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Version: Upcoming

Schema: ProductDefinitionV2 (ID: 4360)

SpiderRock normalized exchange product definitions. Includes future, option, and spread definitions from a number of exchanges. TickerDefinitions, RootDefinitions and CCodeDefinitions are consistent with these records.

METADATA​

AttributeValue
Topic4335-product-definition
MLink TokenFutureDefinition
SRSE ProductSRLive, SRAnalytics

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

BODY​

#FieldTypeComment
10=secKeyOptionKeySR Security Key [can be partially filled in (look at secType)]
11=secTypeenum : SpdrKeyTypeSecurity Type [Stock, Future, Option]
248securityIDtext1unique exchange id (exch assigned)
103tickerTickerKeymaster underlier
251SRspreadIDlong
106productClassenum : ProductClass
109underlierIDlongunderlier product id (option only) [securityID of undKey/undType product]
112undKeyExpiryKeySR Underlier Security Key [can be partially filled in (look at undType)] (option only)
115undTypeenum : SpdrKeyTypeUnderlier Security Type [Stock, Future] (option only)
118productGroupstring(6)Underlying product code. I.E. All GE (Eurodollar) spreads, options, futures will be in the same productGroup - This is the Asset field from the SecurityDefinition message
121securityGroupstring(6)Exchange specific code for a group of related securities that are all affected by market events. I.E. All E-mini weekly options (EW) - This is SecurityGroup field from the SecurityDefinition messages
124marketSegmentIDintExchange specific market segment identifier
249ricCodestring(32)Full RIC Code - only provided for non-user defined instruments
250securityDesctext1full exchange symbol
130exchangestring(8)listing exchange
133productTypeenum : ProductType
136productTermenum : ProductTerm
139productIndexTypeenum : ProductIndexType
142productRatefloat
145contractSizefloat
148contractUnitenum : ContractUnit
151priceFormatenum : PriceFormat
154minTickSizedouble
157displayFactordouble
160strikeScaledoublemanual strike price adjustment multiplier (used for some CME products if set, otherwise displayFactor is used) (okey_xx = strikePrice * manualStrikeScale)
163minLotSizeshortminimum lot size
166bookDepthshortlevels in the Globex quote book
169impliedBookDepthshortlevels in the globex implied quote book (0 if no implied depth)
172impMarketIndshortimplied market type (0 = no implied, 1 = implied in, 2 = implied out, 3 = implied in & out)
175minPriceIncrementAmountfloat(depricate) minimum price amount (points per handle)
178parValuefloatper contract par value
181contMultiplierfloatcontract deliverable multipler
184cabPricedouble(depricate) cabinet price (minimum closing price for OOM options)
187tradeCurrenum : Currency
190settleCurrenum : Currency
193strikeCurrenum : Currency
196expirationDateTimefuture expiration or option expiration (if product is an option). we use the last TRADING day as the expiration date.
199maturityDateKeyfuture maturity date or option maturity date. this is the delivery month.
202exerciseTypeenum : ExerciseType(depricate; in RootDefinition) Exercise style
205userDefinedenum : YesNo
208decayStartYearshort
211decayStartMonthbyte
214decayStartDaybyte
217decayQtyintdaily decay quantity
220priceRatiodoubleprice ratio for interest rate intercommodity spreads
247timestampDateTime

REPEATING FIELDS​

Legs

FieldTypeComment
226legIDstring(24)
229secKeyOptionKey
232secTypeenum : SpdrKeyType
235sideenum : BuySell
238ratioushort
241refDeltafloat
244refPrcdouble

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 = 'ProductDefinitionV2'

# 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 = 'ProductDefinitionV2'

# 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 = 'securityID|ticker|SRspreadID|productClass|underlierID|undKey|undType|productGroup|securityGroup|marketSegmentID|ricCode|securityDesc|exchange|productType|productTerm|productIndexType|productRate|contractSize|contractUnit|priceFormat|minTickSize|displayFactor|strikeScale|minLotSize|bookDepth|impliedBookDepth|impMarketInd|minPriceIncrementAmount|parValue|contMultiplier|cabPrice|tradeCurr|settleCurr|strikeCurr|expiration|maturity|exerciseType|userDefined|decayStartYear|decayStartMonth|decayStartDay|decayQty|priceRatio|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 = 'productGroup: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 = 'ProductDefinitionV2'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'securityID|ticker|SRspreadID|productClass|underlierID|undKey|undType|productGroup|securityGroup|marketSegmentID|ricCode|securityDesc|exchange|productType|productTerm|productIndexType|productRate|contractSize|contractUnit|priceFormat|minTickSize|displayFactor|strikeScale|minLotSize|bookDepth|impliedBookDepth|impMarketInd|minPriceIncrementAmount|parValue|contMultiplier|cabPrice|tradeCurr|settleCurr|strikeCurr|expiration|maturity|exerciseType|userDefined|decayStartYear|decayStartMonth|decayStartDay|decayQty|priceRatio|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 = 'productGroup: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 = 'securityID: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 = 'ProductDefinitionV2'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'securityID|ticker|SRspreadID|productClass|underlierID|undKey|undType|productGroup|securityGroup|marketSegmentID|ricCode|securityDesc|exchange|productType|productTerm|productIndexType|productRate|contractSize|contractUnit|priceFormat|minTickSize|displayFactor|strikeScale|minLotSize|bookDepth|impliedBookDepth|impMarketInd|minPriceIncrementAmount|parValue|contMultiplier|cabPrice|tradeCurr|settleCurr|strikeCurr|expiration|maturity|exerciseType|userDefined|decayStartYear|decayStartMonth|decayStartDay|decayQty|priceRatio|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'productClass|undType|productType|productTerm|productIndexType|contractUnit|priceFormat|tradeCurr|settleCurr|strikeCurr|exerciseType|userDefined'

# 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 = 'productGroup: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 = 'ProductDefinitionV2'

# 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 = 'productGroup: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)