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Version: Upcoming

Schema: SpdrAutoHedgeState (ID: 5300)

SpdrAutoHedgeState records are published by autohedge servers and describe the current state of an autohedge controller that is managing RiskGroup autohedge orders.

METADATA​

AttributeValue
Topic5290-strategy-autohedge
MLink TokenClientTrading
SRSE ProductSRTrade

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

BODY​

#FieldTypeDefault ValueComment
10=accntstring(16)
11=riskGroupIdlong
12=hedgeSecKeyExpiryKeyExecution Hedge SecKey (from SpdrAutoHedgeControl.targetSecKey)
13=hedgeSecTypeenum : SpdrKeyTypeExecution Hedge SecType (from SpdrAutoHedgeControl.targetSecType) [can be None]
14=clientFirmstring(16)
100groupingCodelong
106tickerTickerKeyticker group (eg. @ES, @ZN)
109securityDesctext1
112ssaleFlagenum : ShortSaleFlag
263positionTypeenum : PositionType
115hedgeStateenum : HedgeGroupState
118hedgeTexttext1
121uPrcdoublehedge target underlier price
264hedgePrcLmtfloatprice limit of the hedge order (if hedge is using hedgeFillUMarkLmtPrc)
124isDeltaMixedenum : YesNo
127accumulatorErrortext1
130grpDeltaBotdoubleoption delta bot (in ctrlDe units)
133grpDeltaSlddouble
136grpDDeltaBotdoubleoption $delta bot (using uMid at time of option fill)
139grpDDeltaSlddouble
142lastGrpFillDttmDateTime
145ctrlDeltaBotdoublehedge target delta (units) bot
148ctrlDeltaSlddouble
151ctrlDDeltaBotdoublehedge target $delta bot (using actual fill price)
154ctrlDDeltaSlddouble
157lastCtrlFillDttmDateTime
160absOptCninttotal number of option contracts executed in this hedge group
163netDeltadoublegrpDeltaBot - grpDeltaSld + ctrlDeltaBot - ctrlDeltaSld
166netDDeltadoublegrpDDeltaBot - grpDDeltaSld + ctrlDDeltaBot - ctrlDDeltaSld
169openHedgeTimefloatsize weighted average time (in seconds) hedge risk has been open (executions to fills)
172hedgeTargetVolfloatimplied / expected today (annualized) volatility for hedge target
175expectedPrcRangefloatSQRT(avgHedgeTime x hedgeTargetVol) cone
178opnDeltaBotdoubleopen risk delta bot (in ctrlDe units)
181opnDeltaSlddouble
184opnDDeltaBotdoubleopen risk $delta bot (in ctrlDe units)
187opnDDeltaSlddouble
190clsDeltaBotdoubleclose risk delta bot (in ctrlDe units)
193clsDeltaSlddouble
196clsDDeltaBotdoubleclose risk $delta bot (in ctrlDe units)
199clsDDeltaSlddouble
202slippagePnLfloatopnDeltaBot * (clsDeltaPrcSld - opnDeltaPrcBot) + opnDeltaSld * (opnDeltaPrcSld - clsDeltaPrcBot)
205slippageUnitPnLfloatslippagePnL / (grpDeltaBot + grpDeltaSld) [pnl / unit (share or fc)]
208slippageNormPnLfloatslippageUnitPnL / expectedPrcRange
211minDDeltaBandfloat
214maxDDeltaBandfloat
217bParentNumberlong
220bActiveSizeint
223bBrkrStatustext1
226bBrkrErrortext1
229sParentNumberlong
232sActiveSizeint
235sBrkrStatustext1
238sBrkrErrortext1
241ddMultdouble
244underliersPerCnintfuture underliers per contract
247underlierTypeenum : UnderlierTypetype of underlier (affects $greek calculations)
250pointValuedouble$NLV value of a single point change in display premium (hedge target)
253pointCurrencyenum : Currency
256liveHedgeMarkdoublehedgeSecKey live mark (mid-market) [zero in SRSE]
259updtReasonstring(20)
262timestampDateTimeSR system 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 = 'SpdrAutoHedgeState'

# 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 = 'SpdrAutoHedgeState'

# 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 = 'groupingCode|ticker|securityDesc|ssaleFlag|positionType|hedgeState|hedgeText|uPrc|hedgePrcLmt|isDeltaMixed|accumulatorError|grpDeltaBot|grpDeltaSld|grpDDeltaBot|grpDDeltaSld|lastGrpFillDttm|ctrlDeltaBot|ctrlDeltaSld|ctrlDDeltaBot|ctrlDDeltaSld|lastCtrlFillDttm|absOptCn|netDelta|netDDelta|openHedgeTime|hedgeTargetVol|expectedPrcRange|opnDeltaBot|opnDeltaSld|opnDDeltaBot|opnDDeltaSld|clsDeltaBot|clsDeltaSld|clsDDeltaBot|clsDDeltaSld|slippagePnL|slippageUnitPnL|slippageNormPnL|minDDeltaBand|maxDDeltaBand|bParentNumber|bActiveSize|bBrkrStatus|bBrkrError|sParentNumber|sActiveSize|sBrkrStatus|sBrkrError|ddMult|underliersPerCn|underlierType|pointValue|pointCurrency|liveHedgeMark|updtReason|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 = 'accnt: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 = 'SpdrAutoHedgeState'

# Replace with your desired view. A "|" separated list of views can be provided
# If no view is provided, all views will be returned
VIEW = 'groupingCode|ticker|securityDesc|ssaleFlag|positionType|hedgeState|hedgeText|uPrc|hedgePrcLmt|isDeltaMixed|accumulatorError|grpDeltaBot|grpDeltaSld|grpDDeltaBot|grpDDeltaSld|lastGrpFillDttm|ctrlDeltaBot|ctrlDeltaSld|ctrlDDeltaBot|ctrlDDeltaSld|lastCtrlFillDttm|absOptCn|netDelta|netDDelta|openHedgeTime|hedgeTargetVol|expectedPrcRange|opnDeltaBot|opnDeltaSld|opnDDeltaBot|opnDDeltaSld|clsDeltaBot|clsDeltaSld|clsDDeltaBot|clsDDeltaSld|slippagePnL|slippageUnitPnL|slippageNormPnL|minDDeltaBand|maxDDeltaBand|bParentNumber|bActiveSize|bBrkrStatus|bBrkrError|sParentNumber|sActiveSize|sBrkrStatus|sBrkrError|ddMult|underliersPerCn|underlierType|pointValue|pointCurrency|liveHedgeMark|updtReason|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 = 'accnt: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 = 'groupingCode: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 = 'SpdrAutoHedgeState'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'groupingCode|ticker|securityDesc|ssaleFlag|positionType|hedgeState|hedgeText|uPrc|hedgePrcLmt|isDeltaMixed|accumulatorError|grpDeltaBot|grpDeltaSld|grpDDeltaBot|grpDDeltaSld|lastGrpFillDttm|ctrlDeltaBot|ctrlDeltaSld|ctrlDDeltaBot|ctrlDDeltaSld|lastCtrlFillDttm|absOptCn|netDelta|netDDelta|openHedgeTime|hedgeTargetVol|expectedPrcRange|opnDeltaBot|opnDeltaSld|opnDDeltaBot|opnDDeltaSld|clsDeltaBot|clsDeltaSld|clsDDeltaBot|clsDDeltaSld|slippagePnL|slippageUnitPnL|slippageNormPnL|minDDeltaBand|maxDDeltaBand|bParentNumber|bActiveSize|bBrkrStatus|bBrkrError|sParentNumber|sActiveSize|sBrkrStatus|sBrkrError|ddMult|underliersPerCn|underlierType|pointValue|pointCurrency|liveHedgeMark|updtReason|timestamp'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'ssaleFlag|positionType|hedgeState|isDeltaMixed|underlierType|pointCurrency'

# 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 = 'accnt: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 = 'SpdrAutoHedgeState'

# 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 = 'accnt: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)