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Version: Staging

Schema: SpreadBookMarkup (ID: 2895)

Live spread quotes with SpiderRock markup details for equity and future option spreads.

METADATA​

AttributeValue
Topic2895-market-data-spreads
MLink TokenSpreadMktData
SRSE ProductSRSpread

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

BODY​

#FieldTypeComment
10=skeyTickerKeySR Spread Key (should have corresponding ProductDefinition record)
11=isTestenum : YesNoYes indicates that response is made of entirely of isTest=Yes SpreadExchOrders
100tickerTickerKeycommon spread underlier
298SRspreadIDlong
103priceFormatenum : PriceFormat
106bidPrice1doublebid price
109isBidPrice1Validenum : YesNo
112askPrice1doubleask price
115isAskPrice1Validenum : YesNo
118bidSize1intcumulative size at bidPrice
121askSize1intcumulative size at askPrice
124bidMask1uintexchange bid bit mask (OptExch mask for NMS spreads; zero for single exchange spreads)
127askMask1uintexchange ask bit mask (OptExch mask for NMS spreads; zero for single exchange spreads)
130bidExch1enum : OptExchexchange at bid price with the largest size (if any)
133askExch1enum : OptExchexchange at ask price with the largest size (if any)
136bidTimeDateTimelast bid price or size change
139askTimeDateTimelast ask price or size change
142updateTypeenum : UpdateType
145numStkLegsbyte
148numFutLegsbyte
151numOptLegsbyte
157userDefinedenum : YesNo
296spreadClassenum : ToolSpreadClass
297containsHedgeenum : YesNo
166legBidPrcdouble
169legAskPrcdouble
172legBidSzint
175legAskSzint
178surfPrcdouble
181surfDeltafloat
184surfGammafloat
187surfVegafloat
190surfWtVegafloat
193surfErrorbyteerror code from surface price calc (if any)
196minExpiryDateTimeexpiry of earliest option leg(s)
199maxExpiryDateTimeexpiry of latest option leg(s)
202minYearsfloat
205maxYearsfloat
208refUPrcfloatreference underlier price
211printPricefloatlast spread print price (if any)
214printTimeDateTime
217printSizeintlast spread print size (if any)
220printVolumeint
223grpNumint
226securityDescstring(24)
229filterIdlongtool server filter request ID
232timestampDateTime

REPEATING FIELDS​

MarkupLegs

FieldTypeComment
238legSecKeyOptionKey
241legSecTypeenum : SpdrKeyType
244legPriceFormatenum : PriceFormat
247legSecurityDescstring(20)
250legSideenum : BuySell
253legRatioushort
256legBidPricedouble
259legBidSizeint
262legAskPricedouble
265legAskSizeint
268legYearsfloat
271legUPrcdouble
280legSurfVolfloat
283legSurfPricefloat
286legSurfDefloat
289legSurfGafloat
292legSurfVefloat
295legSurfErrbyte

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 = 'SpreadBookMarkup'

# 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 = 'SpreadBookMarkup'

# 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 = 'ticker|SRspreadID|priceFormat|bidPrice1|isBidPrice1Valid|askPrice1|isAskPrice1Valid|bidSize1|askSize1|bidMask1|askMask1|bidExch1|askExch1|bidTime|askTime|updateType|numStkLegs|numFutLegs|numOptLegs|userDefined|spreadClass|containsHedge|legBidPrc|legAskPrc|legBidSz|legAskSz|surfPrc|surfDelta|surfGamma|surfVega|surfWtVega|surfError|minExpiry|maxExpiry|minYears|maxYears|refUPrc|printPrice|printTime|printSize|printVolume|grpNum|securityDesc|filterId|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 = 'securityDesc: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 = 'SpreadBookMarkup'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'ticker|SRspreadID|priceFormat|bidPrice1|isBidPrice1Valid|askPrice1|isAskPrice1Valid|bidSize1|askSize1|bidMask1|askMask1|bidExch1|askExch1|bidTime|askTime|updateType|numStkLegs|numFutLegs|numOptLegs|userDefined|spreadClass|containsHedge|legBidPrc|legAskPrc|legBidSz|legAskSz|surfPrc|surfDelta|surfGamma|surfVega|surfWtVega|surfError|minExpiry|maxExpiry|minYears|maxYears|refUPrc|printPrice|printTime|printSize|printVolume|grpNum|securityDesc|filterId|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 = 'securityDesc: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 = 'ticker: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 = 'SpreadBookMarkup'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|SRspreadID|priceFormat|bidPrice1|isBidPrice1Valid|askPrice1|isAskPrice1Valid|bidSize1|askSize1|bidMask1|askMask1|bidExch1|askExch1|bidTime|askTime|updateType|numStkLegs|numFutLegs|numOptLegs|userDefined|spreadClass|containsHedge|legBidPrc|legAskPrc|legBidSz|legAskSz|surfPrc|surfDelta|surfGamma|surfVega|surfWtVega|surfError|minExpiry|maxExpiry|minYears|maxYears|refUPrc|printPrice|printTime|printSize|printVolume|grpNum|securityDesc|filterId|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'priceFormat|isBidPrice1Valid|isAskPrice1Valid|bidExch1|askExch1|updateType|userDefined|spreadClass|containsHedge'

# 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 = 'securityDesc: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 = 'SpreadBookMarkup'

# 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 = 'securityDesc: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)