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Version: 8.5.11.1

Schema: AuctionNotice (ID: 2465)

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​

#FieldTypeDefault ValueComment
11=noticeNumberlong
107tickerTickerKeyunderlier ticker
106tradeDateDateKey
104isTestAuctionenum : YesNoif yes, auction is a test auction (not a prod/live auction)
186shortCodestring(10)auction short code (unique per day) (block auctions only) (can be used to find auctions on SR tools)
100auctionTypeenum : AuctionType
101auctionEventenum : AuctionEvent
169srcAuctionIDstring(20)auction ID as known by the auction source (empty for SRC)
170srcAuctionTypestring(4)
103auctionSourceenum : AuctionSourcesource of the auction notice (eg. SRC, MIAX, etc.)
108industrytext1industry string
109symbolTypeenum : SymbolType
110uAvgDailyVlmfloatunderlier average daily trading volume
111custSideenum : BuySellif available
112custQtyint
113custPrcdoublepublic cust price
114hasCustPrcenum : YesNo
187custNbboCapenum : NbboCapindicates if cust price is capped at NBBO (or 1, 5, 10 pennies through)
162custFirmTypeenum : FirmTypecust firm type (if disclosed)
163custAgentMPIDstring(6)cust agent exchange member initiating the auction (if disclosed)
115custClientFirmstring(16)cust client firm (if disclosed)
195noticeCommissionfloat
198hasNoticeCommenum : YesNonoticeCommision contains responder auction commission; otherwise, notice commission is as agreed previously.
117custCommPayingenum : YesNoclient is commission paying (to the responder)
118custQtyCondenum : CustQtyCondUpToQty, AllOrNone, QtyOrMore
119auctionDurationint[expected] auction duration (in milliseconds)
120numOptLegsbyteMLEG Only
188spreadClassenum : SpreadClass
171limitTypeenum : SpdrLimitType
122spreadFlavorenum : SpreadFlavorMLEG Only
123containsHedgeenum : YesNoMLEG Only
164containsFlexenum : YesNocontains at least one FLEX option
199flexTypeenum : FlexTypeall legs are of this flex type
165containsMultiHedgeenum : YesNocontains MultiHedge (corp action adjusted) options
124uBiddouble
125uAskdouble
184refUPrcdouble
172netDefloat
173netGafloat
174netThfloat
175netVefloat
176pkgSurfPrcfloatSR Surface Price (entire package)
182pkgTheoPrcfloatClient Theo Price (entire package) (if client surfaces uploaded to SR)
177pkgBidPrcfloatleg market best way price (pkg bid)
178pkgAskPrcfloatleg market worst way price (pkg ask)
200pkgRefPremPctfloatpackage premium as a % of underlier closing price (fixed by initiator)
201hasFixedPremPctenum : YesNoif yes package has a fixed premium as a % of underlier closing price; all responses should be in terms of strike pct for the leg with a variable strike.
179pointValuedoublemoney settlement value of one (1.0) point of option premium/strike
185pointCurrencyenum : Currency
180srcTimestamplong
181netTimestamplong
166timestampDateTimefrom ats / exchange net timestamp if possible
157includeSRNetworkenum : InclExclDisclose

REPEATING FIELDS​

OrderLegs

#FieldTypeDefault ValueComment
132secKeyOptionKey
133secTypeenum : SpdrKeyType
134sideenum : BuySell
135ratioushort
202strikeTypeenum : StrikeTypePercent or PctVariable; if PctVariable responses should be in terms this strike for this leg as a pct of the underlier close
136undPerCnint
138expTypeenum : ExpiryTypeZDte,Daily,Weekly,Regular,Quarterly,LongTerm,OtherExp
139yearsfloatSR volatility years to expiry
140ratefloatSR global (discount) rate to expiry
141atmVolfloatATM (fwd uPrc) SR surface volatility
142ddivPvfloatSR present value of ddiv stream
143tVolfloatclient theo surface volatility (if client surfaces uploaded to SR)
183tPrcfloatclient theo price (if client surfaces uploaded to SR)
144sVolfloatSR Surface Volatility
145sDivfloatSR Surface SDiv
146sPrcfloatSR Surface Price
147defloatfixed ref delta for BlockAuctionDAC orders
148gafloat
149thfloat
150vefloat
168sVolOkenum : YesNoYes if live market and sVol are tracking as expected
189bidfloatleg bid price
190bidSzintcumulative leg bid size
196bidMasklongbit-mask of participating leg exchanges
192askfloatleg ask price
193askSzintcumulative leg ask size
197askMasklongbit-mask of participating leg exchanges

DirectedCounterParty

#FieldTypeDefault ValueComment
159clientFirmstring(16)
160inclExclenum : InclExclDisclose
161isCommPayingenum : YesNo

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 = 'AuctionNotice'

# 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 = 'AuctionNotice'

# 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|shortCode|auctionType|auctionEvent|srcAuctionID|srcAuctionType|auctionSource|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custNbboCap|custFirmType|custAgentMPID|custClientFirm|noticeCommission|hasNoticeComm|custCommPaying|custQtyCond|auctionDuration|numOptLegs|spreadClass|limitType|spreadFlavor|containsHedge|containsFlex|flexType|containsMultiHedge|uBid|uAsk|refUPrc|netDe|netGa|netTh|netVe|pkgSurfPrc|pkgTheoPrc|pkgBidPrc|pkgAskPrc|pkgRefPremPct|hasFixedPremPct|pointValue|pointCurrency|srcTimestamp|netTimestamp|timestamp|includeSRNetwork'

# 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 = 'shortCode: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 = 'AuctionNotice'

# 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|shortCode|auctionType|auctionEvent|srcAuctionID|srcAuctionType|auctionSource|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custNbboCap|custFirmType|custAgentMPID|custClientFirm|noticeCommission|hasNoticeComm|custCommPaying|custQtyCond|auctionDuration|numOptLegs|spreadClass|limitType|spreadFlavor|containsHedge|containsFlex|flexType|containsMultiHedge|uBid|uAsk|refUPrc|netDe|netGa|netTh|netVe|pkgSurfPrc|pkgTheoPrc|pkgBidPrc|pkgAskPrc|pkgRefPremPct|hasFixedPremPct|pointValue|pointCurrency|srcTimestamp|netTimestamp|timestamp|includeSRNetwork'

# 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 = 'shortCode: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 = 'AuctionNotice'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|tradeDate|isTestAuction|shortCode|auctionType|auctionEvent|srcAuctionID|srcAuctionType|auctionSource|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custNbboCap|custFirmType|custAgentMPID|custClientFirm|noticeCommission|hasNoticeComm|custCommPaying|custQtyCond|auctionDuration|numOptLegs|spreadClass|limitType|spreadFlavor|containsHedge|containsFlex|flexType|containsMultiHedge|uBid|uAsk|refUPrc|netDe|netGa|netTh|netVe|pkgSurfPrc|pkgTheoPrc|pkgBidPrc|pkgAskPrc|pkgRefPremPct|hasFixedPremPct|pointValue|pointCurrency|srcTimestamp|netTimestamp|timestamp|includeSRNetwork'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'isTestAuction|auctionType|auctionEvent|auctionSource|symbolType|custSide|hasCustPrc|custNbboCap|custFirmType|hasNoticeComm|custCommPaying|custQtyCond|spreadClass|limitType|spreadFlavor|containsHedge|containsFlex|flexType|containsMultiHedge|hasFixedPremPct|pointCurrency|includeSRNetwork'

# 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 = 'shortCode: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 = 'AuctionNotice'

# 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 = 'shortCode: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)