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Version: 8.5.3.3

Schema: SpdrHedgePolicyState (ID: 5280)

METADATA​

AttributeValue
Topic5280-strategy-hedgepolicy
MLink TokenClientTrading
SRSE ProductSRTrade

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

BODY​

#FieldTypeComment
10=hedgeTargetTickerKeyHedgeTarget
11=accntstring(16)
12=clientFirmstring(16)
100hedgeSecKeyExpiryKey
101hedgeSecTypeenum : SpdrKeyType
102securityDesctext1
103ssaleFlagenum : ShortSaleFlagcurrent (live) short sale flag (stock)
104positionTypeenum : PositionTypecurrent (live) position type (future)
105hedgeStateenum : HedgePolicyState
106hedgeTexttext1
107uPrcdoublehedge target underlier price
108isDeltaMixedenum : YesNo
109accumulatorErrortext1
110grpDeltaBotdoubleoption delta bot (in ctrlDe units)
111grpDeltaSlddouble
112grpDDeltaBotdoubleoption $delta bot (using uMid at time of option fill)
113grpDDeltaSlddouble
114lastGrpFillDttmDateTime
115ctrlDeltaBotdoublehedge target delta (units) bot
116ctrlDeltaSlddouble
117ctrlDDeltaBotdoublehedge target $delta bot (using actual fill price)
118ctrlDDeltaSlddouble
119lastCtrlFillDttmDateTime
120absOptCninttotal number of option contracts executed in this hedge group
121netDeltadoublegrpDeltaBot - grpDeltaSld + ctrlDeltaBot - ctrlDeltaSld
122netDDeltadoublegrpDDeltaBot - grpDDeltaSld + ctrlDDeltaBot - ctrlDDeltaSld
123openHedgeTimefloatsize weighted average time (in seconds) hedge risk has been open (executions to fills)
124hedgeTargetVolfloatimplied / expected today (annualized) volatility for hedge target
125expectedPrcRangefloatSQRT(avgHedgeTime x hedgeTargetVol) cone
126opnDeltaBotdoubleopen risk delta bot (in ctrlDe units)
127opnDeltaSlddouble
128opnDDeltaBotdoubleopen risk $delta bot (in ctrlDe units)
129opnDDeltaSlddouble
130clsDeltaBotdoubleclose risk delta bot (in ctrlDe units)
131clsDeltaSlddouble
132clsDDeltaBotdoubleclose risk $delta bot (in ctrlDe units)
133clsDDeltaSlddouble
134slippagePnLfloatopnDeltaBot * (clsDeltaPrcSld - opnDeltaPrcBot) + opnDeltaSld * (opnDeltaPrcSld - clsDeltaPrcBot)
135slippageUnitPnLfloatslippagePnL / (grpDeltaBot + grpDeltaSld) [pnl / unit (share or fc)]
136slippageNormPnLfloatslippageUnitPnL / expectedPrcRange
137minDDeltaBandfloat
138maxDDeltaBandfloat
139bParentNumberlong
140bActiveSizeint
141bBrkrStatustext1
142bBrkrErrortext1
143sParentNumberlong
144sActiveSizeint
145sBrkrStatustext1
146sBrkrErrortext1
147ddMultdouble
148underliersPerCnintfuture underliers per contract
149underlierTypeenum : UnderlierTypetype of underlier (affects $greek calculations)
150pointValuedouble$NLV value of a single point change in display premium (hedge target)
151pointCurrencyenum : Currency
152liveHedgeMarkdoublehedgeSecKey live mark (mid-market) [zero in SRSE]
153updtReasonstring(20)
154timestampDateTimeSR system timestamp

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 = 'SpdrHedgePolicyState'

# 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 = 'SpdrHedgePolicyState'

# 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 = 'hedgeSecKey|hedgeSecType|securityDesc|ssaleFlag|positionType|hedgeState|hedgeText|uPrc|isDeltaMixed|accumulatorError|grpDeltaBot|grpDeltaSld|grpDDeltaBot|grpDDeltaSld|lastGrpFillDttm|ctrlDeltaBot|ctrlDeltaSld|ctrlDDeltaBot|ctrlDDeltaSld|lastCtrlFillDttm|absOptCn|netDelta|netDDelta|openHedgeTime|hedgeTargetVol|expectedPrcRange|opnDeltaBot|opnDeltaSld|opnDDeltaBot|opnDDeltaSld|clsDeltaBot|clsDeltaSld|clsDDeltaBot|clsDDeltaSld|slippagePnL|slippageUnitPnL|slippageNormPnL|minDDeltaBand|maxDDeltaBand|bParentNumber|bActiveSize|bBrkrStatus|bBrkrError|sParentNumber|sActiveSize|sBrkrStatus|sBrkrError|ddMult|underliersPerCn|underlierType|pointValue|pointCurrency|liveHedgeMark|updtReason|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)

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 = 'SpdrHedgePolicyState'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'hedgeSecKey|hedgeSecType|securityDesc|ssaleFlag|positionType|hedgeState|hedgeText|uPrc|isDeltaMixed|accumulatorError|grpDeltaBot|grpDeltaSld|grpDDeltaBot|grpDDeltaSld|lastGrpFillDttm|ctrlDeltaBot|ctrlDeltaSld|ctrlDDeltaBot|ctrlDDeltaSld|lastCtrlFillDttm|absOptCn|netDelta|netDDelta|openHedgeTime|hedgeTargetVol|expectedPrcRange|opnDeltaBot|opnDeltaSld|opnDDeltaBot|opnDDeltaSld|clsDeltaBot|clsDeltaSld|clsDDeltaBot|clsDDeltaSld|slippagePnL|slippageUnitPnL|slippageNormPnL|minDDeltaBand|maxDDeltaBand|bParentNumber|bActiveSize|bBrkrStatus|bBrkrError|sParentNumber|sActiveSize|sBrkrStatus|sBrkrError|ddMult|underliersPerCn|underlierType|pointValue|pointCurrency|liveHedgeMark|updtReason|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 = 'hedgeSecKey: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 = 'SpdrHedgePolicyState'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'hedgeSecKey|hedgeSecType|securityDesc|ssaleFlag|positionType|hedgeState|hedgeText|uPrc|isDeltaMixed|accumulatorError|grpDeltaBot|grpDeltaSld|grpDDeltaBot|grpDDeltaSld|lastGrpFillDttm|ctrlDeltaBot|ctrlDeltaSld|ctrlDDeltaBot|ctrlDDeltaSld|lastCtrlFillDttm|absOptCn|netDelta|netDDelta|openHedgeTime|hedgeTargetVol|expectedPrcRange|opnDeltaBot|opnDeltaSld|opnDDeltaBot|opnDDeltaSld|clsDeltaBot|clsDeltaSld|clsDDeltaBot|clsDDeltaSld|slippagePnL|slippageUnitPnL|slippageNormPnL|minDDeltaBand|maxDDeltaBand|bParentNumber|bActiveSize|bBrkrStatus|bBrkrError|sParentNumber|sActiveSize|sBrkrStatus|sBrkrError|ddMult|underliersPerCn|underlierType|pointValue|pointCurrency|liveHedgeMark|updtReason|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'hedgeSecType|ssaleFlag|positionType|hedgeState|isDeltaMixed|underlierType|pointCurrency'

# 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)

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 = 'SpdrHedgePolicyState'

# 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)