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Version: Upcoming

Schema: FuturePrintSet (ID: 2610)

FuturePrintSet records are created for all future prints (outrights and spreads) and published to the SpiderRock elastic cluster when markup detail is complete (F+10M)

METADATA​

AttributeValue
Topic2580-market-data-futures
MLink TokenFutAnalytics
SRSE ProductSRAnalytics

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

BODY​

#FieldTypeComment
10=fkeyExpiryKey
11=prtNumberlongUnique print set identifier; will increment but not guaranteed to be sequential.
203updateTypeenum : PrtUpdateType
103tickerTickerKeyunderlying stock key
106prtExchenum : FutExchprint exchange
109prtSizeintprint size [contracts]
112prtPricedoubleprint price
115prtTypebyteprint type [exchange specific]
118prtOrdersushortnumber of orders participating in this print
121prtClusterNumintincremental print cluster counter (one counter per fkey; used to group prints into clusters)
124prtClusterSizeintcumulative size of prints in this sequence (prints @ same or more aggressive price with less than 25 ms elapsing since first print; can span exchanges)
127prtVolumeintcumulative day (electronic) print volume in contracts
130prtSideenum : PrtSidePrint side: None; Mid; Bid; Ask
133prtTimestamplongexchange high precision timestamp (if available)
136netTimestamplonginbound packet PTP timestamp from SR gateway switch;usually syncronized with facility grandfather clock
139timestampDateTime
142bidPricedoubleexch best bid @ print arrival time
145askPricedoubleexch best ask @ print arrival time
148bidSizeintbid size @ print arrival time
151askSizeintask size @ print arrival time
154bidPrice2doubleexch 2nd best bid @ print arrival time
157askPrice2doubleexch 2nd best ask @ print arrival time
160bidSize2int2nd best bid @ print arrival time
163askSize2int2nd best ask @ print arrival time
166prtProbabilityfloat[M1] probability that buying prtQuan contracts @ prtPrice will have positive m1 pnl (prtPriceM1 >= prtPrice) [recorded at time of print]
175bidPriceM1doublebid price +1 minute
178askPriceM1doubleask price +1 minute
181prtPriceM1doublemarket price +1 minute [mid-quote if not intervening prints;most recent print otherwise]
184pnlM1floatpnl after 1 minute
187pnlM1Errenum : YesNo

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 = 'FuturePrintSet'

# 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 = 'FuturePrintSet'

# 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 = 'updateType|ticker|prtExch|prtSize|prtPrice|prtType|prtOrders|prtClusterNum|prtClusterSize|prtVolume|prtSide|prtTimestamp|netTimestamp|timestamp|bidPrice|askPrice|bidSize|askSize|bidPrice2|askPrice2|bidSize2|askSize2|prtProbability|bidPriceM1|askPriceM1|prtPriceM1|pnlM1|pnlM1Err'

# 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)

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 = 'FuturePrintSet'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'updateType|ticker|prtExch|prtSize|prtPrice|prtType|prtOrders|prtClusterNum|prtClusterSize|prtVolume|prtSide|prtTimestamp|netTimestamp|timestamp|bidPrice|askPrice|bidSize|askSize|bidPrice2|askPrice2|bidSize2|askSize2|prtProbability|bidPriceM1|askPriceM1|prtPriceM1|pnlM1|pnlM1Err'

# 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 = 'updateType: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 = 'FuturePrintSet'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'updateType|ticker|prtExch|prtSize|prtPrice|prtType|prtOrders|prtClusterNum|prtClusterSize|prtVolume|prtSide|prtTimestamp|netTimestamp|timestamp|bidPrice|askPrice|bidSize|askSize|bidPrice2|askPrice2|bidSize2|askSize2|prtProbability|bidPriceM1|askPriceM1|prtPriceM1|pnlM1|pnlM1Err'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'updateType|prtExch|prtSide|pnlM1Err'

# 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)

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 = 'FuturePrintSet'

# 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)