All MLink messages are generated from a common IDL schema and follow common patterns, including the following:

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Live Data Objects with Primary Key

These messages have a well-defined primary key (unique per message type) and follow a create/replace pattern such that any new message arriving in MLink will completely replace the previous record with the same primary key, if one exists.

Example: “NBBOOptionQuote” message

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Security Keys

Several messages contain security keys (TickerKey, ExpiryKey, and/or OptionKey).

  • TickerKey: SSSS-TS-AT where SSSS is the security symbol (eg. AAPL), TS is a ticker source (eg. NMS), and AT is an asset type (eg. EQT).
  • ExpiryKey: SSSS-TS-AT-YYYY-MM-DD where YYYY is year, MM is month, and DD is day.
  • OptionKey: SSSS-TS-AT-YYYY-MM-DD-XXXX-CP where XXXX is the strike price, and CP is either (Call, Put, or Both).

Ticker Sources (ts) and Asset Types (at) are enumerated.

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Special Data Objects

  • Spreads: #SSSShhhh where hhhh is a hexadecimal ID number.
  • FLEX: encoded as OptionKeys with the security symbol being the standard FLEX root.
  • Market Data: distributed with one of the above security keys where the symbol is the exchange trading symbol.
  • Synthetics: _SSSS or SSSS_ computed for the purpose of pricing options more accurately.

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Admin Data Objects without Primary Keys

Some SR MLink objects do not have natural primary keys and are used as administrative messages between MLink and a client.

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HTTP/REST Admin Messages

MessagesDescription
MLinkApiKey Used to return a temporary ApiKey
QueryResult Futures quote/print metrics
MsgDesc Message Description
FieldDesc Field Description (schema)
SummaryNumeric Summary detail for a numeric field
SummaryString Summary detail for a string field
PostAckPost acknowledgment for an individual SR message post attempt
MessagesDescription
MLinkAdmin Sent in response to a WebSocket connect attempt or MLinkLogon message
MLinkLogon Used to logon (authenticate)
MLinkStream Set or update the active subscription query for this session
MLinkStreamAck Sent in response to an MLinkStream attempt
MLinkStreamCheckPtQuery Check Point
MLinkSignalReady Used to signal that the client is ready for more messages
MLinkDataAck Sent in response to a message upload attempt
MLinkSubscribe Set or update an active subscription for a session by msgPKey
MLinkSubscribeAckSent in response to an MLinkSubscribe attempt
MLinkSubscribeCheckPtSubscription Check Point
MLinkHeartbeat MLink Connection heartbeat; sent by default every 10 seconds
Message TypesAuthentication