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Version: Upcoming

Schema: RFQQuoteBroadcast (ID: 6225)

Live spread quotes with SpiderRock markup details for equity and future option spreads. Legs details are included in a packed field. This table contains the most recent market for each spread.

METADATA​

AttributeValue
Topic6120-tool-rows
MLink TokenClientLive
SRSE ProductSRLive

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

BODY​

#FieldTypeComment
10=securityIDlongexchange spread ID (eg. CME ProductID or ISE SecurityID)
11=exchSourceenum : ExchSource
100tickerTickerKeyfirst ticker in leg list
103securityDesctext1SR constructed;blank on broadcast (filled by tool or SRSE proxy)
106rfqSourceflag : RFQSourceType
109rfqStrategyenum : SpreadStrategy
112isCoveredStrategyenum : YesNo
115isTradeableenum : YesNo
118rfqBidPricedoublebest bid (buy) price for this RFQ/Spread book
121rfqBidQuanintcumulative bid (buy) quantity
124rfqAskPricedoublebest ask (sell) price for this RFQ/Spread book
127rfqAskQuanintcumulative ask (sell) quantity
130rfqPrtPricedoublelast print price for this RFQ/Spread
133rfqPrtSizeintlast print size for this RFQ/Spread
136rfqPrtVolumeinttotal print volume (for session) for this RFQ/Spread
139rfqPrtTimelong
142bidPricedoublebest bid (buy) price for this RFQ/Spread from individual legs
145bidQuanintminimum bid (buy) quantity from individual legs
148askPricedoublebest ask (sell) price for this RFQ/Spread from individual legs
151askQuanintminimum ask (sell) quantity from individual legs
154surfDeltafloatdelta of all legs
157surfVegafloatvega of all legs
160surfPricefloatsurfPrice (SR mid-market) of all legs
163theoPricefloattheoPrice (if applicable) of all legs
166theoPriceLofloattheoPrice (if applicable) of all legs (best way)
169theoPriceHifloattheoPrice (if applicable) of all legs (worst way)
172minUPrcdoublemin uPrc of all option legs
175maxUPrcdoublemax uPrc of all option legs
178minYearsfloatmin years of all option legs
181maxYearsfloatmax years of all option legs
184legSecTypesflag : LegSecTypemulti value
187exchangestring(8)comma separated list
190grpNumintindustry group number (equities only)
193sectorstring(16)user defined sector code (if any)
196riskClassstring(8)risk class letter code
199optStatusenum : OptStatus
202posVegafloat
205posGammafloat
208posThetafloat
211posDeltafloat
214netTimestamplongPTP timestamp of most recent message update
217filterIdlongused by tool/toolServer session to multiplex filters
220numLegsint

REPEATING FIELDS​

QuoteLegs

FieldTypeComment
226legKeyOptionKey
229legKeyTypeenum : LegKeyType
232legSecurityIDlong
235legParentSecIDlong
238legSecurityDescstring(20)
241legRatioushort
244legSideenum : BuySell
247legBidPricedouble
250legBidSizeint
253legAskPricedouble
256legAskSizeint
259legYearsfloat
262legUPrcdouble
265legOptMultfloat
268legFutMultfloat
271legSurfVolfloat
274legSurfDefloat
277legSurfVefloat
280legSurfPricefloat
283legTheoPricefloat
286legTheoPrcBfloat
289legTheoPrcSfloat

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 = 'RFQQuoteBroadcast'

# 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 = 'RFQQuoteBroadcast'

# 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|securityDesc|rfqSource|rfqStrategy|isCoveredStrategy|isTradeable|rfqBidPrice|rfqBidQuan|rfqAskPrice|rfqAskQuan|rfqPrtPrice|rfqPrtSize|rfqPrtVolume|rfqPrtTime|bidPrice|bidQuan|askPrice|askQuan|surfDelta|surfVega|surfPrice|theoPrice|theoPriceLo|theoPriceHi|minUPrc|maxUPrc|minYears|maxYears|legSecTypes|exchange|grpNum|sector|riskClass|optStatus|posVega|posGamma|posTheta|posDelta|netTimestamp|filterId|numLegs'

# 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 = 'exchange: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 = 'RFQQuoteBroadcast'

# 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|securityDesc|rfqSource|rfqStrategy|isCoveredStrategy|isTradeable|rfqBidPrice|rfqBidQuan|rfqAskPrice|rfqAskQuan|rfqPrtPrice|rfqPrtSize|rfqPrtVolume|rfqPrtTime|bidPrice|bidQuan|askPrice|askQuan|surfDelta|surfVega|surfPrice|theoPrice|theoPriceLo|theoPriceHi|minUPrc|maxUPrc|minYears|maxYears|legSecTypes|exchange|grpNum|sector|riskClass|optStatus|posVega|posGamma|posTheta|posDelta|netTimestamp|filterId|numLegs'

# 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 = 'exchange: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 = '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 = 'RFQQuoteBroadcast'

# Replace with fields you want to see aggregate values for. A "|" separated list of measures should be provided
MEASURE = 'ticker|securityDesc|rfqSource|rfqStrategy|isCoveredStrategy|isTradeable|rfqBidPrice|rfqBidQuan|rfqAskPrice|rfqAskQuan|rfqPrtPrice|rfqPrtSize|rfqPrtVolume|rfqPrtTime|bidPrice|bidQuan|askPrice|askQuan|surfDelta|surfVega|surfPrice|theoPrice|theoPriceLo|theoPriceHi|minUPrc|maxUPrc|minYears|maxYears|legSecTypes|exchange|grpNum|sector|riskClass|optStatus|posVega|posGamma|posTheta|posDelta|netTimestamp|filterId|numLegs'

# Replace with fields you want to see aggregated. A "|" separated list of fields should be provided
GROUP = 'rfqStrategy|isCoveredStrategy|isTradeable|optStatus'

# 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 = 'exchange: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 = 'RFQQuoteBroadcast'

# 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 = 'exchange: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)