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Version: 8.5.11.3

Schema: AuctionPrint (ID: 2485)

METADATA​

AttributeValue
Topic2450-liquidity-notice
MLink TokenAuctionPrint
SRSE ProductSRAuction

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

BODY​

#FieldTypeDefault ValueComment
10=noticeNumberlongAuctionNotice.noticeNumber
100tickerTickerKeyunderlier ticker
101tradeDateDateKey
157isTestAuctionenum : YesNoif yes, auction is a test auction (not a prod/live auction)
102noticeTimeDateTimenotice create timestamp (high precision)
103auctionTypeenum : AuctionType(eg. Block, Flash, Improvement, Facilitation, etc.)
104auctionSourceenum : AuctionSourcesource of the auction notice (eg. SRC, MIAX, etc.)
203auctionDurationintexpected auction / imbalance action duration (ms)
111industrytext1industry string
112symbolTypeenum : SymbolType
113uAvgDailyVlmfloatunderlier average daily trading volume
114custSideenum : BuySellfrom AuctionNotice (if known)
115custQtyintfrom AuctionNotice (if known)
116custPrcdoublefrom AuctionNotice (if known)
117hasCustPrcenum : YesNofrom AuctionNotice (if known)
118custFirmTypeenum : FirmTypecust firm type (if disclosed)
119custAgentMPIDstring(6)cust agent exchange member initiating the auction (if disclosed)
158commEnhancementfloatadditional commission (if any) paid by responder
105numOptLegsbyteMLEG Only
192spreadClassenum : SpreadClass
107spreadFlavorenum : SpreadFlavorMLEG Only
108containsHedgeenum : YesNoMLEG Only
204flexTypeenum : FlexTypeall legs are of this flex type
109containsFlexenum : YesNocontains FLEX options
110containsMultiHedgeenum : YesNocontains MultiHedge (corp action adjusted) options
159uBiddouble
160uAskdouble
142netDefloat
143netGafloat
144netThfloat
145netVefloat
161pkgSurfPrcfloatSR Surface Price (entire package) from AuctionNotice
162pkgBidPrcfloatpkg bid price (best way price) (entire package) from AuctionNotice
163pkgAskPrcfloatpkg ask price (best way price) (entire package) from AuctionNotice
205minExpiryExpiryKeyoption exiry (nearest if MLeg)
121prtPricedoublereported OPRA print price (pkgPrice if MLeg)
122prtPrice2doubleif reported as 2 separate prints at different prices (ie, partial size improvement, multiple responders)
123prtSizeintreported OPRA print size (pkgSize if MLeg)
124prtSize2intreported OPRA print size (pkgSize if MLeg)
125prtTimeDateTimereported OPRA print time (1st print if MLeg) (high precision)
126prtTypeenum : PrtTypereported OPRA print type
127prtUBiddoublebest estimate of uBid @ auction print time
128prtUAskdoublebest estimate of uAsk @ auction print time
129prtUPrcdoublebest estimate of uPrc @ auction print time
130prtSurfVolfloatsurface vol @ auction print time (single option auction only)
131prtSurfPrcfloatsurface prc @ auction print time (@ uMid) (pkgSurfPrc if MLeg)
132bidPrcfloatoption nbbo bid @ auction print time
133bidSzintnbbo bid cum size
199bidMasklongnbbo bid exch mask
135askPrcfloatoption nbbo ask @ auction print time
136askSzintnbbo ask cum size
200askMasklongnbbo ask exch mask
138exchBidPrcfloatexch bid @ auction print time
139exchBidSzintexch bid size
140exchAskPrcfloatexch ask @ auction print time
141exchAskSzintexch ask size
146uPrc1mfloatuPrc (mid market) @ auction print time + 1m
147bidPrc1mfloatoption nbbo bid @ auction print time + 1m
148askPrc1mfloatoption nbbo ask @ auction print time + 1m
149surfVol1mfloatsurface vol @ auction print time + 1m (single option auction only)
150surfPrc1mfloatsurface prc @ auction print time + 1m (@ uMid)
151uPrc10mfloatuPrc (mid market) @ auction print time + 10m
152bidPrc10mfloatoption nbbo bid @ auction print time + 10m
153askPrc10mfloatoption nbbo ask @ auction print time + 10m
154surfVol10mfloatsurface vol @ auction print time + 10m (single option auction only)
155surfPrc10mfloatsurface prc @ auction print time + 10m (@ uMid)
156timestampDateTime

REPEATING FIELDS​

OrderLegs

#FieldTypeDefault ValueComment
165secKeyOptionKey
166secTypeenum : SpdrKeyType
167sideenum : BuySell
168ratioushort
169undPerCnint
170pointValuefloat
191pointCurrencyenum : Currency
171expTypeenum : ExpiryTypeZDte,Daily,Weekly,Regular,Quarterly,LongTerm,OtherExp
172yearsfloatSR volatility years to expiry
173ratefloatSR global (discount) rate to expiry
174atmVolfloatATM (fwd uPrc) SR surface volatility
175ddivPvfloatSR present value of ddiv stream
176tVolfloatclient theo surface volatility (if client surfaces uploaded to SR)
177sVolfloatSR Surface Volatility
178sDivfloatSR Surface SDiv
179sPrcfloatSR Surface Price
180defloat
181gafloat
182thfloat
183vefloat
184sVolOkenum : YesNoYes if live market and sVol are tracking as expected
193bidfloatLeg bid price
194bidSzintcumulative leg bid size
201bidMasklongbit-mask of participating exchanges
196askfloatleg ask price
197askSzintcumulative leg ask size
202askMasklongbit-mask of participating exchanges

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 = 'AuctionPrint'

# 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 = 'AuctionPrint'

# 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|noticeTime|auctionType|auctionSource|auctionDuration|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|numOptLegs|spreadClass|spreadFlavor|containsHedge|flexType|containsFlex|containsMultiHedge|uBid|uAsk|netDe|netGa|netTh|netVe|pkgSurfPrc|pkgBidPrc|pkgAskPrc|minExpiry|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUBid|prtUAsk|prtUPrc|prtSurfVol|prtSurfPrc|bidPrc|bidSz|bidMask|askPrc|askSz|askMask|exchBidPrc|exchBidSz|exchAskPrc|exchAskSz|uPrc1m|bidPrc1m|askPrc1m|surfVol1m|surfPrc1m|uPrc10m|bidPrc10m|askPrc10m|surfVol10m|surfPrc10m|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 = 'custAgentMPID: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 = 'AuctionPrint'

# 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|noticeTime|auctionType|auctionSource|auctionDuration|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|numOptLegs|spreadClass|spreadFlavor|containsHedge|flexType|containsFlex|containsMultiHedge|uBid|uAsk|netDe|netGa|netTh|netVe|pkgSurfPrc|pkgBidPrc|pkgAskPrc|minExpiry|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUBid|prtUAsk|prtUPrc|prtSurfVol|prtSurfPrc|bidPrc|bidSz|bidMask|askPrc|askSz|askMask|exchBidPrc|exchBidSz|exchAskPrc|exchAskSz|uPrc1m|bidPrc1m|askPrc1m|surfVol1m|surfPrc1m|uPrc10m|bidPrc10m|askPrc10m|surfVol10m|surfPrc10m|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 = 'custAgentMPID: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 = 'AuctionPrint'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|tradeDate|isTestAuction|noticeTime|auctionType|auctionSource|auctionDuration|industry|symbolType|uAvgDailyVlm|custSide|custQty|custPrc|hasCustPrc|custFirmType|custAgentMPID|commEnhancement|numOptLegs|spreadClass|spreadFlavor|containsHedge|flexType|containsFlex|containsMultiHedge|uBid|uAsk|netDe|netGa|netTh|netVe|pkgSurfPrc|pkgBidPrc|pkgAskPrc|minExpiry|prtPrice|prtPrice2|prtSize|prtSize2|prtTime|prtType|prtUBid|prtUAsk|prtUPrc|prtSurfVol|prtSurfPrc|bidPrc|bidSz|bidMask|askPrc|askSz|askMask|exchBidPrc|exchBidSz|exchAskPrc|exchAskSz|uPrc1m|bidPrc1m|askPrc1m|surfVol1m|surfPrc1m|uPrc10m|bidPrc10m|askPrc10m|surfVol10m|surfPrc10m|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'isTestAuction|auctionType|auctionSource|symbolType|custSide|hasCustPrc|custFirmType|spreadClass|spreadFlavor|containsHedge|flexType|containsFlex|containsMultiHedge|prtType'

# 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 = 'custAgentMPID: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 = 'AuctionPrint'

# 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 = 'custAgentMPID: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)