Schema: AtsDegrossRevConSpreads (ID: 2355)

Published by the dedicated degrossing execution engine. Republished periodically with updated SR values.

Final publish at auction time reflects the exact values used by the matching algorithm.

Clients consult this to know what is available and what SR reference values are.

See DEGROSSING_PLAN_2.1.md section 5.1 and 11.2 for specification.

METADATA

Attribute	Value
Topic	2270-execution-engine
MLink Token	ClientTrading
MLink Endpoint	MLink-Live
SRSE Product	SRTrade

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

BODY

#	Field	Type	Default Value	Comment
10=	ticker	TickerKey		underlier ticker
11=	expiry	DateKey		flex option expiry date
100	strike	double		SR-chosen sticky strike for this ticker
101	refUPrc	double		current reference underlier price (updated intraday)
102	iDays	int		interest days to expiry
110	srRate	double		SR reference financing rate
111	srSDiv	double		SR reference continuous dividend rate
112	srRcFairPrc	double		SR computed fair RevCon price (using SR values)
113	srClearingSDiv	double		prior auction's clearing SDIV (if any; 0 if no prior auction)
130	nextAuctionTime	DateTime		next scheduled auction time (updated after each cycle)
131	nextCutoffTime	DateTime		submission cutoff for next auction
132	auctionStatus	enum : AtsRevConAuctionStatus
133	lastAuctionTime	DateTime		most recent completed auction time (epoch if none today)
134	numAuctionsToday	int		auctions completed today
135	numAuctionsRemaining	int		auctions remaining in today's schedule
150	timestamp	DateTime
153	indicativeClearPrc	double		clearing price from the most recent solve (only meaningful when a cross exists; see buySize/sellSize)
156	indicativeClearSDiv	double		SDIV implied by indicativeClearPrc (SR rate/ddiv basis; 0 = no cross)
159	buySize	int		total open Buy (reversal / lend) size in this market
162	sellSize	int		total open Sell (conversion / borrow) size in this market
165	imbalance	int		signed imbalance = buySize - sellSize

REPEATING FIELDS

SRDDiv

#	Field	Type	Default Value	Comment
121	ddivExDate	DateKey		expected ex-date
122	ddivAmount	double		expected dividend amount per share
123	ddivSource	enum : DDivSource		Announced, Forecast, etc.

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 = 'AtsDegrossRevConSpreads'

# 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=AtsDegrossRevConSpreads'

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 = 'AtsDegrossRevConSpreads'

# 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 = 'strike|refUPrc|iDays|srRate|srSDiv|srRcFairPrc|srClearingSDiv|nextAuctionTime|nextCutoffTime|auctionStatus|lastAuctionTime|numAuctionsToday|numAuctionsRemaining|timestamp|indicativeClearPrc|indicativeClearSDiv|buySize|sellSize|imbalance'

# 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)

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=AtsDegrossRevConSpreads' \
--data-urlencode 'view=strike|refUPrc|iDays|srRate|srSDiv|srRcFairPrc|srClearingSDiv|nextAuctionTime|nextCutoffTime|auctionStatus|lastAuctionTime|numAuctionsToday|numAuctionsRemaining|timestamp|indicativeClearPrc|indicativeClearSDiv|buySize|sellSize|imbalance' \
--data-urlencode 'where='

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 = 'AtsDegrossRevConSpreads'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'strike|refUPrc|iDays|srRate|srSDiv|srRcFairPrc|srClearingSDiv|nextAuctionTime|nextCutoffTime|auctionStatus|lastAuctionTime|numAuctionsToday|numAuctionsRemaining|timestamp|indicativeClearPrc|indicativeClearSDiv|buySize|sellSize|imbalance'

# 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 = 'strike: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=AtsDegrossRevConSpreads' \
--data-urlencode 'view=strike|refUPrc|iDays|srRate|srSDiv|srRcFairPrc|srClearingSDiv|nextAuctionTime|nextCutoffTime|auctionStatus|lastAuctionTime|numAuctionsToday|numAuctionsRemaining|timestamp|indicativeClearPrc|indicativeClearSDiv|buySize|sellSize|imbalance' \
--data-urlencode 'where=' \
--data-urlencode 'limit=500' \
--data-urlencode 'order=strike: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 = 'AtsDegrossRevConSpreads'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'strike|refUPrc|iDays|srRate|srSDiv|srRcFairPrc|srClearingSDiv|nextAuctionTime|nextCutoffTime|auctionStatus|lastAuctionTime|numAuctionsToday|numAuctionsRemaining|timestamp|indicativeClearPrc|indicativeClearSDiv|buySize|sellSize|imbalance'

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

# 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)

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=AtsDegrossRevConSpreads' \
--data-urlencode 'measure=strike|refUPrc|iDays|srRate|srSDiv|srRcFairPrc|srClearingSDiv|nextAuctionTime|nextCutoffTime|auctionStatus|lastAuctionTime|numAuctionsToday|numAuctionsRemaining|timestamp|indicativeClearPrc|indicativeClearSDiv|buySize|sellSize|imbalance' \
--data-urlencode 'group=auctionStatus' \
--data-urlencode 'where='

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 = 'AtsDegrossRevConSpreads'

# 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)

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=AtsDegrossRevConSpreads' \
--data-urlencode 'where='