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Version: Upcoming

Schema: SpreadBookQuote (ID: 2900)

This table contains live spread quote records from the individual equity option exchanges. Each record contains up to two price levels and represents a live snapshot of the book for a specific spread.

METADATA​

AttributeValue
Topic2895-market-data-spreads
MLink TokenSpreadMktData
SRSE ProductSRSpread

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

BODY​

#FieldTypeComment
10=skeyTickerKeySR Spread Key (should have corresponding ProductDefinition record)
11=isTestenum : YesNoYes indicates that response is made of entirely of isTest=Yes SpreadExchOrders
100tickerTickerKeycommon spread underlier
167SRspreadIDlong
103bidPrice1doublebid price
106isBidPrice1Validenum : YesNo
109askPrice1doubleask price
112isAskPrice1Validenum : YesNo
115bidSize1intcumulative size at bidPrice
118askSize1intcumulative size at askPrice
121bidPrice2double2nd best bid price
124isBidPrice2Validenum : YesNo
127askPrice2double2nd best ask price
130isAskPrice2Validenum : YesNo
133bidSize2intcumulative size at 2nd price
136askSize2intcumulative size at 2nd price
139bidExch1enum : OptExchexchange at bid price with the largest size (if any)
142askExch1enum : OptExchexchange at ask price with the largest size (if any)
145bidMask1uintexchange bid bit mask (OptExch mask for NMS spreads; zero for single exchange spreads)
148askMask1uintexchange ask bit mask (OptExch mask for NMS spreads; zero for single exchange spreads)
151bidTimeDateTimelast bid price or size change
154askTimeDateTimelast ask price or size change
168printVolumeint
157updateTypeenum : UpdateType
160srcTimestamplongsource high precision timestamp (if available)
163netTimestamplonginbound packet PTP timestamp from SR gateway switch;usually syncronized with facility grandfather clock
166timestampDateTime

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 = 'SpreadBookQuote'

# 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 = 'SpreadBookQuote'

# 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|SRspreadID|bidPrice1|isBidPrice1Valid|askPrice1|isAskPrice1Valid|bidSize1|askSize1|bidPrice2|isBidPrice2Valid|askPrice2|isAskPrice2Valid|bidSize2|askSize2|bidExch1|askExch1|bidMask1|askMask1|bidTime|askTime|printVolume|updateType|srcTimestamp|netTimestamp|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 = ''

# 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 = 'SpreadBookQuote'

# 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|SRspreadID|bidPrice1|isBidPrice1Valid|askPrice1|isAskPrice1Valid|bidSize1|askSize1|bidPrice2|isBidPrice2Valid|askPrice2|isAskPrice2Valid|bidSize2|askSize2|bidExch1|askExch1|bidMask1|askMask1|bidTime|askTime|printVolume|updateType|srcTimestamp|netTimestamp|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 = ''

# 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 = 'SpreadBookQuote'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|SRspreadID|bidPrice1|isBidPrice1Valid|askPrice1|isAskPrice1Valid|bidSize1|askSize1|bidPrice2|isBidPrice2Valid|askPrice2|isAskPrice2Valid|bidSize2|askSize2|bidExch1|askExch1|bidMask1|askMask1|bidTime|askTime|printVolume|updateType|srcTimestamp|netTimestamp|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'isBidPrice1Valid|isAskPrice1Valid|isBidPrice2Valid|isAskPrice2Valid|bidExch1|askExch1|updateType'

# 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 = 'SpreadBookQuote'

# 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)