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Version: Upcoming

Schema: SpdrStreetExecution (ID: 1555)

SpdrStreetExecution records are published by SpdrStreetGateways when child order fills are received. These records update if busted or corrected by a downstream venue.

METADATA​

AttributeValue
Topic1525-child-orders
MLink TokenInternal
MLink EndpointMLink-Live
SRSE Product

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

BODY​

#FieldTypeDefault ValueComment
10=fillExecIdstring(48)ExecId<17> from execReport
11=fillExecRefIdstring(32)
12=fillLegRefIdstring(24)
13=fillMessageIdstring(24)
14=fillLastMktstring(6)
15=routingCodestring(65)
100accntstring(16)
103clientFirmstring(16)
106parentNumberlongparent number (if any available)
109baseParentNumberlongbase parent number (start of parent cxl/replace chain)
112clOrdIdstring(16)SR child order number (EE) [hex] (join w/SpdrStreetOrder.pkey.clOrdId)
115baseClOrdIdlongEE side base clOrdId (join w/SpdrChildOrder.pkey.clOrdId)
118orderShapeenum : SpdrOrderShape
293orderExDeststring(16)
124secKeyOptionKeyfrom child order
127secTypeenum : SpdrKeyTypefrom child order
130spdrSourceenum : SpdrSourcefrom child order
133groupingCodelongfrom child order
136serverCodestring(32)StreetGW ServerCode
139upSenderCompIdstring(32)senderCompID/targetCompID of the StreetGW -> EE session
142upTargetCompIdstring(32)
145upSenderSubIdstring(20)senderSubID/targetSubID of the StreetGW -> EE session
148upTargetSubIdstring(20)
151streetSessionDateDateTime
154streetSessionCounterbyte
157streetSeqNumOutint
160streetClOrdIdstring(24)
163orderIdstring(24)
166templateNamestring(24)outbound order rewrite template name
169exchSecuritystring(12)Exchange symbol description necessary for translated securities
172securityDescstring(24)
175orderSideenum : BuySell
178orderSizeint
181orderPricedouble
184exchOrderPricedouble
187exchDisplayFactordouble
190priceFormatstring(4)
193timeInForceenum : TimeInForce
196orderTypeenum : SpdrOrderType
199isPegLimitenum : YesNoYes if order sent to exchange with a Market or 'Peg' style limit (returned in exec report)
202isHeldenum : YesNoYes if order sent to exchange marked "Held"
205isDirectedenum : YesNoYes if order sent to exchange directed to a specific exchange, as opposed to a smart router
208fillClOrdIdstring(24)
211fillCrossIdstring(24)
214fillQuoteIdstring(24)
217fillSymboltext1
220fillSecurityIDtext1fix tag 48
223fillSecIDSourcestring(4)fix tag 22
226fillSecurityDesctext1fix tag 107
229fillSecurityTypestring(4)fix tag 167
232fillMaturityDateDateTimecomposite of 541, 200, 205,
235fillStrikedoublefix tag 202
238fillPutOrCallstring(2)fix tag 201
241execTypestring(4)
244execTransTypestring(4)
247versionbytecancel/correct version number (initial fill is version=1)
250fillDttmDateTimefill DateTime (from SRDateTime)
253fillAccounttext1
256fillSidestring(6)fill side (from execReport.side)
259fillSizeintfill size (from execReport.lastSize)
262fillPricedoublefill price (from execReport.lastPrice)
265fillTransactDttmDateTimefill DateTime (from execReport.fillDttm)
268fillSRLiqTagstring(2)fill SR normalized liquidity tag
271fillExchLiqTagstring(4)fill exchange liquidity code
274fillExchDetailtext1other fix tags (tag:value#tag:value) [additional detail used for analysis]
277fillFirmTypestring(16)fill firm type (as reported from street side)
280fillExecBrokerstring(16)fill execution broker (as reported from street side)
283fillOrderCapacitystring(4)fill order capacity (as reported from street side)
286fillStreetTexttext1
294completionTypeenum : CompletionTypeNone, DAC, POC, TAS, TACO, BTIC
295completionStateenum : CompletionState
296completionPricedoublecompletion trade price (final trade price)
297completionSecKeyOptionKeyfinal settlement secKey (contract that DAC, TAS, TACO, etc. will convert to; might not be valid until completed)
298completionSecTypeenum : SpdrKeyTypeusually Future or Option (None if not yet valid)
289sgwTimestamplongstreet gateway arrival timestamp
292timestampDateTime

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 = 'SpdrStreetExecution'

# 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 = 'SpdrStreetExecution'

# 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 = 'accnt|clientFirm|parentNumber|baseParentNumber|clOrdId|baseClOrdId|orderShape|orderExDest|secKey|secType|spdrSource|groupingCode|serverCode|upSenderCompId|upTargetCompId|upSenderSubId|upTargetSubId|streetSessionDate|streetSessionCounter|streetSeqNumOut|streetClOrdId|orderId|templateName|exchSecurity|securityDesc|orderSide|orderSize|orderPrice|exchOrderPrice|exchDisplayFactor|priceFormat|timeInForce|orderType|isPegLimit|isHeld|isDirected|fillClOrdId|fillCrossId|fillQuoteId|fillSymbol|fillSecurityID|fillSecIDSource|fillSecurityDesc|fillSecurityType|fillMaturityDate|fillStrike|fillPutOrCall|execType|execTransType|version|fillDttm|fillAccount|fillSide|fillSize|fillPrice|fillTransactDttm|fillSRLiqTag|fillExchLiqTag|fillExchDetail|fillFirmType|fillExecBroker|fillOrderCapacity|fillStreetText|completionType|completionState|completionPrice|completionSecKey|completionSecType|sgwTimestamp|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 = 'fillExecId: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 = 'SpdrStreetExecution'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'accnt|clientFirm|parentNumber|baseParentNumber|clOrdId|baseClOrdId|orderShape|orderExDest|secKey|secType|spdrSource|groupingCode|serverCode|upSenderCompId|upTargetCompId|upSenderSubId|upTargetSubId|streetSessionDate|streetSessionCounter|streetSeqNumOut|streetClOrdId|orderId|templateName|exchSecurity|securityDesc|orderSide|orderSize|orderPrice|exchOrderPrice|exchDisplayFactor|priceFormat|timeInForce|orderType|isPegLimit|isHeld|isDirected|fillClOrdId|fillCrossId|fillQuoteId|fillSymbol|fillSecurityID|fillSecIDSource|fillSecurityDesc|fillSecurityType|fillMaturityDate|fillStrike|fillPutOrCall|execType|execTransType|version|fillDttm|fillAccount|fillSide|fillSize|fillPrice|fillTransactDttm|fillSRLiqTag|fillExchLiqTag|fillExchDetail|fillFirmType|fillExecBroker|fillOrderCapacity|fillStreetText|completionType|completionState|completionPrice|completionSecKey|completionSecType|sgwTimestamp|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 = 'fillExecId: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 = 'accnt: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 = 'SpdrStreetExecution'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'accnt|clientFirm|parentNumber|baseParentNumber|clOrdId|baseClOrdId|orderShape|orderExDest|secKey|secType|spdrSource|groupingCode|serverCode|upSenderCompId|upTargetCompId|upSenderSubId|upTargetSubId|streetSessionDate|streetSessionCounter|streetSeqNumOut|streetClOrdId|orderId|templateName|exchSecurity|securityDesc|orderSide|orderSize|orderPrice|exchOrderPrice|exchDisplayFactor|priceFormat|timeInForce|orderType|isPegLimit|isHeld|isDirected|fillClOrdId|fillCrossId|fillQuoteId|fillSymbol|fillSecurityID|fillSecIDSource|fillSecurityDesc|fillSecurityType|fillMaturityDate|fillStrike|fillPutOrCall|execType|execTransType|version|fillDttm|fillAccount|fillSide|fillSize|fillPrice|fillTransactDttm|fillSRLiqTag|fillExchLiqTag|fillExchDetail|fillFirmType|fillExecBroker|fillOrderCapacity|fillStreetText|completionType|completionState|completionPrice|completionSecKey|completionSecType|sgwTimestamp|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'orderShape|secType|spdrSource|orderSide|timeInForce|orderType|isPegLimit|isHeld|isDirected|completionType|completionState|completionSecType'

# 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 = 'fillExecId: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 = 'SpdrStreetExecution'

# 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 = 'fillExecId: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)