Version: Upcoming

Schema: FutureMinuteBar (ID: 1160)

FutureMinuteBar records are created once per minute for all future markets (outrights and spreads). These records are visible in SRSE and are published to the SpiderRock elastic cluster at the same time.

METADATA

Attribute	Value
Topic	1160-archive-data
MLink Token	FutSummaryData

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

BODY

#	Field	Type	Comment
10=	fkey	ExpiryKey
100	date	string(10)	Trade Date
103	time	string(8)	Trade Time end of period (Bar)
106	prtOpen	double	Print at open of period (Bar)
109	prtHigh	double	High price during period (Bar)
112	prtLow	double	Low price during period (Bar)
115	prtLast	double	Print at close of period (Bar)
118	prtVWap	double	Period (Bar) VWap
121	prtVolume	int	Period (Bar) number of contracts
124	prtCount	int	Number of prints during the period
127	qteHiBid	double	Quote bid high
130	qteLoAsk	double	Quote ask low
133	qteTwap	double	Quote Twap
136	qteCount	int	Quote number of contracts
139	bid	double	Bid at the time of the print
142	ask	double	Ask at the time of the print
145	bidSz	int	Bid size at the time of print
148	askSz	int	Ask size at the time of print
151	width	float	reference point for expWidth (SR debug use)
154	isEOB	enum : YesNo	is end-of-bar (every 10 minutes)
157	isEOH	enum : YesNo	is end-of-hour
160	timestamp	DateTime	same as date + time

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 = 'FutureMinuteBar'

# 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=FutureMinuteBar'

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 = 'FutureMinuteBar'

# 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 = 'date|time|prtOpen|prtHigh|prtLow|prtLast|prtVWap|prtVolume|prtCount|qteHiBid|qteLoAsk|qteTwap|qteCount|bid|ask|bidSz|askSz|width|isEOB|isEOH|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 = 'time: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)

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=FutureMinuteBar' \
--data-urlencode 'view=date|time|prtOpen|prtHigh|prtLow|prtLast|prtVWap|prtVolume|prtCount|qteHiBid|qteLoAsk|qteTwap|qteCount|bid|ask|bidSz|askSz|width|isEOB|isEOH|timestamp' \
--data-urlencode 'where=time:eq:ExampleString'

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 = 'FutureMinuteBar'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'date|time|prtOpen|prtHigh|prtLow|prtLast|prtVWap|prtVolume|prtCount|qteHiBid|qteLoAsk|qteTwap|qteCount|bid|ask|bidSz|askSz|width|isEOB|isEOH|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 = 'time: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 = 'date: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=FutureMinuteBar' \
--data-urlencode 'view=date|time|prtOpen|prtHigh|prtLow|prtLast|prtVWap|prtVolume|prtCount|qteHiBid|qteLoAsk|qteTwap|qteCount|bid|ask|bidSz|askSz|width|isEOB|isEOH|timestamp' \
--data-urlencode 'where=time:eq:ExampleString' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=date: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 = 'FutureMinuteBar'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'date|time|prtOpen|prtHigh|prtLow|prtLast|prtVWap|prtVolume|prtCount|qteHiBid|qteLoAsk|qteTwap|qteCount|bid|ask|bidSz|askSz|width|isEOB|isEOH|timestamp'

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

# 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 = 'time: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)

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=FutureMinuteBar' \
--data-urlencode 'measure=date|time|prtOpen|prtHigh|prtLow|prtLast|prtVWap|prtVolume|prtCount|qteHiBid|qteLoAsk|qteTwap|qteCount|bid|ask|bidSz|askSz|width|isEOB|isEOH|timestamp' \
--data-urlencode 'group=isEOB|isEOH' \
--data-urlencode 'where=time:eq:ExampleString'

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 = 'FutureMinuteBar'

# 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 = 'time: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)

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=FutureMinuteBar' \
--data-urlencode 'where=time:eq:ExampleString'

Schema: FutureMinuteBar (ID: 1160)

METADATA​

BODY​

Get Schema API Call​

Get Msg API Call​

Get Msgs API Call​

Get Aggregate API Call​

Get Count API Call​