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Version: Upcoming

Schema: SpdrAuctionState (ID: 2525)

METADATA​

AttributeValue
Topic2510-market-data-auctions
MLink TokenOptExchAuction
SRSE ProductSRAuction

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

BODY​

#FieldTypeComment
10=secKeyOptionKey
11=secTypeenum : SpdrKeyType
12=auctionExchenum : OptExchexchange handling the auction
14=auctionExDeststring(16)external exDest of auction (usually means auction is off-exchange)
100srAuctionIDlongunique SR AUCTION ID (required when responding to an auction notice)
103exchAuctionIdstring(20)
106exchAuctionTypestring(4)
109isTestAuctionenum : YesNotest auction (should only respond from T.accnts)
212auctionEventenum : AuctionEvent
115auctionShapeenum : NoticeShape
118auctionTypeenum : AuctionType
121auctionSideenum : BuySellMarket side (client/imbalance side of auction; if known) [responder should be opposite side]
124auctionSizeintsize available to trade
127auctionPricedoubleauction price (can be positive or negative)
130isAuctionPriceValidenum : YesNo
133auctionDurationintexpected auction / imbalance action duration (ms)
136auctionStartSizeintinitial (starting) auction size
139auctionStartPricedoubleinitial (starting) auction price
142auctionStartTimestamplongauction start timestamp
145minResponseSizeintminimum size of the response order
148limitTypeenum : AuctionLimitTypeclient / imbalance limit type (if available)
151firmTypeenum : FirmTypefirm type of the client side of auction (if available)
154memberMPIDstring(10)exchange member initiating auction (if available)
157clientAccntstring(10)client account designation (if known)
160otherDetailstring(16)additional auction detail (exchange specific)
163matchedSizeintsize already matched (may still be available to trade at a better price)
166numUpdatesbytenumber of auction updates received (not counting auction termination message)
169numResponsesbyteas reported by exchange (if available)
172bestResponseSizeint
175bestResponsePricedouble
178cumFillQuantityintas reported by exchange (if available)
181avgFillPricedouble
184marketStatusenum : MarketStatusmarket status (pre-open, open, closed, etc)
187srcTimestamplongsource timestamp (nanoseconds) if available
190netTimestamplongnetwork timestamp message arrival @ direct exchange gateway
193dgwTimestamplongnetwork timestamp mbus message send @ direct exchange gateway
196timestampDateTime

REPEATING FIELDS​

Legs

FieldTypeComment
202legSecKeyOptionKey
205legSecTypeenum : SpdrKeyType
208legSideenum : BuySell
211legRatioushort

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 = 'SpdrAuctionState'

# 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 = 'SpdrAuctionState'

# 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 = 'srAuctionID|exchAuctionId|exchAuctionType|isTestAuction|auctionEvent|auctionShape|auctionType|auctionSide|auctionSize|auctionPrice|isAuctionPriceValid|auctionDuration|auctionStartSize|auctionStartPrice|auctionStartTimestamp|minResponseSize|limitType|firmType|memberMPID|clientAccnt|otherDetail|matchedSize|numUpdates|numResponses|bestResponseSize|bestResponsePrice|cumFillQuantity|avgFillPrice|marketStatus|srcTimestamp|netTimestamp|dgwTimestamp|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 = 'auctionExDest: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 = 'SpdrAuctionState'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'srAuctionID|exchAuctionId|exchAuctionType|isTestAuction|auctionEvent|auctionShape|auctionType|auctionSide|auctionSize|auctionPrice|isAuctionPriceValid|auctionDuration|auctionStartSize|auctionStartPrice|auctionStartTimestamp|minResponseSize|limitType|firmType|memberMPID|clientAccnt|otherDetail|matchedSize|numUpdates|numResponses|bestResponseSize|bestResponsePrice|cumFillQuantity|avgFillPrice|marketStatus|srcTimestamp|netTimestamp|dgwTimestamp|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 = 'auctionExDest: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 = 'srAuctionID: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 = 'SpdrAuctionState'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'srAuctionID|exchAuctionId|exchAuctionType|isTestAuction|auctionEvent|auctionShape|auctionType|auctionSide|auctionSize|auctionPrice|isAuctionPriceValid|auctionDuration|auctionStartSize|auctionStartPrice|auctionStartTimestamp|minResponseSize|limitType|firmType|memberMPID|clientAccnt|otherDetail|matchedSize|numUpdates|numResponses|bestResponseSize|bestResponsePrice|cumFillQuantity|avgFillPrice|marketStatus|srcTimestamp|netTimestamp|dgwTimestamp|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'isTestAuction|auctionEvent|auctionShape|auctionType|auctionSide|isAuctionPriceValid|limitType|firmType|marketStatus'

# 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 = 'auctionExDest: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 = 'SpdrAuctionState'

# 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 = 'auctionExDest: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)