Schema: ToolCompositeExecution (ID: 3480)
METADATA
| Attribute | Value |
|---|---|
| Topic | 3480-mlink-custom |
| MLink Token | ClientTrading |
| SRSE Product | SRTrade |
Note: The symbol
=next to a field number indicates that it is a primary key.
BODY
| # | Field | Type | Default Value | Comment |
|---|---|---|---|---|
| 10= | fillNumber | long | SpiderRock execution number (globally unique over trailing 10 days) | |
| 100 | tradeDate | DateKey | trade date | |
| 103 | accnt | string(16) | SpiderRock Accnt Code | |
| 106 | clientFirm | string(16) | SpiderRock ClientFirm Code | |
| 109 | secKey | OptionKey | Security Key [can be partially filled in (look at secType)] | |
| 112 | secType | enum : SpdrKeyType | Security Type [Stock, Future, Option] | |
| 115 | side | enum : BuySell | order / execution side | |
| 118 | version | byte | record version number; starts at zero and goes up every time an execution record is re-published (eg, bust, +1m marks, +10m marks, etc) | |
| 121 | parentNumber | long | SpiderRock parent number | |
| 124 | baseParentNumber | long | SpiderRock base parent number | |
| 127 | spdrSource | enum : SpdrSource | SpiderRock parent order source code [broker pkey] | |
| 130 | groupingCode | long | SpiderRock parent broker number [broker pkey] | |
| 133 | riskGroupId | long | riskGroupId (parent order group ID) for this execution report | |
| 136 | altOrderId | string(24) | alternate order ID (usually clOrdId from client) | |
| 139 | srcRoutingCode | text1 | inbound FIX routing code, if any | |
| 142 | userName | string(24) | SpiderRock user name associated with the parent order | |
| 145 | server | string(20) | SpiderRock execution engine that handled the parent order | |
| 148 | ticker | TickerKey | SpiderRock underlier ticker key [synthetic for futures] | |
| 151 | sector | string(16) | user supplied sector code (from SymbolControl record) | |
| 154 | clientTags | text1 | ||
| 157 | indNum | int | ind code (00) | |
| 160 | subNum | int | sub code (0000) | |
| 163 | grpNum | int | grp code (000000) | |
| 166 | nbrNum | int | nbr code (00000000) | |
| 169 | expCode | enum : ExpCode | expiration tenor code | |
| 172 | skewCode | enum : SkewCode | strike skew code (@ parent order arrival) | |
| 175 | widthCode | enum : WidthCode | market width code | |
| 178 | priceFormat | enum : PriceFormat | SpiderRock price display format code | |
| 181 | uPriceFormat | enum : PriceFormat | SpiderRock underlier price display code | |
| 184 | years | float | years to expiration (@ parent order arrival) | |
| 187 | underlierType | enum : UnderlierType | underlier type (affects $greek calcs) | |
| 190 | minTickSize | float | $NLV value of a single tick change in display premium (pointValue = tickValue / tickSize) | |
| 193 | pointValue | float | $NLV value of a point | |
| 196 | pointCurrency | enum : Currency | ||
| 199 | underliersPerCn | int | underliers per contract (futures and options) | |
| 202 | parentShape | enum : SpdrOrderShape | parent order shape [Single, MLeg, etc] | |
| 205 | parentLimitType | enum : SpdrLimitType | parent order limit type [Vol, VolX, PrcDe, PrcDeX, etc] | |
| 208 | parentLimitClass | enum : SpdrLimitClass | parent order limit class (makeLimitClass if fill was from making; takeLimitClass if fill was from taking) | |
| 211 | parentOrderHandling | enum : ParentOrderHandling | base parent order algo [take style algo] | |
| 214 | parentBalanceHandling | enum : ParentBalanceHandling | base parent order balance handling [make style algo] | |
| 217 | parentOrderSize | int | parent order size | |
| 220 | parentDttm | DateTime | Date/time of parent order arrival | |
| 223 | parentUMark | double | underlier mid mark @ parent order arrival (options only) | |
| 226 | parentBid | double | market bid @ parent order arrival | |
| 229 | parentAsk | double | market ask @ parent order arrival | |
| 232 | parentFairPrc | float | SpiderRock fair price @ parent order arrival | |
| 235 | parentFairWidth | float | SpiderRock fair width @ parent order arrival | |
| 238 | parentLimitPrc | double | parent order limit price @ parent order arrival | |
| 241 | parentLimitRefUPrc | double | limit reference underlier price @ parent order arrival (options only) | |
| 244 | parentSSaleFlag | enum : ShortSaleFlag | parent order short sale flag (can be Auto) | |
| 247 | parentPositionType | enum : PositionType | parent order position type (can be Auto) | |
| 250 | parentStrategy | string(36) | parent strategy [usually client supplied] | |
| 253 | parentAutoHedge | enum : AutoHedge | SpiderRock auto-hedge algorithm (if any) | |
| 256 | childDttm | DateTime | child order send date/time (if any) | |
| 259 | childClOrdId | string(24) | child order clOrdId resulting in fill (if any) | |
| 262 | childRoutingCode | text1 | SpiderRock child order routing code (if any) | |
| 265 | childSize | int | child order size | |
| 268 | childPrice | double | child order price | |
| 271 | childExch | string(6) | child order exchange code (SpiderRock) | |
| 600 | childExDest | string(16) | child order exchange code (downstream) | |
| 277 | childUPrc | double | underlier market price @ child order send time | |
| 280 | childBid | double | market bid @ child order send time | |
| 283 | childAsk | double | market ask @ child order send time | |
| 286 | childFairPrc | float | SpiderRock fair price @ child order send time | |
| 289 | childFairWidth | float | SpiderRock fair width @ child order send time | |
| 292 | childVol | float | child order volatilty (options only) | |
| 295 | childProb | float | child order probability (T+x) | |
| 298 | childLimitPrc | double | parent order limit price @ child order send time | |
| 301 | childLimitRefUPrc | double | limit reference underlier price @ child order send time (options only) | |
| 304 | childAlgoHandler | enum : ChildHandler | algo that generated the child order responsible for this fill | |
| 307 | childOrderHandling | string(24) | algo handler detail string | |
| 310 | childCreateReason | enum : ChildCreateReason | child order create code | |
| 313 | childCancelReason | enum : ChildCancelReason | child order cancel code (if any) | |
| 316 | childMktStance | enum : MktStance | child order was expected to be marketable @ child send time | |
| 319 | childCxlAttempted | enum : YesNo | cancel attempt was made on the child order prior to receiving this fill | |
| 322 | childSSaleFlag | enum : ShortSaleFlag | child order short sale flag | |
| 325 | childPositionType | enum : PositionType | child order position type | |
| 328 | childFirmType | enum : FirmType | chld order firm type [Customer, ProCust, Firm, MM, etc] | |
| 331 | childCapacity | enum : OrderCapacity | child order capacity | |
| 334 | fillExch | string(12) | ExDest code from child order execution report (lastMkt) | |
| 337 | fillPrice | double | fill price | |
| 340 | fillDttm | DateTime | Date/time of fill arrival | |
| 343 | fillSize | int | fill quantity | |
| 346 | fillPointValue | int | fill size x pointValue | |
| 349 | fillVol | float | fill volatilty (options only) | |
| 352 | fillProb | float | fill order probability (T+x) | |
| 355 | fillLimitPrc | double | parent order limit price @ fill arrival time | |
| 358 | fillLimitRefUPrc | double | limit reference underlier price @ fill arrival time (options only) | |
| 361 | fillUPrc | double | fill underlier mid-market | |
| 364 | fillBeta | float | SpiderRock estimate of beta to SPX | |
| 367 | fillTv | float | theo vol (user supplied) | |
| 370 | fillTp | float | theo price | |
| 373 | fillBid | double | option market bid @ fill arrival | |
| 376 | fillAsk | double | option market ask @ fill arrival | |
| 379 | fillFairPrc | float | SpiderRock fair price @ fill arrival | |
| 382 | fillFairWidth | float | SpiderRock fair width @ fill arrival | |
| 385 | fillBrkrRate | float | billing brokerage rate (tier 1) | |
| 388 | fillRoutingRate | float | billing routing rate (tier 1) | |
| 391 | fillOrigExecID | string(20) | original execution ID string (child order) | |
| 394 | fillLastExecID | string(20) | most recent execution ID (same as origExecID unless CANCEL/CORRECTION has been processed) | |
| 397 | fillExecStatus | enum : ExecStatus | SpiderRock execution status (Fill,Bust,Correct,Reject,SysRej) | |
| 400 | fillRemoteText | string(64) | text comment from endpoint (if any) | |
| 403 | fillTransactDttm | DateTime | transaction date/time as reported by exchange or down stream broker | |
| 406 | fillLiquidityTag | string(2) | SpiderRock normalized exch liquidity tag | |
| 409 | fillExchFee | float | SpiderRock exchange fee estimate | |
| 412 | fillDe | float | ||
| 415 | fillGa | float | ||
| 418 | fillVe | float | ||
| 421 | execRole | enum : ExecRole | SpiderRock relationship to this execution record (Direct, Drop, etc) | |
| 599 | execBrkrCode | string(16) | exec broker acronym (usually an MPID) | |
| 427 | execBrkrAccnt | string(16) | account at executing broker (if any) | |
| 430 | execBrkrClFirm | string(16) | client/firm at executing broker (if any) | |
| 433 | execBrkrUserName | string(16) | user executing broker (if any) | |
| 436 | clearingFlipType | enum : FlipType | type of clearing corp delivery | |
| 439 | clearingFlipFirm | string(6) | deliverTo clearing member (eg. OCC#, NSCC#, MPID, or InstitutionID) | |
| 442 | clearingFlipAccnt | string(10) | deliverTo client account (eg. OCC AID# or a DVP FBO code) | |
| 593 | clearingAgent | string(10) | deliverTo agent (eg. DVP Agent Bank ID) | |
| 594 | clearingTaxID | string(10) | deliverTo taxID (eg. DVP TaxID) | |
| 445 | billingSecType | enum : BillingSecType | SpiderRock billing security type | |
| 448 | billingCategory | enum : BillingCategory | SpiderRock billing category | |
| 451 | priAggGroup | string(16) | primary aggregation group | |
| 454 | secAggGroup | string(16) | secondary aggregation group | |
| 457 | trdDelta | float | trade delta | |
| 460 | trdDDelta | float | trade $delta | |
| 463 | trdGamma | float | trade gamma | |
| 466 | trdDGamma | float | trade dollar gamma | |
| 469 | trdVega | float | trade vega | |
| 472 | trdWtVega | float | trade wtVega: (vega * vol / sqrt(max(0.1, years * 4)) | |
| 478 | trdTheta | float | trade theta | |
| 481 | trdBeta | float | trade beta | |
| 484 | trdDBeta | float | trade $beta | |
| 487 | trdNotionalValue | float | cn * pointValue * uPrc | |
| 490 | trdMarketValue | float | cn * pointValue * fillPrice | |
| 595 | marginUDnVDn | float | Aggregate RiskSlide: uPrc dn, vol dn | |
| 596 | marginUDnVUp | float | Aggregate RiskSlide: uPrc dn, vol up | |
| 597 | marginUUpVDn | float | Aggregate RiskSlide: uPrc up, vol dn | |
| 598 | marginUUpVUp | float | Aggregate RiskSlide: uPrc up, vol up | |
| 517 | trdFairEdge | float | SR trade edge (fill price to SR fair price) | |
| 520 | trdFairEdgeUnit | float | SR trade edge normalized to $100 underlier | |
| 523 | trdTheoEdge | float | theo edge (user supplied theo vol/prc to SpiderRock surface price) (if any) | |
| 526 | trdTheoEdgeUnit | float | theo edge normalized to $100 underlier | |
| 529 | clArrivePnL | float | arrival PnL (client arrival mark to fill mark) [from clArriveMark on parent order if any] | |
| 532 | arrivePnL | float | arrival PnL (parent arrival mark to fill mark) | |
| 535 | arriveDnPnL | float | arrival Dn PnL (arrivalPnL - uDriftArrivalPnL) | |
| 538 | uDriftArrivePnL | float | underlier delta drift PnL (arrival uMark to fill uMark) | |
| 541 | childLimitSlip | float | Fill Slippage (ChildLimitPrice to FillPrice) | |
| 544 | halfWidthPnL | float | estimated half-width PnL | |
| 547 | dayDnPnL | float | delta neutral PnL (to EOD) | |
| 550 | dayM1PnL | float | delta neutral PnL (Fill + 1M) | |
| 553 | dayM10PnL | float | delta neutral PnL (Fill + 10M) | |
| 556 | uDriftDayPnL | float | underlier delta drift PnL (to EOD) | |
| 559 | uDriftM1PnL | float | underlier delta drift PnL (Fill + 1M) | |
| 562 | uDriftM10PnL | float | underlier delta drift PnL (Fill + 10M) | |
| 565 | dayPnL | float | actual PnL to EOD (fillMark to liveMark) | |
| 568 | m1Mark | double | T+1min | |
| 571 | m1UPrc | double | T+1min | |
| 574 | m10Mark | double | T+10min | |
| 577 | m10UPrc | double | T+10min | |
| 580 | liveMark | double | Live @ Record Query | |
| 583 | liveUPrc | double | Live @ Record Query | |
| 586 | trdMarkError | string(8) | trade mark error code | |
| 589 | dayMarkError | string(8) | day mark error code | |
| 592 | timestamp | DateTime | SR system timestamp |
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 = 'ToolCompositeExecution'
# 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=ToolCompositeExecution'
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 = 'ToolCompositeExecution'
# 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|accnt|clientFirm|secKey|secType|side|version|parentNumber|baseParentNumber|spdrSource|groupingCode|riskGroupId|altOrderId|srcRoutingCode|userName|server|ticker|sector|clientTags|indNum|subNum|grpNum|nbrNum|expCode|skewCode|widthCode|priceFormat|uPriceFormat|years|underlierType|minTickSize|pointValue|pointCurrency|underliersPerCn|parentShape|parentLimitType|parentLimitClass|parentOrderHandling|parentBalanceHandling|parentOrderSize|parentDttm|parentUMark|parentBid|parentAsk|parentFairPrc|parentFairWidth|parentLimitPrc|parentLimitRefUPrc|parentSSaleFlag|parentPositionType|parentStrategy|parentAutoHedge|childDttm|childClOrdId|childRoutingCode|childSize|childPrice|childExch|childExDest|childUPrc|childBid|childAsk|childFairPrc|childFairWidth|childVol|childProb|childLimitPrc|childLimitRefUPrc|childAlgoHandler|childOrderHandling|childCreateReason|childCancelReason|childMktStance|childCxlAttempted|childSSaleFlag|childPositionType|childFirmType|childCapacity|fillExch|fillPrice|fillDttm|fillSize|fillPointValue|fillVol|fillProb|fillLimitPrc|fillLimitRefUPrc|fillUPrc|fillBeta|fillTv|fillTp|fillBid|fillAsk|fillFairPrc|fillFairWidth|fillBrkrRate|fillRoutingRate|fillOrigExecID|fillLastExecID|fillExecStatus|fillRemoteText|fillTransactDttm|fillLiquidityTag|fillExchFee|fillDe|fillGa|fillVe|execRole|execBrkrCode|execBrkrAccnt|execBrkrClFirm|execBrkrUserName|clearingFlipType|clearingFlipFirm|clearingFlipAccnt|clearingAgent|clearingTaxID|billingSecType|billingCategory|priAggGroup|secAggGroup|trdDelta|trdDDelta|trdGamma|trdDGamma|trdVega|trdWtVega|trdTheta|trdBeta|trdDBeta|trdNotionalValue|trdMarketValue|marginUDnVDn|marginUDnVUp|marginUUpVDn|marginUUpVUp|trdFairEdge|trdFairEdgeUnit|trdTheoEdge|trdTheoEdgeUnit|clArrivePnL|arrivePnL|arriveDnPnL|uDriftArrivePnL|childLimitSlip|halfWidthPnL|dayDnPnL|dayM1PnL|dayM10PnL|uDriftDayPnL|uDriftM1PnL|uDriftM10PnL|dayPnL|m1Mark|m1UPrc|m10Mark|m10UPrc|liveMark|liveUPrc|trdMarkError|dayMarkError|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=ToolCompositeExecution' \
--data-urlencode 'view=tradeDate|accnt|clientFirm|secKey|secType|side|version|parentNumber|baseParentNumber|spdrSource|groupingCode|riskGroupId|altOrderId|srcRoutingCode|userName|server|ticker|sector|clientTags|indNum|subNum|grpNum|nbrNum|expCode|skewCode|widthCode|priceFormat|uPriceFormat|years|underlierType|minTickSize|pointValue|pointCurrency|underliersPerCn|parentShape|parentLimitType|parentLimitClass|parentOrderHandling|parentBalanceHandling|parentOrderSize|parentDttm|parentUMark|parentBid|parentAsk|parentFairPrc|parentFairWidth|parentLimitPrc|parentLimitRefUPrc|parentSSaleFlag|parentPositionType|parentStrategy|parentAutoHedge|childDttm|childClOrdId|childRoutingCode|childSize|childPrice|childExch|childExDest|childUPrc|childBid|childAsk|childFairPrc|childFairWidth|childVol|childProb|childLimitPrc|childLimitRefUPrc|childAlgoHandler|childOrderHandling|childCreateReason|childCancelReason|childMktStance|childCxlAttempted|childSSaleFlag|childPositionType|childFirmType|childCapacity|fillExch|fillPrice|fillDttm|fillSize|fillPointValue|fillVol|fillProb|fillLimitPrc|fillLimitRefUPrc|fillUPrc|fillBeta|fillTv|fillTp|fillBid|fillAsk|fillFairPrc|fillFairWidth|fillBrkrRate|fillRoutingRate|fillOrigExecID|fillLastExecID|fillExecStatus|fillRemoteText|fillTransactDttm|fillLiquidityTag|fillExchFee|fillDe|fillGa|fillVe|execRole|execBrkrCode|execBrkrAccnt|execBrkrClFirm|execBrkrUserName|clearingFlipType|clearingFlipFirm|clearingFlipAccnt|clearingAgent|clearingTaxID|billingSecType|billingCategory|priAggGroup|secAggGroup|trdDelta|trdDDelta|trdGamma|trdDGamma|trdVega|trdWtVega|trdTheta|trdBeta|trdDBeta|trdNotionalValue|trdMarketValue|marginUDnVDn|marginUDnVUp|marginUUpVDn|marginUUpVUp|trdFairEdge|trdFairEdgeUnit|trdTheoEdge|trdTheoEdgeUnit|clArrivePnL|arrivePnL|arriveDnPnL|uDriftArrivePnL|childLimitSlip|halfWidthPnL|dayDnPnL|dayM1PnL|dayM10PnL|uDriftDayPnL|uDriftM1PnL|uDriftM10PnL|dayPnL|m1Mark|m1UPrc|m10Mark|m10UPrc|liveMark|liveUPrc|trdMarkError|dayMarkError|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 = 'ToolCompositeExecution'
# 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|accnt|clientFirm|secKey|secType|side|version|parentNumber|baseParentNumber|spdrSource|groupingCode|riskGroupId|altOrderId|srcRoutingCode|userName|server|ticker|sector|clientTags|indNum|subNum|grpNum|nbrNum|expCode|skewCode|widthCode|priceFormat|uPriceFormat|years|underlierType|minTickSize|pointValue|pointCurrency|underliersPerCn|parentShape|parentLimitType|parentLimitClass|parentOrderHandling|parentBalanceHandling|parentOrderSize|parentDttm|parentUMark|parentBid|parentAsk|parentFairPrc|parentFairWidth|parentLimitPrc|parentLimitRefUPrc|parentSSaleFlag|parentPositionType|parentStrategy|parentAutoHedge|childDttm|childClOrdId|childRoutingCode|childSize|childPrice|childExch|childExDest|childUPrc|childBid|childAsk|childFairPrc|childFairWidth|childVol|childProb|childLimitPrc|childLimitRefUPrc|childAlgoHandler|childOrderHandling|childCreateReason|childCancelReason|childMktStance|childCxlAttempted|childSSaleFlag|childPositionType|childFirmType|childCapacity|fillExch|fillPrice|fillDttm|fillSize|fillPointValue|fillVol|fillProb|fillLimitPrc|fillLimitRefUPrc|fillUPrc|fillBeta|fillTv|fillTp|fillBid|fillAsk|fillFairPrc|fillFairWidth|fillBrkrRate|fillRoutingRate|fillOrigExecID|fillLastExecID|fillExecStatus|fillRemoteText|fillTransactDttm|fillLiquidityTag|fillExchFee|fillDe|fillGa|fillVe|execRole|execBrkrCode|execBrkrAccnt|execBrkrClFirm|execBrkrUserName|clearingFlipType|clearingFlipFirm|clearingFlipAccnt|clearingAgent|clearingTaxID|billingSecType|billingCategory|priAggGroup|secAggGroup|trdDelta|trdDDelta|trdGamma|trdDGamma|trdVega|trdWtVega|trdTheta|trdBeta|trdDBeta|trdNotionalValue|trdMarketValue|marginUDnVDn|marginUDnVUp|marginUUpVDn|marginUUpVUp|trdFairEdge|trdFairEdgeUnit|trdTheoEdge|trdTheoEdgeUnit|clArrivePnL|arrivePnL|arriveDnPnL|uDriftArrivePnL|childLimitSlip|halfWidthPnL|dayDnPnL|dayM1PnL|dayM10PnL|uDriftDayPnL|uDriftM1PnL|uDriftM10PnL|dayPnL|m1Mark|m1UPrc|m10Mark|m10UPrc|liveMark|liveUPrc|trdMarkError|dayMarkError|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 = '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 -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getmsgs' \
--data-urlencode 'msgType=ToolCompositeExecution' \
--data-urlencode 'view=tradeDate|accnt|clientFirm|secKey|secType|side|version|parentNumber|baseParentNumber|spdrSource|groupingCode|riskGroupId|altOrderId|srcRoutingCode|userName|server|ticker|sector|clientTags|indNum|subNum|grpNum|nbrNum|expCode|skewCode|widthCode|priceFormat|uPriceFormat|years|underlierType|minTickSize|pointValue|pointCurrency|underliersPerCn|parentShape|parentLimitType|parentLimitClass|parentOrderHandling|parentBalanceHandling|parentOrderSize|parentDttm|parentUMark|parentBid|parentAsk|parentFairPrc|parentFairWidth|parentLimitPrc|parentLimitRefUPrc|parentSSaleFlag|parentPositionType|parentStrategy|parentAutoHedge|childDttm|childClOrdId|childRoutingCode|childSize|childPrice|childExch|childExDest|childUPrc|childBid|childAsk|childFairPrc|childFairWidth|childVol|childProb|childLimitPrc|childLimitRefUPrc|childAlgoHandler|childOrderHandling|childCreateReason|childCancelReason|childMktStance|childCxlAttempted|childSSaleFlag|childPositionType|childFirmType|childCapacity|fillExch|fillPrice|fillDttm|fillSize|fillPointValue|fillVol|fillProb|fillLimitPrc|fillLimitRefUPrc|fillUPrc|fillBeta|fillTv|fillTp|fillBid|fillAsk|fillFairPrc|fillFairWidth|fillBrkrRate|fillRoutingRate|fillOrigExecID|fillLastExecID|fillExecStatus|fillRemoteText|fillTransactDttm|fillLiquidityTag|fillExchFee|fillDe|fillGa|fillVe|execRole|execBrkrCode|execBrkrAccnt|execBrkrClFirm|execBrkrUserName|clearingFlipType|clearingFlipFirm|clearingFlipAccnt|clearingAgent|clearingTaxID|billingSecType|billingCategory|priAggGroup|secAggGroup|trdDelta|trdDDelta|trdGamma|trdDGamma|trdVega|trdWtVega|trdTheta|trdBeta|trdDBeta|trdNotionalValue|trdMarketValue|marginUDnVDn|marginUDnVUp|marginUUpVDn|marginUUpVUp|trdFairEdge|trdFairEdgeUnit|trdTheoEdge|trdTheoEdgeUnit|clArrivePnL|arrivePnL|arriveDnPnL|uDriftArrivePnL|childLimitSlip|halfWidthPnL|dayDnPnL|dayM1PnL|dayM10PnL|uDriftDayPnL|uDriftM1PnL|uDriftM10PnL|dayPnL|m1Mark|m1UPrc|m10Mark|m10UPrc|liveMark|liveUPrc|trdMarkError|dayMarkError|timestamp' \
--data-urlencode 'where=accnt:eq:ExampleString' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=tradeDate: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 = 'ToolCompositeExecution'
# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'tradeDate|accnt|clientFirm|secKey|secType|side|version|parentNumber|baseParentNumber|spdrSource|groupingCode|riskGroupId|altOrderId|srcRoutingCode|userName|server|ticker|sector|clientTags|indNum|subNum|grpNum|nbrNum|expCode|skewCode|widthCode|priceFormat|uPriceFormat|years|underlierType|minTickSize|pointValue|pointCurrency|underliersPerCn|parentShape|parentLimitType|parentLimitClass|parentOrderHandling|parentBalanceHandling|parentOrderSize|parentDttm|parentUMark|parentBid|parentAsk|parentFairPrc|parentFairWidth|parentLimitPrc|parentLimitRefUPrc|parentSSaleFlag|parentPositionType|parentStrategy|parentAutoHedge|childDttm|childClOrdId|childRoutingCode|childSize|childPrice|childExch|childExDest|childUPrc|childBid|childAsk|childFairPrc|childFairWidth|childVol|childProb|childLimitPrc|childLimitRefUPrc|childAlgoHandler|childOrderHandling|childCreateReason|childCancelReason|childMktStance|childCxlAttempted|childSSaleFlag|childPositionType|childFirmType|childCapacity|fillExch|fillPrice|fillDttm|fillSize|fillPointValue|fillVol|fillProb|fillLimitPrc|fillLimitRefUPrc|fillUPrc|fillBeta|fillTv|fillTp|fillBid|fillAsk|fillFairPrc|fillFairWidth|fillBrkrRate|fillRoutingRate|fillOrigExecID|fillLastExecID|fillExecStatus|fillRemoteText|fillTransactDttm|fillLiquidityTag|fillExchFee|fillDe|fillGa|fillVe|execRole|execBrkrCode|execBrkrAccnt|execBrkrClFirm|execBrkrUserName|clearingFlipType|clearingFlipFirm|clearingFlipAccnt|clearingAgent|clearingTaxID|billingSecType|billingCategory|priAggGroup|secAggGroup|trdDelta|trdDDelta|trdGamma|trdDGamma|trdVega|trdWtVega|trdTheta|trdBeta|trdDBeta|trdNotionalValue|trdMarketValue|marginUDnVDn|marginUDnVUp|marginUUpVDn|marginUUpVUp|trdFairEdge|trdFairEdgeUnit|trdTheoEdge|trdTheoEdgeUnit|clArrivePnL|arrivePnL|arriveDnPnL|uDriftArrivePnL|childLimitSlip|halfWidthPnL|dayDnPnL|dayM1PnL|dayM10PnL|uDriftDayPnL|uDriftM1PnL|uDriftM10PnL|dayPnL|m1Mark|m1UPrc|m10Mark|m10UPrc|liveMark|liveUPrc|trdMarkError|dayMarkError|timestamp'
# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'secType|side|spdrSource|expCode|skewCode|widthCode|priceFormat|uPriceFormat|underlierType|pointCurrency|parentShape|parentLimitType|parentLimitClass|parentOrderHandling|parentBalanceHandling|parentSSaleFlag|parentPositionType|parentAutoHedge|childAlgoHandler|childCreateReason|childCancelReason|childMktStance|childCxlAttempted|childSSaleFlag|childPositionType|childFirmType|childCapacity|fillExecStatus|execRole|clearingFlipType|billingSecType|billingCategory'
# 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=ToolCompositeExecution' \
--data-urlencode 'measure=tradeDate|accnt|clientFirm|secKey|secType|side|version|parentNumber|baseParentNumber|spdrSource|groupingCode|riskGroupId|altOrderId|srcRoutingCode|userName|server|ticker|sector|clientTags|indNum|subNum|grpNum|nbrNum|expCode|skewCode|widthCode|priceFormat|uPriceFormat|years|underlierType|minTickSize|pointValue|pointCurrency|underliersPerCn|parentShape|parentLimitType|parentLimitClass|parentOrderHandling|parentBalanceHandling|parentOrderSize|parentDttm|parentUMark|parentBid|parentAsk|parentFairPrc|parentFairWidth|parentLimitPrc|parentLimitRefUPrc|parentSSaleFlag|parentPositionType|parentStrategy|parentAutoHedge|childDttm|childClOrdId|childRoutingCode|childSize|childPrice|childExch|childExDest|childUPrc|childBid|childAsk|childFairPrc|childFairWidth|childVol|childProb|childLimitPrc|childLimitRefUPrc|childAlgoHandler|childOrderHandling|childCreateReason|childCancelReason|childMktStance|childCxlAttempted|childSSaleFlag|childPositionType|childFirmType|childCapacity|fillExch|fillPrice|fillDttm|fillSize|fillPointValue|fillVol|fillProb|fillLimitPrc|fillLimitRefUPrc|fillUPrc|fillBeta|fillTv|fillTp|fillBid|fillAsk|fillFairPrc|fillFairWidth|fillBrkrRate|fillRoutingRate|fillOrigExecID|fillLastExecID|fillExecStatus|fillRemoteText|fillTransactDttm|fillLiquidityTag|fillExchFee|fillDe|fillGa|fillVe|execRole|execBrkrCode|execBrkrAccnt|execBrkrClFirm|execBrkrUserName|clearingFlipType|clearingFlipFirm|clearingFlipAccnt|clearingAgent|clearingTaxID|billingSecType|billingCategory|priAggGroup|secAggGroup|trdDelta|trdDDelta|trdGamma|trdDGamma|trdVega|trdWtVega|trdTheta|trdBeta|trdDBeta|trdNotionalValue|trdMarketValue|marginUDnVDn|marginUDnVUp|marginUUpVDn|marginUUpVUp|trdFairEdge|trdFairEdgeUnit|trdTheoEdge|trdTheoEdgeUnit|clArrivePnL|arrivePnL|arriveDnPnL|uDriftArrivePnL|childLimitSlip|halfWidthPnL|dayDnPnL|dayM1PnL|dayM10PnL|uDriftDayPnL|uDriftM1PnL|uDriftM10PnL|dayPnL|m1Mark|m1UPrc|m10Mark|m10UPrc|liveMark|liveUPrc|trdMarkError|dayMarkError|timestamp' \
--data-urlencode 'group=secType|side|spdrSource|expCode|skewCode|widthCode|priceFormat|uPriceFormat|underlierType|pointCurrency|parentShape|parentLimitType|parentLimitClass|parentOrderHandling|parentBalanceHandling|parentSSaleFlag|parentPositionType|parentAutoHedge|childAlgoHandler|childCreateReason|childCancelReason|childMktStance|childCxlAttempted|childSSaleFlag|childPositionType|childFirmType|childCapacity|fillExecStatus|execRole|clearingFlipType|billingSecType|billingCategory' \
--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 = 'ToolCompositeExecution'
# 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=ToolCompositeExecution' \
--data-urlencode 'where=accnt:eq:ExampleString'