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Version: Staging

Schema: OptionPrint (ID: 2800)

The most recent (last) print record for each active equity and future option series. Quote markup represents quote that existed just prior to the print on the reporting exchange.

METADATA​

AttributeValue
Topic2750-market-data-options
MLink TokenOptMktData
SRSE ProductSRLive

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

BODY​

#FieldTypeComment
10=okeyOptionKey
100prtExchenum : OptExch
103prtSizeintprint size [contracts]
106prtPricefloatprint price
109prtClusterNumintincremental print cluster counter (one counter per okey; used to group prints into clusters)
112prtClusterSizeintcumulative size of prints in this sequence (sequence of prints @ same or more aggressive price with less than 25 ms elapsing since first print; can span exchanges)
115prtTypeenum : PrtTypeprint type
203printCodesstring(18)European trade condition codes
118prtOrdersushortnumber of participating orders
121prtVolumeintday print volume in contracts [this exchange]
124cxlVolumeintday print/cancel volume (num of contracts printed and then cancelled)
127bidCountushortnumber of bid prints
130askCountushortnumber of ask prints
133bidVolumeintbid print volume in contracts
136askVolumeintask print volume in contracts
139ebidfloatexchange bid (@ print time)
142easkfloatexchange ask (@ print time)
145ebszintexchange bid size
148easzintexchange ask size
151eagefloatage of prevailing quote at time of print
154bidPricefloatnbbo bid price (@ print time)
157askPricefloatnbbo ask price (@ print time)
160bidPrice2float2nd best bid price (@ print time)
163askPrice2float2nd best ask price (@ print time)
166bidSizeintbid size in contracts (largest exch quote)
169askSizeintask size in contracts (largest exch quote)
172cumBidSizeintbid size in contracts (total nbbo size)
175cumAskSizeintask size in contracts (total nbbo size)
178cumBidSize2intcumulative size at 2nd price
181cumAskSize2intcumulative size at 2nd price
184bidMaskuintexchange bid bit mask
187askMaskuintexchange ask bit mask
190prtSideenum : PrtSideimplied print side (based on ebid/eask and nbbo market)
193prtTimestamplongexchange high precision timestamp (if available)
196netTimestamplonginbound packet PTP timestamp from SR gateway switch;usually syncronized with facility grandfather clock
199oqNetTimestamplonginbound packet PTP timestamp from SR gateway switch;usually syncronized with facility grandfather clock
202timestampDateTime

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 = 'OptionPrint'

# 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 = 'OptionPrint'

# 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 = 'prtExch|prtSize|prtPrice|prtClusterNum|prtClusterSize|prtType|printCodes|prtOrders|prtVolume|cxlVolume|bidCount|askCount|bidVolume|askVolume|ebid|eask|ebsz|easz|eage|bidPrice|askPrice|bidPrice2|askPrice2|bidSize|askSize|cumBidSize|cumAskSize|cumBidSize2|cumAskSize2|bidMask|askMask|prtSide|prtTimestamp|netTimestamp|oqNetTimestamp|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 = 'printCodes: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 = 'OptionPrint'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'prtExch|prtSize|prtPrice|prtClusterNum|prtClusterSize|prtType|printCodes|prtOrders|prtVolume|cxlVolume|bidCount|askCount|bidVolume|askVolume|ebid|eask|ebsz|easz|eage|bidPrice|askPrice|bidPrice2|askPrice2|bidSize|askSize|cumBidSize|cumAskSize|cumBidSize2|cumAskSize2|bidMask|askMask|prtSide|prtTimestamp|netTimestamp|oqNetTimestamp|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 = 'printCodes: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 = 'prtExch: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 = 'OptionPrint'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'prtExch|prtSize|prtPrice|prtClusterNum|prtClusterSize|prtType|printCodes|prtOrders|prtVolume|cxlVolume|bidCount|askCount|bidVolume|askVolume|ebid|eask|ebsz|easz|eage|bidPrice|askPrice|bidPrice2|askPrice2|bidSize|askSize|cumBidSize|cumAskSize|cumBidSize2|cumAskSize2|bidMask|askMask|prtSide|prtTimestamp|netTimestamp|oqNetTimestamp|timestamp'

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

# 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 = 'printCodes: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 = 'OptionPrint'

# 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 = 'printCodes: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)