Schema: SpdrChildExecutionSummary (ID: 2050)

SpdrChildExecutionSummary records are created at the end of a trading period and contain a summary of trading activity for the period; Aggregation of SpdrParentExecution x SpdrChildOrder (inner join) by clOrdId

METADATA

Attribute	Value
Topic	2020-core
MLink Token	Internal
MLink Endpoint	MLink-Live
SRSE Product

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

BODY

#	Field	Type	Default Value	Comment
10=	accnt	string(16)
11=	secType	enum : SpdrKeyType
12=	tickerSrc	enum : TickerSrc
13=	spdrSource	enum : SpdrSource
14=	childShape	enum : SpdrOrderShape
15=	mktWidthCode	enum : MktWidthCode		from (SpdrChildOrder.nbboAsk - SpdrChildOrde.nbboBid)
16=	algoHandler	enum : ChildHandler
17=	routingCode	string(65)
22=	execBrkrCode	string(16)
23=	orderExDest	string(16)
20=	tradingPeriod	DateKey
21=	clientFirm	string(16)		SR client firm
100	numChildExecutions	int
103	sumChildPrcImprv	float		fill price to cross price at time of fill report
106	sumChildFillQty	int
109	sumChildFillVega	float
112	sumChildM1PnL	float		fill price to mid mkt (+1 minute)
115	sumChildM10PnL	float		fill price to mid mkt (+10 minutes)
118	sumChildExchFee	float
121	sumChildBrkrFee	float
124	numLimitSlippage	int		number of fills with limit slippage
127	sumLimitSlippage	float		limit slippage sum (if any)
130	numFillProb	int		fill probability at time of fill report
133	sumFillProb	float
136	numSurfaceEdge	int		surface edge at time of fill report
139	sumSurfaceEdge	float

Get Schema API Call

Python

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 = 'SpdrChildExecutionSummary'

# 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

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=SpdrChildExecutionSummary'

Get Msg API Call

Python

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 = 'SpdrChildExecutionSummary'

# 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 = 'numChildExecutions|sumChildPrcImprv|sumChildFillQty|sumChildFillVega|sumChildM1PnL|sumChildM10PnL|sumChildExchFee|sumChildBrkrFee|numLimitSlippage|sumLimitSlippage|numFillProb|sumFillProb|numSurfaceEdge|sumSurfaceEdge'

# 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 = 'accnt: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

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=SpdrChildExecutionSummary' \
--data-urlencode 'view=numChildExecutions|sumChildPrcImprv|sumChildFillQty|sumChildFillVega|sumChildM1PnL|sumChildM10PnL|sumChildExchFee|sumChildBrkrFee|numLimitSlippage|sumLimitSlippage|numFillProb|sumFillProb|numSurfaceEdge|sumSurfaceEdge' \
--data-urlencode 'where=accnt:eq:ExampleString'

Get Msgs API Call

Python

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 = 'SpdrChildExecutionSummary'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'numChildExecutions|sumChildPrcImprv|sumChildFillQty|sumChildFillVega|sumChildM1PnL|sumChildM10PnL|sumChildExchFee|sumChildBrkrFee|numLimitSlippage|sumLimitSlippage|numFillProb|sumFillProb|numSurfaceEdge|sumSurfaceEdge'

# 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 = 'accnt: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 = 'numChildExecutions: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

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=SpdrChildExecutionSummary' \
--data-urlencode 'view=numChildExecutions|sumChildPrcImprv|sumChildFillQty|sumChildFillVega|sumChildM1PnL|sumChildM10PnL|sumChildExchFee|sumChildBrkrFee|numLimitSlippage|sumLimitSlippage|numFillProb|sumFillProb|numSurfaceEdge|sumSurfaceEdge' \
--data-urlencode 'where=accnt:eq:ExampleString' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=numChildExecutions:ASC'

Get Aggregate API Call

Python

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 = 'SpdrChildExecutionSummary'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'numChildExecutions|sumChildPrcImprv|sumChildFillQty|sumChildFillVega|sumChildM1PnL|sumChildM10PnL|sumChildExchFee|sumChildBrkrFee|numLimitSlippage|sumLimitSlippage|numFillProb|sumFillProb|numSurfaceEdge|sumSurfaceEdge'

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

# 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 = 'accnt: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

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=SpdrChildExecutionSummary' \
--data-urlencode 'measure=numChildExecutions|sumChildPrcImprv|sumChildFillQty|sumChildFillVega|sumChildM1PnL|sumChildM10PnL|sumChildExchFee|sumChildBrkrFee|numLimitSlippage|sumLimitSlippage|numFillProb|sumFillProb|numSurfaceEdge|sumSurfaceEdge' \
--data-urlencode 'group=' \
--data-urlencode 'where=accnt:eq:ExampleString'

Get Count API Call

Python

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 = 'SpdrChildExecutionSummary'

# 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 = 'accnt: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

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=SpdrChildExecutionSummary' \
--data-urlencode 'where=accnt:eq:ExampleString'