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Version: 8.6.9.2

Schema: AtsDegrossRevConResult (ID: 2356)

Published by the degrossing execution engine: Received on order arrival, then per-auction

results after each event in the day's sequence (Trial 9:55 CST, Real 10:00/10:05/10:10/10:15;

see AtsDegrossAuctionSchedule (2358)), Final after the order's last event. The WTS merges

per-(ticker, expiry) results into LiveGridBasketDegrossDetail (6912) rows; per-auction rollups

drive the Basket Manager summary boxes.

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=expiryDateKeyflex option expiry date
12=accntstring(16)SR trading account
13=sideenum : BuySellBuy = reversal (lend); Sell = conversion (borrow)
14=clientFirmstring(16)
15=auctionDttmDateTimeauction cycle timestamp (identifies which specific auction; multiple per day)
16=parentNumberlongparent order reference - two same-side parents on one (accnt, ticker, expiry) never alias
17=eventNumintauction sequence index (= AtsDegrossAuctionSchedule (2358) auctionNumber): 1 = Trial, 2-5 = Real; 0 = pre-auction (Received). One row per event: the Received audit row is never overwritten
100resultStatusenum : AtsDegrossResultStatus
110submittedSizeintoriginal order size
114effectiveRatedoubleSR reference rate used
115effectiveSDivdoubleSR reference sdiv used
120refUPrcdoublereference underlier price used
121strikedoubleSR-chosen strike
122iDaysintinterest days to expiry
130limitPricedoublecomputed limit price for this order
140clearingPricedoublesingle clearing price for this (ticker, expiry) at this event
141srClearingSDivdoubleclearing SDIV using SR rate + SR ddiv (0 with state=Unavailable = inversion failed)
142clientClearingSDivdoubleunused (0): client pricing components retired from the gateway
143matchSizeintsize matched to this order at this event
144matchStatusenum : AtsRevConFillStatus
145withdrawReasontext1reserved; reason an order was withdrawn (unused in 2.1)
146srClearingSDivStateenum : DegrossRateStateNone = no cross, Ok = valid (a true 0 included), Unavailable = the clearing price has no admissible rate
160fillSizeintexchange-confirmed fill size at this event
161numCrossesintbilateral crosses this order participated in at this event
170timestampDateTime

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 = 'AtsDegrossRevConResult'

# 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 = 'AtsDegrossRevConResult'

# 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 = 'resultStatus|submittedSize|effectiveRate|effectiveSDiv|refUPrc|strike|iDays|limitPrice|clearingPrice|srClearingSDiv|clientClearingSDiv|matchSize|matchStatus|withdrawReason|srClearingSDivState|fillSize|numCrosses|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 = 'AtsDegrossRevConResult'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'resultStatus|submittedSize|effectiveRate|effectiveSDiv|refUPrc|strike|iDays|limitPrice|clearingPrice|srClearingSDiv|clientClearingSDiv|matchSize|matchStatus|withdrawReason|srClearingSDivState|fillSize|numCrosses|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 = 'resultStatus: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 = 'AtsDegrossRevConResult'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'resultStatus|submittedSize|effectiveRate|effectiveSDiv|refUPrc|strike|iDays|limitPrice|clearingPrice|srClearingSDiv|clientClearingSDiv|matchSize|matchStatus|withdrawReason|srClearingSDivState|fillSize|numCrosses|timestamp'

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

# 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 = 'AtsDegrossRevConResult'

# 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)
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