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Version: Staging

Schema: FutureCloseMark (ID: 3120)

FutureCloseMark records are published immediately after the market close - 5 min and again when exchanges publish official marks.

FutureCloseMark records are published to the SpiderRock elastic cluster when clsMarkState=Final

METADATA

AttributeValue
Topic3120-market-marks
MLink TokenFutMarkData
SRSE ProductSRLive, SRAnalytics

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

BODY

#FieldTypeComment
10=fkeyExpiryKey
100tradeDateDateKey
103clsMarkStateenum : ClsMarkStatePreview or Final
106opnPrcdoubleOpen price (start of regular hours)
109minPrcdoubleLow price (during regular hours)
112maxPrcdoubleHigh price (during regular hours)
115openInterestintOpen interest
118prtCountintPrint count (entire trading period)
121prtVolumeintPrint volume (entire trading period)
124realizedCntintnumber of minute bar segments used in realizedVar calc
158realizedVoldoublerealizedVar = SQRT: SUM[ LOG( qteTwap(T) / qteTwap(T+1) ) ^ 2 ] / realizedCnt @ 1 minute intervals during market hours
130avgMktSizefloatAverage market size
133avgMktWidthfloatAverage market width
136bidPrcdoublebid price (close - 5 min)
139askPrcdoubleask price (close - 5 min)
142srClsPrcdoubleSR close mark (close - 5 min)
145closePrcdoubleofficial exchange closing mark (or last print)
148hasSRClsPrcenum : YesNosrClsPrc is valid
151hasClosePrcenum : YesNoclosePrc is valid; otherwise is last print
154srCloseMarkDttmDateTime(close - 5 min) date/time
157timestampDateTimerecord publish/update timestamp

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 = 'FutureCloseMark'

# 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 = 'FutureCloseMark'

# 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 = 'tradeDate|clsMarkState|opnPrc|minPrc|maxPrc|openInterest|prtCount|prtVolume|realizedCnt|realizedVol|avgMktSize|avgMktWidth|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|srCloseMarkDttm|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 = ''

# 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 = 'FutureCloseMark'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'tradeDate|clsMarkState|opnPrc|minPrc|maxPrc|openInterest|prtCount|prtVolume|realizedCnt|realizedVol|avgMktSize|avgMktWidth|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|srCloseMarkDttm|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 = ''

# 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 = 'tradeDate: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 = 'FutureCloseMark'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'tradeDate|clsMarkState|opnPrc|minPrc|maxPrc|openInterest|prtCount|prtVolume|realizedCnt|realizedVol|avgMktSize|avgMktWidth|bidPrc|askPrc|srClsPrc|closePrc|hasSRClsPrc|hasClosePrc|srCloseMarkDttm|timestamp'

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

# 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 = 'FutureCloseMark'

# 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)