|orderRefRMetric6|orderRefRMetric7|expDayWtVegaOffset|maxExpDayWtVegaLn|maxExpDayWtVegaSh|maxExpDayRMetric6Ln|maxExpDayRMetric6Sh|symDayDDeltaOffset|maxSymDayDDeltaLn|maxSymDayDDeltaSh|symDayVegaOffset|maxSymDayVegaLn|maxSymDayVegaSh|symDayWtVegaOffset|maxSymDayWtVegaLn|maxSymDayWtVegaSh|maxSymDayRMetric7Ln|maxSymDayRMetric7Sh|maxGrpDayDDeltaLn|maxGrpDayDDeltaSh|maxGrpDayVegaLn|maxGrpDayVegaSh|maxGrpDayVegaAbs|grpDayVegaRatio|maxGrpDayContractsLn|maxGrpDayContractsSh|maxGrpDayContractsAbs|maxGrpDayRMetric1Ln|maxGrpDayRMetric1Sh|maxGrpDayRMetric1Abs|grpDayRMetric1Ratio|maxGrpDayRMetric2Ln|maxGrpDayRMetric2Sh|maxGrpDayRMetric3Ln|maxGrpDayRMetric3Sh|maxGrpDayRMetric4Ln|maxGrpDayRMetric4Sh|maxGrpDayRMetric5Ln|maxGrpDayRMetric5Sh|symEmaCxlDDeltaLn|symEmaCxlDDeltaSh|symEmaCxlWtVegaLn|symEmaCxlWtVegaSh|traderName|userData1|userData2|childData|checksum'

# 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=MLegOrderGateway' \
--data-urlencode 'view=spdrActionType|altOrderId|altAutoHedgeId|altAccnt|altUserName|execBrkrCode|strategy|orderDttm|orderSize|orderActiveSize|addCumFillQuantity|exchMask|maxExposureSize|numMakeExchanges|publicSize|randomizeSize|canOverlapCxlRepl|progressRule|twapSliceCnt|progressExposeTime|auctionResponder|autoHedge|hedgeInstrument|hedgeSecKey|hedgeBetaRatio|hedgeScope|hedgeSession|cxlUPrcRange|minUBid|maxUAsk|minMaxType|maxChildOrders|spdrStageType|marketSession|startDttm|orderDuration|activeDuration|goodTillDttm|startType|parentOrderHandling|parentBalanceHandling|orderLimitType|takeLimitClass|makeLimitClass|takeReachRule|leadSide|maxCompletionSlippage|orderPrcLimit|takeSurfPrcOffset|takeSurfVolOffset|orderPrcOffset|takeAlphaType|makeAlphaType|takeAlphaFactor|makeAlphaFactor|takeProbability|makeProbability|firmType|stockSide|ssaleFlag|locateFirm|locatePool|stockShares|altStkLegID|numOptionLegs|multihedge|optionType|underliersPerCn|okey1|mult1|side1|positionType1|altLegID1|okey2|mult2|side2|positionType2|altLegID2|okey3|mult3|side3|positionType3|altLegID3|okey4|mult4|side4|positionType4|altLegID4|okey5|mult5|side5|positionType5|altLegID5|okey6|mult6|side6|positionType6|altLegID6|optPremium|orderRefUPrc|riskGroupId|reqAuxRiskGroupCtrl|refRMetric1Src|refRMetric2Src|refRMetric3Src|refRMetric4Src|refRMetric5Src|refRMetric6Src|refRMetric7Src|orderRefRMetric1|orderRefRMetric2|orderRefRMetric3|orderRefRMetric4|orderRefRMetric5|orderRefRMetric6|orderRefRMetric7|expDayWtVegaOffset|maxExpDayWtVegaLn|maxExpDayWtVegaSh|maxExpDayRMetric6Ln|maxExpDayRMetric6Sh|symDayDDeltaOffset|maxSymDayDDeltaLn|maxSymDayDDeltaSh|symDayVegaOffset|maxSymDayVegaLn|maxSymDayVegaSh|symDayWtVegaOffset|maxSymDayWtVegaLn|maxSymDayWtVegaSh|maxSymDayRMetric7Ln|maxSymDayRMetric7Sh|maxGrpDayDDeltaLn|maxGrpDayDDeltaSh|maxGrpDayVegaLn|maxGrpDayVegaSh|maxGrpDayVegaAbs|grpDayVegaRatio|maxGrpDayContractsLn|maxGrpDayContractsSh|maxGrpDayContractsAbs|maxGrpDayRMetric1Ln|maxGrpDayRMetric1Sh|maxGrpDayRMetric1Abs|grpDayRMetric1Ratio|maxGrpDayRMetric2Ln|maxGrpDayRMetric2Sh|maxGrpDayRMetric3Ln|maxGrpDayRMetric3Sh|maxGrpDayRMetric4Ln|maxGrpDayRMetric4Sh|maxGrpDayRMetric5Ln|maxGrpDayRMetric5Sh|symEmaCxlDDeltaLn|symEmaCxlDDeltaSh|symEmaCxlWtVegaLn|symEmaCxlWtVegaSh|traderName|userData1|userData2|childData|checksum' \
--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 = 'MLegOrderGateway'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'spdrActionType|altOrderId|altAutoHedgeId|altAccnt|altUserName|execBrkrCode|strategy|orderDttm|orderSize|orderActiveSize|addCumFillQuantity|exchMask|maxExposureSize|numMakeExchanges|publicSize|randomizeSize|canOverlapCxlRepl|progressRule|twapSliceCnt|progressExposeTime|auctionResponder|autoHedge|hedgeInstrument|hedgeSecKey|hedgeBetaRatio|hedgeScope|hedgeSession|cxlUPrcRange|minUBid|maxUAsk|minMaxType|maxChildOrders|spdrStageType|marketSession|startDttm|orderDuration|activeDuration|goodTillDttm|startType|parentOrderHandling|parentBalanceHandling|orderLimitType|takeLimitClass|makeLimitClass|takeReachRule|leadSide|maxCompletionSlippage|orderPrcLimit|takeSurfPrcOffset|takeSurfVolOffset|orderPrcOffset|takeAlphaType|makeAlphaType|takeAlphaFactor|makeAlphaFactor|takeProbability|makeProbability|firmType|stockSide|ssaleFlag|locateFirm|locatePool|stockShares|altStkLegID|numOptionLegs|multihedge|optionType|underliersPerCn|okey1|mult1|side1|positionType1|altLegID1|okey2|mult2|side2|positionType2|altLegID2|okey3|mult3|side3|positionType3|altLegID3|okey4|mult4|side4|positionType4|altLegID4|okey5|mult5|side5|positionType5|altLegID5|okey6|mult6|side6|positionType6|altLegID6|optPremium|orderRefUPrc|riskGroupId|reqAuxRiskGroupCtrl|refRMetric1Src|refRMetric2Src|refRMetric3Src|refRMetric4Src|refRMetric5Src|refRMetric6Src|refRMetric7Src|orderRefRMetric1|orderRefRMetric2|orderRefRMetric3|orderRefRMetric4|orderRefRMetric5|orderRefRMetric6|orderRefRMetric7|expDayWtVegaOffset|maxExpDayWtVegaLn|maxExpDayWtVegaSh|maxExpDayRMetric6Ln|maxExpDayRMetric6Sh|symDayDDeltaOffset|maxSymDayDDeltaLn|maxSymDayDDeltaSh|symDayVegaOffset|maxSymDayVegaLn|maxSymDayVegaSh|symDayWtVegaOffset|maxSymDayWtVegaLn|maxSymDayWtVegaSh|maxSymDayRMetric7Ln|maxSymDayRMetric7Sh|maxGrpDayDDeltaLn|maxGrpDayDDeltaSh|maxGrpDayVegaLn|maxGrpDayVegaSh|maxGrpDayVegaAbs|grpDayVegaRatio|maxGrpDayContractsLn|maxGrpDayContractsSh|maxGrpDayContractsAbs|maxGrpDayRMetric1Ln|maxGrpDayRMetric1Sh|maxGrpDayRMetric1Abs|grpDayRMetric1Ratio|maxGrpDayRMetric2Ln|maxGrpDayRMetric2Sh|maxGrpDayRMetric3Ln|maxGrpDayRMetric3Sh|maxGrpDayRMetric4Ln|maxGrpDayRMetric4Sh|maxGrpDayRMetric5Ln|maxGrpDayRMetric5Sh|symEmaCxlDDeltaLn|symEmaCxlDDeltaSh|symEmaCxlWtVegaLn|symEmaCxlWtVegaSh|traderName|userData1|userData2|childData|checksum'

# 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 = 'spdrActionType: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=MLegOrderGateway' \
--data-urlencode 'view=spdrActionType|altOrderId|altAutoHedgeId|altAccnt|altUserName|execBrkrCode|strategy|orderDttm|orderSize|orderActiveSize|addCumFillQuantity|exchMask|maxExposureSize|numMakeExchanges|publicSize|randomizeSize|canOverlapCxlRepl|progressRule|twapSliceCnt|progressExposeTime|auctionResponder|autoHedge|hedgeInstrument|hedgeSecKey|hedgeBetaRatio|hedgeScope|hedgeSession|cxlUPrcRange|minUBid|maxUAsk|minMaxType|maxChildOrders|spdrStageType|marketSession|startDttm|orderDuration|activeDuration|goodTillDttm|startType|parentOrderHandling|parentBalanceHandling|orderLimitType|takeLimitClass|makeLimitClass|takeReachRule|leadSide|maxCompletionSlippage|orderPrcLimit|takeSurfPrcOffset|takeSurfVolOffset|orderPrcOffset|takeAlphaType|makeAlphaType|takeAlphaFactor|makeAlphaFactor|takeProbability|makeProbability|firmType|stockSide|ssaleFlag|locateFirm|locatePool|stockShares|altStkLegID|numOptionLegs|multihedge|optionType|underliersPerCn|okey1|mult1|side1|positionType1|altLegID1|okey2|mult2|side2|positionType2|altLegID2|okey3|mult3|side3|positionType3|altLegID3|okey4|mult4|side4|positionType4|altLegID4|okey5|mult5|side5|positionType5|altLegID5|okey6|mult6|side6|positionType6|altLegID6|optPremium|orderRefUPrc|riskGroupId|reqAuxRiskGroupCtrl|refRMetric1Src|refRMetric2Src|refRMetric3Src|refRMetric4Src|refRMetric5Src|refRMetric6Src|refRMetric7Src|orderRefRMetric1|orderRefRMetric2|orderRefRMetric3|orderRefRMetric4|orderRefRMetric5|orderRefRMetric6|orderRefRMetric7|expDayWtVegaOffset|maxExpDayWtVegaLn|maxExpDayWtVegaSh|maxExpDayRMetric6Ln|maxExpDayRMetric6Sh|symDayDDeltaOffset|maxSymDayDDeltaLn|maxSymDayDDeltaSh|symDayVegaOffset|maxSymDayVegaLn|maxSymDayVegaSh|symDayWtVegaOffset|maxSymDayWtVegaLn|maxSymDayWtVegaSh|maxSymDayRMetric7Ln|maxSymDayRMetric7Sh|maxGrpDayDDeltaLn|maxGrpDayDDeltaSh|maxGrpDayVegaLn|maxGrpDayVegaSh|maxGrpDayVegaAbs|grpDayVegaRatio|maxGrpDayContractsLn|maxGrpDayContractsSh|maxGrpDayContractsAbs|maxGrpDayRMetric1Ln|maxGrpDayRMetric1Sh|maxGrpDayRMetric1Abs|grpDayRMetric1Ratio|maxGrpDayRMetric2Ln|maxGrpDayRMetric2Sh|maxGrpDayRMetric3Ln|maxGrpDayRMetric3Sh|maxGrpDayRMetric4Ln|maxGrpDayRMetric4Sh|maxGrpDayRMetric5Ln|maxGrpDayRMetric5Sh|symEmaCxlDDeltaLn|symEmaCxlDDeltaSh|symEmaCxlWtVegaLn|symEmaCxlWtVegaSh|traderName|userData1|userData2|childData|checksum' \
--data-urlencode 'where=accnt:eq:ExampleString' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=spdrActionType: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 = 'MLegOrderGateway'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'spdrActionType|altOrderId|altAutoHedgeId|altAccnt|altUserName|execBrkrCode|strategy|orderDttm|orderSize|orderActiveSize|addCumFillQuantity|exchMask|maxExposureSize|numMakeExchanges|publicSize|randomizeSize|canOverlapCxlRepl|progressRule|twapSliceCnt|progressExposeTime|auctionResponder|autoHedge|hedgeInstrument|hedgeSecKey|hedgeBetaRatio|hedgeScope|hedgeSession|cxlUPrcRange|minUBid|maxUAsk|minMaxType|maxChildOrders|spdrStageType|marketSession|startDttm|orderDuration|activeDuration|goodTillDttm|startType|parentOrderHandling|parentBalanceHandling|orderLimitType|takeLimitClass|makeLimitClass|takeReachRule|leadSide|maxCompletionSlippage|orderPrcLimit|takeSurfPrcOffset|takeSurfVolOffset|orderPrcOffset|takeAlphaType|makeAlphaType|takeAlphaFactor|makeAlphaFactor|takeProbability|makeProbability|firmType|stockSide|ssaleFlag|locateFirm|locatePool|stockShares|altStkLegID|numOptionLegs|multihedge|optionType|underliersPerCn|okey1|mult1|side1|positionType1|altLegID1|okey2|mult2|side2|positionType2|altLegID2|okey3|mult3|side3|positionType3|altLegID3|okey4|mult4|side4|positionType4|altLegID4|okey5|mult5|side5|positionType5|altLegID5|okey6|mult6|side6|positionType6|altLegID6|optPremium|orderRefUPrc|riskGroupId|reqAuxRiskGroupCtrl|refRMetric1Src|refRMetric2Src|refRMetric3Src|refRMetric4Src|refRMetric5Src|refRMetric6Src|refRMetric7Src|orderRefRMetric1|orderRefRMetric2|orderRefRMetric3|orderRefRMetric4|orderRefRMetric5|orderRefRMetric6|orderRefRMetric7|expDayWtVegaOffset|maxExpDayWtVegaLn|maxExpDayWtVegaSh|maxExpDayRMetric6Ln|maxExpDayRMetric6Sh|symDayDDeltaOffset|maxSymDayDDeltaLn|maxSymDayDDeltaSh|symDayVegaOffset|maxSymDayVegaLn|maxSymDayVegaSh|symDayWtVegaOffset|maxSymDayWtVegaLn|maxSymDayWtVegaSh|maxSymDayRMetric7Ln|maxSymDayRMetric7Sh|maxGrpDayDDeltaLn|maxGrpDayDDeltaSh|maxGrpDayVegaLn|maxGrpDayVegaSh|maxGrpDayVegaAbs|grpDayVegaRatio|maxGrpDayContractsLn|maxGrpDayContractsSh|maxGrpDayContractsAbs|maxGrpDayRMetric1Ln|maxGrpDayRMetric1Sh|maxGrpDayRMetric1Abs|grpDayRMetric1Ratio|maxGrpDayRMetric2Ln|maxGrpDayRMetric2Sh|maxGrpDayRMetric3Ln|maxGrpDayRMetric3Sh|maxGrpDayRMetric4Ln|maxGrpDayRMetric4Sh|maxGrpDayRMetric5Ln|maxGrpDayRMetric5Sh|symEmaCxlDDeltaLn|symEmaCxlDDeltaSh|symEmaCxlWtVegaLn|symEmaCxlWtVegaSh|traderName|userData1|userData2|childData|checksum'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'spdrActionType|addCumFillQuantity|publicSize|randomizeSize|canOverlapCxlRepl|progressRule|auctionResponder|autoHedge|hedgeInstrument|hedgeScope|hedgeSession|cxlUPrcRange|minMaxType|spdrStageType|marketSession|startType|parentOrderHandling|parentBalanceHandling|orderLimitType|takeLimitClass|makeLimitClass|takeReachRule|leadSide|takeAlphaType|makeAlphaType|firmType|stockSide|ssaleFlag|multihedge|optionType|side1|positionType1|side2|positionType2|side3|positionType3|side4|positionType4|side5|positionType5|side6|positionType6|reqAuxRiskGroupCtrl|refRMetric1Src|refRMetric2Src|refRMetric3Src|refRMetric4Src|refRMetric5Src|refRMetric6Src|refRMetric7Src'

# 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=MLegOrderGateway' \
--data-urlencode 'measure=spdrActionType|altOrderId|altAutoHedgeId|altAccnt|altUserName|execBrkrCode|strategy|orderDttm|orderSize|orderActiveSize|addCumFillQuantity|exchMask|maxExposureSize|numMakeExchanges|publicSize|randomizeSize|canOverlapCxlRepl|progressRule|twapSliceCnt|progressExposeTime|auctionResponder|autoHedge|hedgeInstrument|hedgeSecKey|hedgeBetaRatio|hedgeScope|hedgeSession|cxlUPrcRange|minUBid|maxUAsk|minMaxType|maxChildOrders|spdrStageType|marketSession|startDttm|orderDuration|activeDuration|goodTillDttm|startType|parentOrderHandling|parentBalanceHandling|orderLimitType|takeLimitClass|makeLimitClass|takeReachRule|leadSide|maxCompletionSlippage|orderPrcLimit|takeSurfPrcOffset|takeSurfVolOffset|orderPrcOffset|takeAlphaType|makeAlphaType|takeAlphaFactor|makeAlphaFactor|takeProbability|makeProbability|firmType|stockSide|ssaleFlag|locateFirm|locatePool|stockShares|altStkLegID|numOptionLegs|multihedge|optionType|underliersPerCn|okey1|mult1|side1|positionType1|altLegID1|okey2|mult2|side2|positionType2|altLegID2|okey3|mult3|side3|positionType3|altLegID3|okey4|mult4|side4|positionType4|altLegID4|okey5|mult5|side5|positionType5|altLegID5|okey6|mult6|side6|positionType6|altLegID6|optPremium|orderRefUPrc|riskGroupId|reqAuxRiskGroupCtrl|refRMetric1Src|refRMetric2Src|refRMetric3Src|refRMetric4Src|refRMetric5Src|refRMetric6Src|refRMetric7Src|orderRefRMetric1|orderRefRMetric2|orderRefRMetric3|orderRefRMetric4|orderRefRMetric5|orderRefRMetric6|orderRefRMetric7|expDayWtVegaOffset|maxExpDayWtVegaLn|maxExpDayWtVegaSh|maxExpDayRMetric6Ln|maxExpDayRMetric6Sh|symDayDDeltaOffset|maxSymDayDDeltaLn|maxSymDayDDeltaSh|symDayVegaOffset|maxSymDayVegaLn|maxSymDayVegaSh|symDayWtVegaOffset|maxSymDayWtVegaLn|maxSymDayWtVegaSh|maxSymDayRMetric7Ln|maxSymDayRMetric7Sh|maxGrpDayDDeltaLn|maxGrpDayDDeltaSh|maxGrpDayVegaLn|maxGrpDayVegaSh|maxGrpDayVegaAbs|grpDayVegaRatio|maxGrpDayContractsLn|maxGrpDayContractsSh|maxGrpDayContractsAbs|maxGrpDayRMetric1Ln|maxGrpDayRMetric1Sh|maxGrpDayRMetric1Abs|grpDayRMetric1Ratio|maxGrpDayRMetric2Ln|maxGrpDayRMetric2Sh|maxGrpDayRMetric3Ln|maxGrpDayRMetric3Sh|maxGrpDayRMetric4Ln|maxGrpDayRMetric4Sh|maxGrpDayRMetric5Ln|maxGrpDayRMetric5Sh|symEmaCxlDDeltaLn|symEmaCxlDDeltaSh|symEmaCxlWtVegaLn|symEmaCxlWtVegaSh|traderName|userData1|userData2|childData|checksum' \
--data-urlencode 'group=spdrActionType|addCumFillQuantity|publicSize|randomizeSize|canOverlapCxlRepl|progressRule|auctionResponder|autoHedge|hedgeInstrument|hedgeScope|hedgeSession|cxlUPrcRange|minMaxType|spdrStageType|marketSession|startType|parentOrderHandling|parentBalanceHandling|orderLimitType|takeLimitClass|makeLimitClass|takeReachRule|leadSide|takeAlphaType|makeAlphaType|firmType|stockSide|ssaleFlag|multihedge|optionType|side1|positionType1|side2|positionType2|side3|positionType3|side4|positionType4|side5|positionType5|side6|positionType6|reqAuxRiskGroupCtrl|refRMetric1Src|refRMetric2Src|refRMetric3Src|refRMetric4Src|refRMetric5Src|refRMetric6Src|refRMetric7Src' \
--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 = 'MLegOrderGateway'

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