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Version: 8.6.9.2

Schema: AtsDegrossAvailability (ID: 2357)

Published by the degrossing execution engine once a minute from open + 5 minutes until the final

auction of the day, smeared to a fixed publish rate. Every candidate ticker is published with a

status: Available, Suspended, DayClosed, or the reason it is not offered — so a client can always

see why a position is not degrossable.

Strike is a TICKER-level fact shared by all three expiries, chosen from flex instruments that

actually exist (nearest the underlier), and frozen at the ticker's first publish of the day.

The per-expiry block (3 entries) carries the SR-controlled economics; block index = expiry slot =

SpdrParentOrder groupingCode (1/2/3). Auction sequence state lives on AtsDegrossAuctionSchedule

(2358). Publish-only: no archive directives and .Archive() is never called — published messages

are captured automatically.

A ticker is only published when it has a current-day stock book quote or print; names with no

today market are not advertised at all.

Retired field numbers (NEVER reuse): 112 (per-slot strike; strike is row-level at 103),

101 (row-level srRate; the rate is per expiry at 120).

Replaces AtsDegrossRevConSpreads (2355).

METADATA​

AttributeValue
Topic2270-execution-engine
MLink TokenClientTrading
MLink EndpointMLink-Live
SRSE ProductSRTrade

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

BODY​

#FieldTypeDefault ValueComment
10=tickerTickerKeyunderlier ticker
11=tradeDateDateKeythe trade date this advertisement is for
100refUPrcdoublecurrent reference underlier price (main-session cascade)
102statusenum : DegrossTickerStatusAvailable/Suspended/DayClosed or the reason not offered; Available and Suspended are sticky for the day and Suspended outranks DayClosed
103strikedoubleticker-level strike, shared by all 3 expiries; frozen at the first publish of the day
150timestampDateTime

REPEATING FIELDS​

DegrossExpiry

#FieldTypeDefault ValueComment
111expiryDateKeyflex option expiry date for this slot
113iDaysintinterest days to expiry
120srRatedoubleSOFR to THIS expiry (GlobalRates, RateSource.SOFR) — the rate every fair price on this slot derives from
114srSDivdoubleSR continuous dividend rate at this expiry (interpolated/extrapolated to the flex expiry)
118srSDivMindoublelow end of the fitted sdiv range
119srSDivMaxdoublehigh end of the fitted sdiv range
115ddivPvdoublePV of SR discrete dividends to expiry (per share)
116srRcFairPrcdoubleSR computed fair RevCon price, TRADER R/C premium space (package premium + strike) — the SR-fair default for BasketDegrossSubmit (6913) rcLimitPrice
117srClearingSDivdoubleprior auction clearing SDIV (0 = no prior auction; 0 with state=Unavailable = inversion failed)
121srBoxSpreaddoubleBOX/360: implied financing spread over srRate from the listed R/C synthetic (sdiv=0 / SR ddivs), quoted simple Act/360; GC/HTB classifies off the cross-section (specialness depresses this)
122ddivPvListstring(64)dated schedule behind ddivPv: per-dividend PVs at SOFR, comma-joined, parallel to ddivDaysList (empty = no dividends; the venue fair prices each dividend over its own tail)
123ddivDaysListstring(32)calendar days from tradeDate to each dividend, comma-joined (Act/365 clock: years = days/365)
124srClearingSDivStateenum : DegrossRateStateNone = no prior auction, Ok = valid (a true 0 included), Unavailable = the prior clearing price has no admissible rate

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 = 'AtsDegrossAvailability'

# 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 = 'AtsDegrossAvailability'

# 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 = 'refUPrc|status|strike|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 = ''

# 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 = 'AtsDegrossAvailability'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'refUPrc|status|strike|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 = ''

# 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 = 'refUPrc: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 = 'AtsDegrossAvailability'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'refUPrc|status|strike|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'status'

# 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 = ''

# 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 = 'AtsDegrossAvailability'

# 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 = ''

# 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)
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