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Version: Staging

Schema: FutureQuoteProbability (ID: 4260)

METADATA​

AttributeValue
Topic4255-probabilities
MLink TokenFutProbModel
SRSE ProductSRLive, SRAnalytics

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

BODY​

#FieldTypeComment
10=fkeyExpiryKey
11=stateModelenum : StateModel
100bidPricedoublebest bid price
103askPricedoublebest ask price
106bidSizeintcumulative size @ bid price
109askSizeintcumulative size @ ask price
112bidTakeProbfloatbid take probability of current nbbo market (zero exchange fee) [average size print]
115askTakeProbfloatask take probability of current nbbo market (zero exchange fee) [average size print]
118bidTakeRvenum : PredictResultmodel result code
121askTakeRvenum : PredictResultmodel result code
124bidImprPricefloattrial improvement price (usually 1 tick or 1/2 spread inside bidPrice)
127askImprPricefloattrial improvement price (usually 1 tick or 1/2 spread inside askPrice)
130bidTkImProbfloatbid take imprv probability of current nbbo market (zero exchange fee) [prob to sell (take) @ bid + imprIncrement]
133askTkImProbfloatask take imprv probability of current nbbo market (zero exchange fee) [prob to buy (take) @ ask - imprIncrement]
136bidTkImRvenum : PredictResultmodel result code
139askTkImRvenum : PredictResultmodel result code
142midPricedoubleprice corresponding to 0.50 probability
145avgBidLink1mfloataverage bid link value (~1 min)
148maeBidLink1mfloatbid link value mean abs err (~10 min)
151avgAskLink1mfloataverage ask link value (~1 min)
154maeAskLink1mfloatask link value mean abs err (~1 min)
157avgBidLink10mfloataverage bid link value (~10 min)
160maeBidLink10mfloatbid link value mean abs err (~10 min)
163avgAskLink10mfloataverage ask link value (~10 min)
166maeAskLink10mfloatask link value mean abs err (~10 min)
169avgMktWidth1mfloataskPrice - bidPrice (~1 min)
172avgMktWidth10mfloataskPrice - bidPrice (~10 min)
175counterintrecord update counter (zero @ start of period;per fkey)
178qpSourceenum : QPSource
181srcTimestamplongfeed timestamp from the packet
184netTimestamplonginbound packet PTP timestamp from SR gateway switch (from FutureBookQuote);zero = size only change
187smsTimestamplongstate model server timestamp (just before publish)

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 = 'FutureQuoteProbability'

# 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 = 'FutureQuoteProbability'

# 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 = 'bidPrice|askPrice|bidSize|askSize|bidTakeProb|askTakeProb|bidTakeRv|askTakeRv|bidImprPrice|askImprPrice|bidTkImProb|askTkImProb|bidTkImRv|askTkImRv|midPrice|avgBidLink1m|maeBidLink1m|avgAskLink1m|maeAskLink1m|avgBidLink10m|maeBidLink10m|avgAskLink10m|maeAskLink10m|avgMktWidth1m|avgMktWidth10m|counter|qpSource|srcTimestamp|netTimestamp|smsTimestamp'

# 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 = 'FutureQuoteProbability'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'bidPrice|askPrice|bidSize|askSize|bidTakeProb|askTakeProb|bidTakeRv|askTakeRv|bidImprPrice|askImprPrice|bidTkImProb|askTkImProb|bidTkImRv|askTkImRv|midPrice|avgBidLink1m|maeBidLink1m|avgAskLink1m|maeAskLink1m|avgBidLink10m|maeBidLink10m|avgAskLink10m|maeAskLink10m|avgMktWidth1m|avgMktWidth10m|counter|qpSource|srcTimestamp|netTimestamp|smsTimestamp'

# 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 = 'bidPrice: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 = 'FutureQuoteProbability'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'bidPrice|askPrice|bidSize|askSize|bidTakeProb|askTakeProb|bidTakeRv|askTakeRv|bidImprPrice|askImprPrice|bidTkImProb|askTkImProb|bidTkImRv|askTkImRv|midPrice|avgBidLink1m|maeBidLink1m|avgAskLink1m|maeAskLink1m|avgBidLink10m|maeBidLink10m|avgAskLink10m|maeAskLink10m|avgMktWidth1m|avgMktWidth10m|counter|qpSource|srcTimestamp|netTimestamp|smsTimestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'bidTakeRv|askTakeRv|bidTkImRv|askTkImRv|qpSource'

# 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 = 'FutureQuoteProbability'

# 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)