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Version: Upcoming

Schema: StockExchImbalance (ID: 3015)

StockExchImbalance records contain live exchange closing auction imbalance details. Imbalance information can be available from more than one exchange for each ticker.

Final StockExchImbalance records are published to the SpiderRock elastic cluster nightly after the auction close.

METADATA​

AttributeValue
Topic2990-market-data-stock
MLink TokenClientLive
SRSE ProductSRLive

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

BODY​

#FieldTypeComment
10=tickerTickerKey
11=auctionTimeDateTimeProjected Auction Time (hhmm).
12=auctionTypeenum : AuctionReasonAuction type: None; Open; Market; Halt; Closing; RegulatoryImbalance
13=exchangeenum : PrimaryExchange
100referencePxfloatFor Pillar-powered markets, the Reference Price is used to calculate the Indicative Match Price.
103pairedQtyintFor Pillar-powered markets, the number of shares paired off at the Indicative Match Price.
106totalImbalanceQtyintFor Pillar-powered markets, the total imbalance quantity at the Indicative Match Price. If the value is negative, the imbalance is on the sell side; if the value is positive, the imbalance is on the buy side.
109marketImbalanceQtyintFor Pillar-powered markets, the total market order imbalance quantity at the Indicative Match Price. If the value is negative, the imbalance is on the sell side; if the value is positive the imbalance is on the buy side.
112imbalanceSideenum : ImbalanceSideThe side of the TotalImbalanceQty.
115continuousBookClrPxfloatFor Pillar-powered markets, the price at which all interest on the book can trade, including auction and imbalance offset interest, and disregarding auction collars.
118closingOnlyClrPxfloatFor Pillar-powered markets, the price at which all eligible auction-only interest would trade, subject to auction collars.
121ssrFillingPxfloatFor Pillar-powered markets, not supported and defaulted to 0.
124indicativeMatchPxfloatFor Pillar-powered markets, the price that has the highest executable volume of auction-eligible shares, subject to auction collars. It includes the non-displayed quantity of Reserve Orders.
127upperCollarfloatIf the IndicativeMatchPrice is not strictly between the UpperCollar and the LowerCollar, special auction rules apply. See Rule 7.35P for details.
130lowerCollarfloatIf the IndicativeMatchPrice is not strictly between the UpperCollar and the LowerCollar, special auction rules apply. See Rule 7.35P for details.
133auctionStatusenum : AuctionStatusIndicates whether the auction will run.
136freezeStatusenum : YesNoIndicates freeze
139numExtensionsbyteNumber of times the halt period has been extended.
142sourceTimeDateTimeTime record was generated in the order book (in seconds)
145netTimestamplongPTP timestamp

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 = 'StockExchImbalance'

# 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 = 'StockExchImbalance'

# 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 = 'referencePx|pairedQty|totalImbalanceQty|marketImbalanceQty|imbalanceSide|continuousBookClrPx|closingOnlyClrPx|ssrFillingPx|indicativeMatchPx|upperCollar|lowerCollar|auctionStatus|freezeStatus|numExtensions|sourceTime|netTimestamp'

# 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 = 'StockExchImbalance'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'referencePx|pairedQty|totalImbalanceQty|marketImbalanceQty|imbalanceSide|continuousBookClrPx|closingOnlyClrPx|ssrFillingPx|indicativeMatchPx|upperCollar|lowerCollar|auctionStatus|freezeStatus|numExtensions|sourceTime|netTimestamp'

# 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 = 'referencePx: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 = 'StockExchImbalance'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'referencePx|pairedQty|totalImbalanceQty|marketImbalanceQty|imbalanceSide|continuousBookClrPx|closingOnlyClrPx|ssrFillingPx|indicativeMatchPx|upperCollar|lowerCollar|auctionStatus|freezeStatus|numExtensions|sourceTime|netTimestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'imbalanceSide|auctionStatus|freezeStatus'

# 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 = 'StockExchImbalance'

# 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)