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Version: Upcoming

Schema: NoticeExecReport (ID: 2475)

METADATA​

AttributeValue
Topic2450-liquidity-notice
MLink TokenSRATS
SRSE ProductSRTrade

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

BODY​

#FieldTypeComment
10=noticeNumberlongAuctionNotice.noticeNumber
11=baseParentNumberlong
100tickerTickerKeyunderlier ticker
103tradeDateDateKey
106accntstring(16)SR Accnt
109clientFirmstring(16)SR ClientFirm
112noticeDttmDateTimeeither notice create datetime or notice arrival@SR datetime (high precision)
115responseIdstring(24)from NoticeResponse.responseId (most recently processed response to noticeNumber for this accnt/clientFirm pair)
118respOriginenum : SpdrSourceAutoResponder, MLINK, FIX, ICEChat, TradeAp responders
121stageTypeenum : SpdrStageTyperesponse staged or not
124auctionTypeenum : AuctionTypeExch Exposure, Exch Price Improve, Exch Facilitation, Exch Solicitation, SR ATS Block, SR ATS Flash
127auctionSourceenum : AuctionSourceSource of the auction notice (eg. SRC, CBOE, MIAX, etc.)
130respDttmDateTimeresponse arrival dttm (high precision)
133respSideenum : BuySell
136respSizeint
139respActiveSizeintactive response order size (zero for ActiveHold)
142respPricedoubleeffRespPrice = respPrice + de * (uMid - refUPrc) + 0.5 * ga * (uMid - refUPrc)^2
145refUPrcdoublereference price for tied to underlier orders (mid-market tie) (block auctions only)
148refDefloatreference delta for tied to underlier orders (zero if tie is not desired) (block auctions only)
151refGafloatreference gamma for tied to underlier orders (zero if tie is not desired) (block auctions only)
154roundRuleenum : RoundRuleExact (100%) or Fuzzy (90%) [default is Exact] (block auctions only)
157stepUpIncrdoubleadditional price increment (best price) (typically only used if auction is competitive)
160riskGroupIdlongany auction response is associated with this riskGroupID (and SpdrRiskGroupControl)
163strategystring(32)user strategy field (visible on SR tools)
166userData1text1user data field (free text) (from NoticeResponse)
169respStatusenum : SpdrOrderStatus
172respDetailtext1
175lastUPrcdoubleeffective uPrc (mid-market) from last trial pass
178lastTrialPrcdoubleeffective response price from last trial pass
181leavesQtyintopen order quantity
184cumFillQtyintpkg cumFillQty if MLeg
187avgFillPricedoublepkg avgFillPrice if MLeg
190addLatencydoublelatency from notice arrival@SR to external response send (in seconds) OR latency from notice create to response accepted (in seconds) (SRC Auctions)
193ackLatencydoublelatency from external response send to external response ack (FRT) (in seconds) (external auctions only)
196numOptLegsintnumber of option legs
199spreadClassenum : SpreadClassspread class (eg. Call, Put, RevCon, Box, JRoll, etc.)
202spreadFlavorenum : SpreadFlavorspread flavor (Normal, Flipped) of this order
205containsHedgeenum : YesNoif this order contains a stock/future leg
208containsFlexenum : YesNoif this order contains flex leg(s)
211containsMultiHedgeenum : YesNocontains MultiHedge (corp action adjusted) options
238responseResultenum : NoticeResult
241responseTimeshortnotice response arrival time (milliseconds since auction start)
244prtPricedoublereported print price (pkgPrice if MLeg)
247prtSizeintreported print size (pgkSize if MLeg)
250prtTimeDateTimereported print time (1st print if MLeg)
253prtUBiddoublebest estimate of uBid @ auction print time
256prtUAskdoublebest estimate of uAsk @ auction print time
259timestampDateTime

REPEATING FIELDS​

OrderLegs

FieldTypeComment
217secKeyOptionKey
220secTypeenum : SpdrKeyType
223sideenum : BuySell
226ratioint
229positionTypeenum : LegPositionType
232legCumFillQtyint
235legAvgFillPricedouble

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 = 'NoticeExecReport'

# 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 = 'NoticeExecReport'

# 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 = 'ticker|tradeDate|accnt|clientFirm|noticeDttm|responseId|respOrigin|stageType|auctionType|auctionSource|respDttm|respSide|respSize|respActiveSize|respPrice|refUPrc|refDe|refGa|roundRule|stepUpIncr|riskGroupId|strategy|userData1|respStatus|respDetail|lastUPrc|lastTrialPrc|leavesQty|cumFillQty|avgFillPrice|addLatency|ackLatency|numOptLegs|spreadClass|spreadFlavor|containsHedge|containsFlex|containsMultiHedge|responseResult|responseTime|prtPrice|prtSize|prtTime|prtUBid|prtUAsk|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 = '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)

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 = 'NoticeExecReport'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'ticker|tradeDate|accnt|clientFirm|noticeDttm|responseId|respOrigin|stageType|auctionType|auctionSource|respDttm|respSide|respSize|respActiveSize|respPrice|refUPrc|refDe|refGa|roundRule|stepUpIncr|riskGroupId|strategy|userData1|respStatus|respDetail|lastUPrc|lastTrialPrc|leavesQty|cumFillQty|avgFillPrice|addLatency|ackLatency|numOptLegs|spreadClass|spreadFlavor|containsHedge|containsFlex|containsMultiHedge|responseResult|responseTime|prtPrice|prtSize|prtTime|prtUBid|prtUAsk|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 = '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 = 'ticker: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 = 'NoticeExecReport'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|tradeDate|accnt|clientFirm|noticeDttm|responseId|respOrigin|stageType|auctionType|auctionSource|respDttm|respSide|respSize|respActiveSize|respPrice|refUPrc|refDe|refGa|roundRule|stepUpIncr|riskGroupId|strategy|userData1|respStatus|respDetail|lastUPrc|lastTrialPrc|leavesQty|cumFillQty|avgFillPrice|addLatency|ackLatency|numOptLegs|spreadClass|spreadFlavor|containsHedge|containsFlex|containsMultiHedge|responseResult|responseTime|prtPrice|prtSize|prtTime|prtUBid|prtUAsk|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'respOrigin|stageType|auctionType|auctionSource|respSide|roundRule|respStatus|spreadClass|spreadFlavor|containsHedge|containsFlex|containsMultiHedge|responseResult'

# 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)

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 = 'NoticeExecReport'

# 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)