Schema: StockPrintSet (ID: 3060)
StockPrintSet records are created for each print and published to the SpiderRock elastic cluster 10 minutes later, when T+10M markup detail is available.
METADATA
Attribute | Value |
---|---|
Topic | 2990-market-data-stock |
MLink Token | SystemData |
SRSE Product | SRAnalytics |
Note: The symbol
=
next to a field number indicates that it is a primary key.
BODY
# | Field | Type | Comment |
---|---|---|---|
10= | ticker | TickerKey | |
11= | prtNumber | long | Unique print set identifier, will increment but not guaranteed to be sequential |
212 | updateType | enum : PrtUpdateType | |
103 | prtExch | enum : StkExch | print exch |
106 | prtSize | int | print size |
109 | prtPrice | float | print price level |
112 | prtClusterNum | int | incremental print cluster counter (one counter per ticker; used to group prints into clusters) |
115 | prtClusterSize | int | cumulative size of prints in this sequence (prints @ same or more aggressive price with less than 25 ms elapsing since first print; can span exchanges) |
118 | prtVolume | int | cumulative print size today |
121 | mrkPrice | float | last regular market print price |
124 | prtType | enum : StkPrintType | |
127 | prtCond1 | byte | print condition (from SIP feed) |
130 | prtCond2 | byte | |
133 | prtCond3 | byte | |
136 | prtCond4 | byte | |
139 | prtSide | enum : PrtSide | Print side: None; Mid; Bid; Ask |
142 | prtTimestamp | long | exchange high precision timestamp (if available) |
145 | netTimestamp | long | inbound print packet PTP timestamp from SR gateway switch;usually syncronized with facility grandfather clock |
148 | timestamp | DateTime | |
151 | bidPrice | float | nbbo bid @ print arrival time |
154 | askPrice | float | nbbo ask @ print arrival time |
157 | bidSize | int | |
160 | askSize | int | |
163 | bidPrice2 | float | nbbo 2nd best bid @ print arrival time |
166 | askPrice2 | float | nbbo 2nd best ask @ print arrival time |
169 | bidSize2 | int | nbbo 2nd best bid size |
172 | askSize2 | int | nbbo 2nd best ask size |
175 | prtProbability | float | probability that buying prtSize shares @ prtPrice will have positive m1 pnl (prtPriceM1 >= prtPrice) [recorded at time of print] |
184 | bidPriceM1 | float | Bid price +1 minute |
187 | askPriceM1 | float | Ask price +1 minute |
190 | prtPriceM1 | float | market price +1 minute [mid-quote if not intervening prints;most recent print otherwise] |
193 | pnlM1 | float | pnl after 1 minute |
196 | pnlM1Err | enum : YesNo |
Get Schema API Call
- Python
- cUrl
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 = 'StockPrintSet'
# 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)
curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getschema' \
--data-urlencode 'msgType=StockPrintSet'
Get Msg API Call
- Python
- cUrl
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 = 'StockPrintSet'
# 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 = 'updateType|prtExch|prtSize|prtPrice|prtClusterNum|prtClusterSize|prtVolume|mrkPrice|prtType|prtCond1|prtCond2|prtCond3|prtCond4|prtSide|prtTimestamp|netTimestamp|timestamp|bidPrice|askPrice|bidSize|askSize|bidPrice2|askPrice2|bidSize2|askSize2|prtProbability|bidPriceM1|askPriceM1|prtPriceM1|pnlM1|pnlM1Err'
# 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)
curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getmsg' \
--data-urlencode 'pkey=ReplaceThisValueForTheQueryToWork' \
--data-urlencode 'msgType=StockPrintSet' \
--data-urlencode 'view=updateType|prtExch|prtSize|prtPrice|prtClusterNum|prtClusterSize|prtVolume|mrkPrice|prtType|prtCond1|prtCond2|prtCond3|prtCond4|prtSide|prtTimestamp|netTimestamp|timestamp|bidPrice|askPrice|bidSize|askSize|bidPrice2|askPrice2|bidSize2|askSize2|prtProbability|bidPriceM1|askPriceM1|prtPriceM1|pnlM1|pnlM1Err' \
--data-urlencode 'where='
Get Msgs API Call
- Python
- cUrl
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 = 'StockPrintSet'
# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'updateType|prtExch|prtSize|prtPrice|prtClusterNum|prtClusterSize|prtVolume|mrkPrice|prtType|prtCond1|prtCond2|prtCond3|prtCond4|prtSide|prtTimestamp|netTimestamp|timestamp|bidPrice|askPrice|bidSize|askSize|bidPrice2|askPrice2|bidSize2|askSize2|prtProbability|bidPriceM1|askPriceM1|prtPriceM1|pnlM1|pnlM1Err'
# 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 = 'updateType: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)
curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getmsgs' \
--data-urlencode 'msgType=StockPrintSet' \
--data-urlencode 'view=updateType|prtExch|prtSize|prtPrice|prtClusterNum|prtClusterSize|prtVolume|mrkPrice|prtType|prtCond1|prtCond2|prtCond3|prtCond4|prtSide|prtTimestamp|netTimestamp|timestamp|bidPrice|askPrice|bidSize|askSize|bidPrice2|askPrice2|bidSize2|askSize2|prtProbability|bidPriceM1|askPriceM1|prtPriceM1|pnlM1|pnlM1Err' \
--data-urlencode 'where=' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=updateType:ASC'
Get Aggregate API Call
- Python
- cUrl
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 = 'StockPrintSet'
# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'updateType|prtExch|prtSize|prtPrice|prtClusterNum|prtClusterSize|prtVolume|mrkPrice|prtType|prtCond1|prtCond2|prtCond3|prtCond4|prtSide|prtTimestamp|netTimestamp|timestamp|bidPrice|askPrice|bidSize|askSize|bidPrice2|askPrice2|bidSize2|askSize2|prtProbability|bidPriceM1|askPriceM1|prtPriceM1|pnlM1|pnlM1Err'
# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'updateType|prtExch|prtType|prtSide|pnlM1Err'
# 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 '$'
WHERE = ''
# Request Parameters for getaggregate Of The MsgType
params = {
# Required Parameters
"apiKey": API_KEY,
"cmd": 'getaggregate',
"msgType": MSG_TYPE,
"measure": MEASURE,
"group": GROUP,
# Optional Parameters
"where": WHERE,
}
response = requests.get(MLINK_PROD_URL, params=params)
curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getaggregate' \
--data-urlencode 'msgType=StockPrintSet' \
--data-urlencode 'measure=updateType|prtExch|prtSize|prtPrice|prtClusterNum|prtClusterSize|prtVolume|mrkPrice|prtType|prtCond1|prtCond2|prtCond3|prtCond4|prtSide|prtTimestamp|netTimestamp|timestamp|bidPrice|askPrice|bidSize|askSize|bidPrice2|askPrice2|bidSize2|askSize2|prtProbability|bidPriceM1|askPriceM1|prtPriceM1|pnlM1|pnlM1Err' \
--data-urlencode 'group=updateType|prtExch|prtType|prtSide|pnlM1Err' \
--data-urlencode 'where='
Get Count API Call
- Python
- cUrl
import requests
# Replace with your desired MLINK URL
MLINK_PROD_URL = 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json'
# Replace with your MLINK API Key
API_KEY = 'XXXX-XXXX-XXXX-XXXX'
# Replace with your desired MsgType.
MSG_TYPE = 'StockPrintSet'
# Replace with your desired where clause.
# a string in the form "field1:eq:value" or "(field1:ne:value1 & field1:ne:value2)
# "WHERE" clauses can contain the following comparison symbols:
# :gt: is greater than
# :ge: is greater than or equal to
# :lt: is less than
# :le: is less than or equal to
# :eq: is equal
# :ne: is not equal
# %26 is an AND statement
# | is an OR statement
# :sw: is starts with
# :ew: is ends with
# :cv: is contains values
# :nv: is does not contain value
# :cb: is contained between (two dates for instance) separated by '$'
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)
curl -G 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=getcount' \
--data-urlencode 'msgType=StockPrintSet' \
--data-urlencode 'where='