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Version: Upcoming

Schema: NoticeExecReport (ID: 2475)

METADATA​

AttributeValue
Topic2450-liquidity-notice
MLink TokenClientTrading
SRSE ProductSRTrade

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

BODY​

#FieldTypeDefault ValueComment
13=noticeNumberlongAuctionNotice.noticeNumber
14=baseParentNumberlong
125tickerTickerKeyunderlier ticker
126tradeDateDateKey
139accntstring(16)SR Accnt
140clientFirmstring(16)SR ClientFirm
141noticeDttmDateTimeeither notice create datetime or notice arrival@SR datetime (high precision)
100responseIdstring(24)from NoticeResponse.responseId (most recently processed response to noticeNumber for this accnt/clientFirm pair)
158spdrSourceenum : SpdrSourceAutoResponder, MLINK, FIX, ICEChat, TradeAp responders
101stageTypeenum : SpdrStageTypeats order staged or not
143auctionTypeenum : AuctionTypeExch Exposure, Exch Price Improve, Exch Facilitation, Exch Solicitation, SR ATS Block, SR ATS Flash
144auctionSourceenum : AuctionSourceSource of the auction notice (eg. SRC, CBOE, MIAX, etc.)
159createDttmDateTimeats order arrival dttm (high precision)
160sideenum : BuySell
161sizeint
162activeSizeintactive order size (zero for ActiveHold)
163reachRuleenum : ReachRulesize condition
164refPricedoubleeffPrice = price + de * (uMid - refUPrc) + 0.5 * ga * (uMid - refUPrc)^2
106refUPrcdoublereference price for tied to underlier orders
165uRefTypeenum : URefTypetype of reference price (uBid, uAsk, uMid)
107refDefloatreference delta for tied to underlier orders
108refGafloatreference gamma for tied to underlier orders
128roundRuleenum : RoundRuleExact (100%) or Fuzzy (90%) [default is Exact]
129stepUpIncrdoubleadditional price increment (best price) (only used if auction is competitive)
109riskGroupIdlongassociated riskGroupID (and SpdrRiskGroupControl) (if any)
110strategystring(32)user strategy field (visible on SR tools)
111userData1text1user data field (free text) (from NoticeResponse)
166orderStatusenum : SpdrOrderStatusats order status
167orderDetailtext1additional detail
145lastUPrcdoubleeffective uPrc (mid-market) from last trial pass
146lastTrialPrcdoubleeffective response price from last trial pass
147leavesQtyintopen order quantity
130cumFillQtyintpkg cumFillQty if MLeg
131avgFillPricedoublepkg avgFillPrice if MLeg
168completionTypeenum : CompletionTypeNone, DAC, POC, TAS, TACO, BTIC
169completionStateenum : CompletionState
170avgCompletionPricedoublecompletion trade price (final trade price) [also avg completion price]
148addLatencydoublelatency from notice arrival@SR to external response send (in seconds) OR latency from notice create to response accepted (in seconds) (SRC Auctions)
149ackLatencydoublelatency from external response send to external response ack (FRT) (in seconds) (external auctions only)
152numOptLegsintnumber of option legs
153spreadClassenum : SpreadClassspread class (eg. Call, Put, RevCon, Box, JRoll, etc.)
154spreadFlavorenum : SpreadFlavorspread flavor (Normal, Flipped) of this order
155containsHedgeenum : YesNoif this order contains a stock/future leg
156containsFlexenum : YesNoif this order contains flex leg(s)
157containsMultiHedgeenum : YesNocontains MultiHedge (corp action adjusted) options
132responseResultenum : NoticeResult
133responseTimeshortnotice response arrival time (milliseconds since auction start)
134prtPricedoublereported print price (pkgPrice if MLeg)
135prtSizeintreported print size (pgkSize if MLeg)
136prtTimeDateTimereported print time (1st print if MLeg)
150prtUBiddoublebest estimate of uBid @ auction print time
151prtUAskdoublebest estimate of uAsk @ auction print time
124timestampDateTime

REPEATING FIELDS​

OrderLegs

#FieldTypeDefault ValueComment
117secKeyOptionKey
118secTypeenum : SpdrKeyType
119sideenum : BuySell
120ratioint
121positionTypeenum : LegPositionType
122legCumFillQtyint
123legAvgFillPricedouble
171legCumCmplQtyint
172legAvgCmplPricedouble
173legCmplSecKeyOptionKeyfinal settlement secKey (contract that DAC, TAS, TACO, etc. will convert to; might not be valid until completed)
174legCmplSecTypeenum : SpdrKeyTypeusually Future or Option (None if not yet valid)

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|spdrSource|stageType|auctionType|auctionSource|createDttm|side|size|activeSize|reachRule|refPrice|refUPrc|uRefType|refDe|refGa|roundRule|stepUpIncr|riskGroupId|strategy|userData1|orderStatus|orderDetail|lastUPrc|lastTrialPrc|leavesQty|cumFillQty|avgFillPrice|completionType|completionState|avgCompletionPrice|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|spdrSource|stageType|auctionType|auctionSource|createDttm|side|size|activeSize|reachRule|refPrice|refUPrc|uRefType|refDe|refGa|roundRule|stepUpIncr|riskGroupId|strategy|userData1|orderStatus|orderDetail|lastUPrc|lastTrialPrc|leavesQty|cumFillQty|avgFillPrice|completionType|completionState|avgCompletionPrice|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|spdrSource|stageType|auctionType|auctionSource|createDttm|side|size|activeSize|reachRule|refPrice|refUPrc|uRefType|refDe|refGa|roundRule|stepUpIncr|riskGroupId|strategy|userData1|orderStatus|orderDetail|lastUPrc|lastTrialPrc|leavesQty|cumFillQty|avgFillPrice|completionType|completionState|avgCompletionPrice|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 = 'spdrSource|stageType|auctionType|auctionSource|side|reachRule|uRefType|roundRule|orderStatus|completionType|completionState|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)