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Version: 8.6.9.2

Schema: AtsDegrossRevConSpreads (ID: 2355)

Deleted once the EE publisher and WTS join cut over; do not add consumers. The number is

reusable a few weeks after deletion.

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
100strikedoubleSR-chosen sticky strike for this ticker
101refUPrcdoublecurrent reference underlier price (updated intraday)
102iDaysintinterest days to expiry
110srRatedoubleSR reference financing rate
111srSDivdoubleSR reference continuous dividend rate
112srRcFairPrcdoubleSR computed fair RevCon price (using SR values)
113srClearingSDivdoubleprior auction's clearing SDIV (if any; 0 if no prior auction)
130nextAuctionTimeDateTimenext scheduled auction time (updated after each cycle)
131nextCutoffTimeDateTimesubmission cutoff for next auction
132auctionStatusenum : AtsRevConAuctionStatus
133lastAuctionTimeDateTimemost recent completed auction time (epoch if none today)
134numAuctionsTodayintauctions completed today
135numAuctionsRemainingintauctions remaining in today's schedule
150timestampDateTime
153indicativeClearPrcdoubleclearing price from the most recent solve (only meaningful when a cross exists; see buySize/sellSize)
156indicativeClearSDivdoubleSDIV implied by indicativeClearPrc (SR rate/ddiv basis; 0 = no cross)
159buySizeinttotal open Buy (reversal / lend) size in this market
162sellSizeinttotal open Sell (conversion / borrow) size in this market
165imbalanceintsigned imbalance = buySize - sellSize

REPEATING FIELDS​

SRDDiv

#FieldTypeDefault ValueComment
121ddivExDateDateKeyexpected ex-date
122ddivAmountdoubleexpected dividend amount per share
123ddivSourceenum : DDivSourceAnnounced, Forecast, etc.

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 = 'AtsDegrossRevConSpreads'

# 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 = 'AtsDegrossRevConSpreads'

# 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 = 'strike|refUPrc|iDays|srRate|srSDiv|srRcFairPrc|srClearingSDiv|nextAuctionTime|nextCutoffTime|auctionStatus|lastAuctionTime|numAuctionsToday|numAuctionsRemaining|timestamp|indicativeClearPrc|indicativeClearSDiv|buySize|sellSize|imbalance'

# 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 = 'AtsDegrossRevConSpreads'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'strike|refUPrc|iDays|srRate|srSDiv|srRcFairPrc|srClearingSDiv|nextAuctionTime|nextCutoffTime|auctionStatus|lastAuctionTime|numAuctionsToday|numAuctionsRemaining|timestamp|indicativeClearPrc|indicativeClearSDiv|buySize|sellSize|imbalance'

# 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 = 'strike: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 = 'AtsDegrossRevConSpreads'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'strike|refUPrc|iDays|srRate|srSDiv|srRcFairPrc|srClearingSDiv|nextAuctionTime|nextCutoffTime|auctionStatus|lastAuctionTime|numAuctionsToday|numAuctionsRemaining|timestamp|indicativeClearPrc|indicativeClearSDiv|buySize|sellSize|imbalance'

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

# 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 = 'AtsDegrossRevConSpreads'

# 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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