C SDK Documentation

getVersion() (2.41)	mtGetVersion() (3.00)
mtInit()	mtDeInit()
mtSetHost()	mtSetProxy()
mtSetUsingTunnel()	mtIsConnected()
mtConnectToServer()	mtDisconnect()
mtGetMessage()	mtGetStats()
mtRequestLogon()	mtRequestLogoff()
mtRequestHistoricalData()	mtRequestQuoteData()
mtRequestBackground()	mtRequestIntradayUpdate()
mtRequestNewsHeadlines()	mtRequestNewsByTicker()
mtRequestNewsStory()	mtRequestNewsVendors()
mtRequestSymbolLookup()	mtRequestOptionData()
mtRequestOptionLinks()	mtRequestFutureFamilyData()
mtRequestIntradayData()	mtRequestIntradayDataTime()
mtRequestDataWarehouse()	mtRequestTransactionLog()
mtRequestNasdaqLevel_2()	mtRequestOrderBook()
mtRequestNewsByVendor()	mtRequestHistoricalNews_Ticker()
mtRequestHistoricalNews_Story()	mt3rdParty_MarketPulse()
mt3rdParty_ZacksEarnings()	mt3rdParty_EdgarOnline()
mt3rdParty_ HemingtonScott()	mtRequestVolatilityDisplay()
mtRequestCompositeFamilyData()	mtRequestYesterdaysLogs()
Documentation Table of Contents

getVersion()

SDK version 2.41
returns the SDK version # (ex: will return ‘241’ for version 2.41)
Prototype:

int getVersion(void);

Syntax:

int verNum = getVersion();

mtGetVersion()

SDK version 3.00
returns version of current SDK (same as getVersion())
Prototype:

int mtGetVersion(void);

Syntax:

int verNum = mtGetVersion();

mtInit

initialize the myTrack SDK

This function initializes the internal structures of the myTrack SDK. It must be called before any other function is called, and it should only be called once. It allocates input and output queues from the heap, etc. These are operations that need be and should be done only once per run of the SDK program.

Prototype:

int mtInit(void);

Syntax:

errCode = mtInit();

This function must be called before any other function.

mtDeInit()

Deinitialize the myTrack SDK

This function deinitializes the internal structures of the myTrack SDK

Prototype:

int mtDeInit(void);

Syntax:

errCode = mtDeInit();

mtSetHost()

New for SDK version 3.00
Sets the host & port of myTrack server

Use this function to override the internally set host & port of the myTrack server
This function is primarily of interest to applications running within the myTrack environment.

Prototype:

int mtSetHost(char * host, int port);

host: name of server, must be a valid DNS name or IP address

port: port that myTrack server is listening on

Syntax:

errCode = mtSetHost(host, port);

mtSetProxy()

New for SDK version 3.00
Sets the host & port of users proxy server

Use this function if you are using tunneling AND your application is running in an environment that only allows you to go out to the World Wide Web by way of a proxy server.
You must also turn Tunneling on (see mtSetUsingTunnel).

Prototype:

mtSetProxy(char * host, int port);

host: name of proxy server, must be a valid DNS name or IP address

port: port that proxy server is listening on

Syntax:

errCode = mtSetProxy(host, port);

mtSetUsingTunnel()

New for SDK version 3.00
Sets whether the SDK will connect through the tunnel

The SDK can connect to the myTrack servers in 2 ways, through the firewall tunneling service (TunnelThru™), and directly. Use this function to tell the SDK which way you want to connect.
See also mtSetProxy().

Prototype:

int mtSetUsingTunnel(BOOL flag);

flag: TRUE - connect thru tunnel, FALSE - connect directly

Syntax:

mtSetUsingTunnel(TRUE);

mtIsConnected()

Determines if the SDK is connected to myTrack server. Returns TRUE if it is connected, FALSE if it is not.

Prototype:

BOOL mtIsConnected (void);

Syntax:

if (mtIsConnected())

{

// put your conditional code here

}

mtConnectToServer()

Connect to MyTrack™ host

This function does the TCP/IP level connect() to the SDK server. If you get a MT_ERR_NO_CONNECT error from this function, it means that the SDK server you tried to connect to was not listening. You should make this call again, to try to connect to another of the SDK servers.

If you are having problems with the server you are connected to, for example the login response is not coming back, you should disconnect to break the connection to that server and then reconnect to another server in the server farm.

Prototype:

int mtConnectToServer(void);

Syntax:

errCode = mtConnectToServer();

mtDisconnect()

Disconnect from MyTrack™ host

This function does a TCP/IP level disconnect() from the SDK server. After making this call, you can place requests to the SDK server.

Prototype:

int mtDisconnect (void);

Syntax:

errCode = mtDisconnect();

mtGetMessage()

Read a queued message from the MyTrack™ host

The SDK has an internal thread which reads the input data from the SDK server and puts the incoming messages on a queue. This incoming queue is also used for messages internal to the SDK indicating exceptional conditions such as a disconnect, missing heartbeats from server, etc. This function mtGetMessage() returns the next message on the input queue. It must be called often enough so that the input queue does not overflow. Usually the application sets up a separate thread which calls mtGetmessage() and does some processing on the messages read.

Prototype:

int mtGetMessage(MYTRACK_MSG * message, int flag);

flag:
0 - do not pend for a message – return MT_ERR_NO_MESSAGE if no message if there is a msg waiting it will return it.
-1 - pend forever until a message comes
N - pend for N milliseconds - return a message if it comes in before the time expires. otherwise return MT_ERR_NO_MESSAGE

Syntax:

errCode = mtGetMessage(&message, flag);

The defined message types are:

MSG_ERROR_REPORT 0

MSG_LOGON_RESPONSE 1 response to a mtRequestLogon

MSG_LOGOFF_RESPONSE 2 response to a mtRequestLogoff

MSG_HEART_BEAT 3 handled internally by the SDK

MSG_HISTORICAL_DATA 4

MSG_INTRADAY_UPDATE 6

MSG_BACKGROUND_RESPONSE 7

MSG_MARKET_PULSE 8

MSG_QUOTE_RESPONSE 9

MSG_NEWS_HEADLINE 10 dynamic news headline

MSG_NEWS_RESPONSE 11 either news headline or story

MSG_DATA_WAREHOUSE 15

MSG_TRANSACTION_LOG 17

MSG_YESTERDAYS_LOGS 18

MSG_OPTION_DATA 20

MSG_COMPOSITE_FAMILY_DATA 25

MSG_SYMBOL_LOOKUP 27

MSG_COMPOSITE_VALUE 28 occasional response from intraday update

MSG_INTRADAY_DATA 29

MSG_HISTORICAL_NEWS 30

MSG_TICKER_CLOSED 32 deprecated

MSG_ZACKS_EARNINGS 34

MSG_NASDAQ_LEVEL_2 36

MSG_NEWS_VENDORS 43 news vendor codes and descriptions

MSG_OPTION_LINKS 53

MSG_EDGAR_ONLINE 55

MSG_VOLATILITY_DISPLAY 56

MSG_HEMINGTON_SCOTT 57

MSG_BROKER_ACCT_IDS 300 returns account ID's

MSG_BROKER_ACCT_SUMMARY 301 returns an account summary

MSG_BROKER_ACK_ORDER_BY_MYTRACK 302 order ack'd by myTrack

MSG_BROKER_ACK_ORDER_BY_BROKER 303 order ack'd by broker

MSG_BROKER_ORDER_EXEC 304 order has executed

MSG_BROKER_ACCT_POSITION 305 returns a position

MSG_BROKER_ACK_CANCEL_BY_MYTRACK 306 cancel ack'd by myTrack

MSG_BROKER_ACK_CANCEL_BY_BROKER 307 cancel ack'd by broker

MSG_BROKER_REJ_CANCEL_BY_BROKER 308 cancel rejected by broker

MSG_BROKER_ORDER_CANCELLED 309 order has been cancelled

MSG_BROKER_ERROR_MESSAGE 310 broker error message

MSG_BROKER_TRANSACTION 311 transaction data

MSG_BROKER_ORDER_DATA 312 record of orders

MSG_BROKER_CASH_TRANSACTION 313 record of orders

MSG_BROKER_CASH_TRANSACTION 314 record of cash transaction

The general format of the message returned from the server is:

typedef struct {
short messageCode; // defines what type of message this is
short spare;
int rqn; // the turnaround
union

ERROR_REPORT errorReport;
LOGON_RESPONSE logonResponse;
LOGOFF_RESPONSE logoffResponse;
HISTORICAL_DATA historicalData;
QUOTE_RESPONSE quoteResponse;
BACKGROUND_RESPONSE backgroundResponse;
INTRADAY_UPDATE tick;
NEWS_HEADLINE newsHeadline;
NEWS_RESPONSE newsResponse;
NEWS_VENDORS newsVendors;
SYMBOL_LOOKUP symbolLookup;
OPTION_PACKET optionPacket;
FUTURE_FAMILY_DATA futData;
OPTION_LINKS optionLinks;
INTRADAY_DATA intradayData;
HISTORICAL_NEWS historicalNews;
DATA_WAREHOUSE dataWarehouse;
TRANSACTION_LOG transactionLog;
NASDAQ_LEVEL_2 nasdaqLevel_2;
COMPOSITE_VALUE compositeValue;
BROKER_ACCT_IDS brokerAcctIds;
BROKER_ACCT_SUMMARY brokerAcctSummary;
BROKER_ACK_ORDER brokerAckOrder;

for MSG_BROKER_ACK_ORDER_BY_MYTRACK

and MSG_BROKER_ACK_ORDER_BY_BROKER

BROKER_ACK_CANCEL brokerAckCancel;

for MSG_BROKER_ACK_CANCEL_BY_MYTRACK

and MSG_BROKER_ACK_CANCEL_BY_BROKER

and MSG_BROKER_REJ_CANCEL_BY_BROKER

BROKER_ORDER_CANCEL brokerOrderCancel;

for MSG_BROKER_ORDER_CANCELLED

BROKER_ORDER_EXEC brokerOrderExec;

BROKER_ACCT_POSITION brokerPosition;

BROKER_ACCT_TRANSACTION brokerTransaction;

for MSG_BROKER_TRANSACTION

BROKER_ACCT_ORDER brokerOrder;

BROKER_ACCT_CASH_TRANSACTION brokerCashTransaction;

for MSG_BROKER_CASH_TRANSACTION

BROKER_ERROR_MESSAGE errorMessage;

for MSG_BROKER_ERROR_MESSAGE

} MYTRACK_MSG;

The content of the messages will be discussed in the section for the call for which they are a response.

mtGetStats()

Gets connection statistics

This function returns a statistics packet that will give you data indicating how your connection to the SDK server is performing.

Prototype:

int mtGetStats(STATS_PKT *statpacket);

Syntax:

errCode = mtGetStats(&statpacket);

The stats structure returned is:

typedef struct {

int numMsgsReceived; # of msgs received

int maxInputMsgsOnQueue; high water mark of # of msgs waiting

for you to process.

int numInputFaults; # of msgs dropped cause there was no

room to store them on queue.

} STATS_PKT;

The element maxInputMsgsOnQueue should be low. If it is high, it indicates that your application is not calling mtGetMessage() frequently enough and that the input queue is backing up.
The element numInputFaults should be zero. If it is not, then you are letting the input queue back up so far that messages are missed. This indicates a serious fault in your application architecture.

mtRequestLogon()

Request logon from myTrack host.

Prototype:

int mtRequestLogon (int rqn, // request # - turn around data

char * username, // myTrack username, 16 bytes max
char * password, // mytrack password, 16 bytes max
char * productName, // your product name - 12 bytes max
UCHAR revHO, // your product rev # high order; must be < 99
UCHAR revLO // your product rev # low order; must be < 99

);

Syntax:

errCode = mtRequestLogon(rqn, user, password, product, revH, revL);

When the logon has been processed, a MSG_LOGON_RESPONSE message will be sent by the SDK server.

Typedef struct {

char error; // 0=ok, otherwise see server side errors below
char host[8]; // myTrack host name

} LOGON_RESPONSE;

Important
1. You must logon within 10 seconds of the call to mtConnectToServer()
2. Distributors of myTrack SDK based software:
set productName, revHO, revLO to identify your product to distinguish users of your software for support and other matters. These values must be less than 99

mtRequestLogoff

Request logoff from myTrack host

Prototype:

mtRequestLogoff (int rqn); // request # - turn around data

Syntax:

errCode = mtRequestLogoff (rqn);

When the logoff has been processed, a MSG_LOGOFF_RESPONSE message will be sent by the SDK server.

struct {

char error; // 0=ok, otherwise see server side errors below

} LOGOFF_RESPONSE;

mtRequestHistoricalData()

Request historical pricing data

The server will send you the data backwards in time from the most recent day going backwards. Therefore the starting date is really the later date on a chronological basis. The # of packets requested has to be between 1 and 255. If you need more data, make additional requests.

Prototype:

mtRequestHistoricalData(

int rqn, // request # - turn around data

char *ticker, // ticker symbol - up to 16 bytes

short date[3], // starting date: (see details above)

// year (ex: 1999 or 2001…)

// month (1-12)

// day (1-31)

short numPkts, // # of packets requested

short period // 1=daily 2=weekly 3=monthly

);

Syntax:

errCode = mtRequestHistoricalData(rqn, ticker, date,numPkts,period);

This call will return one or more packets from the server The number of packets sent back does not always correspond to the number requested. The server may send back less than requested. Be guided by the packet flag and re-issue another request if needed. Packets are of the form:

typedef struct {

char error;
char recordType; // see recordType below
char packetFlag; // 0=more packets to follow

// 1=last transmission for this request
// 2=no more data for this ticker

UCHAR numPackets; // number of packets returned
int generalSplitFactor; // see below
HIS_PACKET pkt[MAX_HISTORICAL_PKTS_PER_SEND];
// MAX_HISTORICAL_PKTS_PER_SEND is currently set to 50.

}HISTORICAL_DATA;

recordType

stock 0 S&P 10

index 1 mutual fund 11

option 2 money market fund 12

regional 3 technical data 13

market statistic 4 volatility data 14

future 5 otc bond data 15

future option 6 dividend 16

money rates 7 eps and sos 17

misc option 8 splits 18

bond 9

The server will send back multiple data sub-packets one for each period. Not all fields are valid for all record types - see below

typedef struct {

short date[3];

UCHAR spare;

UCHAR format; // see below

long open; // O H L C data is for each period(day, week or month)

long high;

long low;

long close;

long volume;

long misc; // see below

} HIS_PACKET;

The following are the valid fields per type of record:

Type Date Format Open High Low Close Vol Misc

Stock Yes Yes Yes Yes Yes Yes Yes Daily Split Factor

Index Yes Yes Yes Yes Yes Yes No No

Option Yes Yes Yes Yes Yes Yes Yes No

Mkt stat Yes Yes Yes Yes Yes Yes Yes No

Future Yes Yes Yes Yes Yes Yes Yes Open Interest

Mutual Fund Yes Yes NAV Offer

The daily_split_factor is used to correct the historical data for splits. The historical prices reflect what the actual price was on the day the stock was traded. To correct the historical data for splits for every day compute the stock value:

Corrected value = (historical value * general_split_factor) / daily_split_factor

The format field is used to account for the many different increments of stock prices (32^nd, 64ths, decimals, etc.) The format field is the denominator you divide the value by to get the real price.

if (format < 10)

denominator = 10 ** format; // 10^format

else

denominator = 2 ** (format - 10); // 2^{(format - 10)}

Example:
value = 40160 format = 18 denominator = 256 real value = 156.875
value = 663010 format = 2 denominator = 100 real value = 6630.10

Historical value for ‘mkt stat’ instTypes are formatted by the host.

mtRequestQuoteData()

Request quotation for ticker

Prototype:

mtRequestQuoteData(

int rqn, // request # - turn around data

char * ticker, // ticker symbol - up to 14 bytes if

there is an option code present
if the option code pointer is NULL
then the ticker can be extended to 16 bytes

char * optionCode // option code if requesting an option

2 bytes, or null string if not option

);

Syntax:

errCode = mtRequestQuoteData(rqn, ticker, optionCode);

There are two types of packets returned. One type is in response to an option request, the other is for all other types of instruments.

Check ‘recordType’ to see it the response is for an ‘option’, otherwise use ‘stock’ format.

The stock (and everything else except for options) structure is:
{

char error;

UCHAR recordType; see recordType

UCHAR rtFlag; 0 = real time, 1 = delayed

char spare[2];

UCHAR format;

UCHAR tradeHour; hour of last trade

UCHAR tradeMinute; minute of last trade

int last; last trade price

int yestClose; yesterday's close

int volume; today’s total volume for primary or specified exchange.
Must be multiplied by blockFactor

int bid;

int ask;

int bidSize;

int askSize;

int high;

int low;

int open;

int lastTradeVolume;

int annualHigh;

int annualLow;

UCHAR tick; indicator: 1 = up, 255 = down

char exchange[2]; 2 character code of primary market (see Market Codes)

UCHAR volatility; volatility indicator (between 0 and 150) see VOLATILITY_DISPLAY for formula

UCHAR divFrequency; frequency of dividends

UCHAR divDate[3]; in thousands of a unit (i.e. 1125 = $1.125)

int eps; in thousands of a unit (i.e. 4650 = $4.650)

short blockFactor; multiplier for:
INTRADAY_UPDATE: volume
QUOTE: volume, lastTradeVolume, yestVolume

short shortableQuantity; 0 = not shortable, otherwise the amount available for shorting, in 100's

int implied; only for stocks that have options,
divide by 100, used with delayed-prices as a better indicator of the current stock price

int yestVolume; yesterday’s closing volume - multiply by blockFactor

short newsValue; minutes from midnight of latest news item

short spare3;

int compositeVolume; in shares - do not multiply by block factor

int numTrades;

int afterMktLast; 0 during regular trading

UCHAR afterMktHour; hour of last after market trade

UCHAR afterMktMinute; minute of last after market trade

}QUOTE_RESPONSE_STOCK;

This is the structure returned for options:

char error;

UCHAR recordType; see recordType

UCHAR rtFlag; 0 = real time, 1 = delayed

char spare[2];

UCHAR format;

UCHAR tradeHour; hour of last trade

UCHAR tradeMinute; minute of last trade

int last; last trade price

int yestClose; yesterday's close

int volume; today’s total volume for primary or specified exchange.
Must be multiplied by blockFactor

int bid;

int ask;

int bidSize;

int askSize;

int high;

int low;

int openInterest;

char exchange[2]; 2 character code of primary market (see Market Codes)

char optionDesignation[2];

int strikePrice; use format code to interpret this

short daysToExpiration; calculated from Monday on weekends

UCHAR seriesNumber;

UCHAR numDividends;

UCHAR callPutFlag; 0 = call, 1 = put

char spare1[3];

int yesterdayVolume; do not multiply by blockFactor

char exchangeRoot;

int open;

int numTrades;

} QUOTE_RESPONSE_OPTION;

A union is defined to handle these two dissimilar structures:

typedef struct { // the union of stock & option pkts

union {

QUOTE_RESPONSE_STOCK stock;

QUOTE_RESPONSE_OPTION option;

} u;

} QUOTE_RESPONSE;

mtRequestBackground()

Request background info for a ticker symbol

Prototype:

mtRequestBackgroundData(

int rqn, // request # - turn around data

char * ticker, // ticker symbol - up to 14 bytes

char * optionCode // option code if requesting an option

2 bytes, or null string if not option

);

Syntax:

errCode = mtRequestBackgroundData(rqn, ticker, optionCode);

The server will respond with a MSG_BACKGROUND_RESPONSE containing the following packet:

char error;

UCHAR recordType; see recordType

char description[32]; name of company

char cusip[12]; standard industry id for this security

char industryGroup[6];

char startDate[3]; earliest history for this security

char endDate[3]; latest history for this security (will be 00/00/00 for active stocks)

UCHAR optionFlag; 0 = no options, 1 = has options

char primaryMarketCode; see Market Codes

int sharesOutstanding; in thousands

int sharesInFloat; in thousands

int averageDailyVolume; in units

int shortInterest; in units

char underlyerSymbol[8] underlying stock symbol

BYTE lotSize minimum round lot - usually 100, can be 10 or 1

} BACKGROUND_RESPONSE;

mtRequestIntradayUpdate()

Request to start/stop dynamic ticker updates

Prototype:

Int mtRequestIntradayUpdate(

int rqn, // request # - turn around data

char * ticker, // ticker symbol - up to 14 bytes

char * optionCode, // option code if requesting an option

2 bytes, or null string if not an option

UCHAR flag //1 = start, 2 = stop

);

Syntax:

errCode = mtRequestIntradayUpdate(rqn, ticker, optionCode, flag);

Server responds with MSG_INTRADAY_UPDATE contianing either an INTRADAY_UPDATE packet for a quote update or a SALE_UPDATE packet for a trade message. The server will send this message every time a stock trades or the bid/ask change:

UCHAR error;

UCHAR recordType; see recordType in HISTORICAL_DATA

char flag; see below

char msgType; 0 - trade, 1 - quote

union
SALE_UPDATE sale;
QUOTE_UPDATE quote;
}m;

} INTRADAY_UPDATE;

{ // intraday update - sale message

char time[3];

char format;

long seq; unique seq # of this trade (identifies corrections…)

long value;

long volume; must be multiplied by QUOTE blockFactor

char saleCode; defines the type of sale, usually blank. see Sales Codes

}SALE_UPDATE;

{ // intraday update - quote message

char time[3]; hour:minute:seconds

char format;

long seq; unique seq # of this quote

long bid;

long ask;

USHORT bidSize;

USHORT askSize;

} QUOTE_UPDATE;

The flag will denote the type of Message. There are 3 possibilities:

0: a regular msg
1: a cancellation of a previous msg, where the msg to be cancelled is the one with the same sequence # that is in this msg.
2: a correction - replace the msg with the seq # that is sent with this msg with the data in this msg (new volume & last)

Not all fields are defined for each record type. The following are the valid fields per type of record:

For a Sale Message:

Type Time Format Seq # Value Volume Sale Code

Stock Yes Yes Yes Yes Yes Yes

Index Yes Yes Yes Yes No Yes

Option Yes Yes Yes Yes Yes No

Regional Stock Yes Yes Yes Yes Yes Yes

Mkt Stat Yes Yes Yes Yes No No

Future Yes Yes Yes Yes Yes No

For a Quote Message:

Type Time Format Seq # Bid Ask Bid Size Ask Size

Stock Yes Yes Yes Yes Yes Yes Yes

Index Yes Yes Yes Yes No No No

Option Yes Yes Yes Yes Yes No No

Regional Stock Yes Yes Yes Yes Yes Yes Yes

Mkt Stat n/a

Future Yes Yes Yes Yes Yes only on Globex

Note: The server will send MSG_COMPOSITE_VALUE (mc 28) in addition to the other intraday update messages. The value updates the composite volume.
{

int value;

} COMPOSITE_VALUE;

mtRequestNewsHeadlines()

Request to start/stop dynamic news headlines.

This request will start or stop news headlines from coming in. If you do not call this routine, you will not get dynamic news. Should only be called once per successful logon.

Prototype:

int mtRequestNewsHeadlines (int rqn, // request # - turn around data

UCHAR flag // 1 - start, 2 - stop

);

Syntax:

errCode = mtRequestNewsHeadlines (rqn, flag);

The server responds with MSG_NEWS_HEADLINE for each new headline that has arrived.
{

UCHAR length; // length of headline

char headline[160];

} NEWS_HEADLINE;

Presently only up to 80 characters will be sent, but allow for a double headline of 160 characters in the future. The headline will have the following format:

story # vendorCode time text

For example:

01235 R 6.06 Judge rules against Microsoft

where:

	01235	is the unique story # - use this # to retrieve the story
	R	is the vendor code (for Reuters). See below for function mtRequestNewsVendors() to retrieve the list of vendor codes
	6.06	is the time. AM is indicated by the period 6'.'06, PM is indicated by a colon 6':'06

mtRequestNewsByTicker()

Requests all the news headlines for a specific ticker

Prototype:

int mtRequestNewsByTicker (int rqn, // request # - turn around data

char * ticker, // ticker symbol - up to 16 bytes

char y_flag); // 0 - today's news, 1 - yesterday's news

Syntax:

errCode = mtRequestNewsByTicker(rqn, ticker, y_flag);

The server responds with one or more MSG_NEWS_RESPONSE messages, with one message per headline.
{

UCHAR error;

UCHAR flag; 0 - more to come, 1 - last msg

UCHAR length; # of bytes in line

char line[160]; the headline as explained above

} NEWS_RESPONSE;

mtRequestNewsStory()

Request for a specific news story

Prototype:

int mtRequestNewsStory (int rqn, // request # - turn around data

char * storyNumber // story number - up to 8 bytes

);

Syntax:

errCode = mtRequestNewsStory(rqn, storyNumber);

The server responds with one or more MSG_NEWS_RESPONSE messages, with one message per line of the story.
{

UCHAR error;

UCHAR flag; 0 - more to come, 1 - last line

UCHAR length; # of bytes in line

char line[160];

} NEWS_RESPONSE;

mtRequestNewsVendors()

Request for all news vendor codes and descriptions

Prototype:

int mtRequestNewsVendors (int rqn); // request # - turn around data

Syntax:

errCode = mtRequestNewsVendors (rqn);

The server responds with a MSG_NEWS_VENDORS message of the form:
{

char flag; 0 - more to come, 1 - last one

char enabled; 0 - vendor not enabled, 1 - vendor is enabled

char vendorCode[3]; a 1 to 3 character vendor code

char vendorSubCode[2]; 1 or 2 character vendor sub code (see myTrack.txt)

char vendorName[14]; use this name in your display

} NEWS_VENDORS;

mtRequestSymbolLookup()

Look up company name for a ticker, or return company names matching template

Prototype:

int mtRequestSymbolLookup (int rqn, // request # - turn around data

char * symbol, // ticker or wildcard pattern
char type, // 0 = ticker, 1 = wild card pattern
char next, // (for type 1 only) 0 = initial request 1 = more
char nol // (for type 1 only) number of matching

company names to return

Syntax:

errCode = mtRequestSymbolLookup (rqn);

The server responds with a MSG_SYMBOL_LOOKUP message of the form:
{

char error;

char type;

char eom_flag; see below

char spare;

char ticker[80]; Full Company Name

} SYMBOL_LOOKUP;

The interpretation of the eom_flag is:
0 = more to follow for this request
1 = this request has been satisfied (nol has been reached), but there are more matches in the database
2 = no more matches in the database

Note: eom_flag will always be ‘2’ on a wildcard request for ‘more’, although the server will continue to return matching results on request for more. The server will return the entire list of symbols as long as you request ‘more’.

mtRequestOptionData()

Request the list of options for a security matching specified criteria

Prototype:

int mtRequestOptionData(int rqn,

char * ticker,
char RequestType, // 0 - calls, 1 - puts, 2 - both
char composite, // 0 - one market, 1 - all markets
short pct_out, // % out of the money filter
short pct_in, // % in the money filter
BYTE num_lines,
int flag // 0 - initial request, 1 - more of previous request

);

Syntax:

errCode = mtRequestOptionData (rqn, ticker, RequestType, composite, \

pct_out, pct_in, num_lines, flag);

The server responds with one or more MSG_OPTION_DATA messages, with one message per option.
{

char error;

char recordType; see recordType

char rtFlag;

char eomFlag; see below

char spare;

UCHAR format;

UCHAR tradeHour;

UCHAR tradeMinute;

int last;

int yest_close; yesterday's close

int volume;

int bid;

int ask;

int high;

int low;

int open_interest;

char exchange[2];

char designation[2]; option designator

int strikePrice; use format code to interpret this

short daysToExp; days to expiration

char series_num;

char numDivPayments;

char callOrPut; 0 - call, 1 - put

char spare1[2];

int yest_volume;

char exchangeRoot[4];

int open;

int numTrades;

} OPTION_PACKET;

The interpretation of the eom_flag is:
0 = more to follow for this request
1 = this request has been satisfied (num_lines has been reached), but there are more options for this stock
2 = no more options for this stock. The packet containing this flag does not contain any option data.

mtRequestOptionLinks()

Request the list of option links for a security

Prototype:

int mtRequestOptionLinks(int rqn, char *symbol);

Syntax:

errCode = mtRequestOptionLinks (rqn, symbol);

The server responds with a MSG_OPTION_LINKS message:
{

char error;

char num; # of tickers (max 20)

char ticker[20][4];

} OPTION_LINKS;

mtRequestFutureFamilyData()

Request future family data

Prototype:

int mtRequestFutureFamilyData(int rqn, char *symbol);

Syntax:

errCode = mtRequestFutureFamilyData (rqn, symbol);

The server responds with one or more MSG_FUTURE_FAMILY_DATA messages:
{

char error;

char recordType; // see recordType

char rtFlag; 0 - real time, 1 - delayed

char eomFlag; 0 - more packets will be sent, 1 - last packet

UCHAR format;

UCHAR tradeHour;

UCHAR tradeMinute;

int last;

int yestClose; yesterday's close

int volume;

int bid;

int ask;

int high;

int low;

int openHi;

int openLo;

int annualHi;

int annualLo;

char tick; >0 uptick, <0 downtick

char exchange[2];

BYTE volatility; volatility value between 0 and 150, see VOLATILITY_DISPLAY for formula

char firstDeliveryDate[3];

char lastDeliveryDate[3];

char lastTradeDate[3];

char hasOptions;

char spare;

int impliedPrice;

int yestVolume;

int openInterest;

char ticker[6];

} FUTURE_FAMILY_DATA;

mtRequestIntradayData()

Request intraday 1 minute interval data, for the entire day requested.

Prototype:

int mtRequestIntradayData(int rqn,

char *symbol,

BYTE dateFlag // 0 = most current date, 1 - day back,

2 - 2 days back…, 15 - 15 days back

);

Syntax:

errCode = mtRequestIntradayData (rqn, symbol, dateFlag)

The server responds with a series of MSG_INTRADAY_DATA messages, one message per minute where there is data. If there are no trades during a minute, then no packet will be sent for that minute:
{

char error;

char recordType; see recordType

char spare[2];

char date[3];

char packetFlag;

UCHAR Hour;

UCHAR Minute;

UCHAR Second;

UCHAR format;

int endSeq;

int open;

int high;

int low;

int close;

int volume; do not multiply by blockFactor

} INTRADAY_DATA;

error: 0 = ok
if no data for the day you requested you'll get err 14
if the day requested is not available you'll get err 25
for other errors see Error Codes

packet flag: 0 - more packets to follow
1 - last packet for this ticker

mtRequestIntradayDataTime()

Request intraday 1 minute interval data, starting from ‘minutes from midnight’

Use this function when you don’t need the entire day’s data (i.e. to update intraday data previously requested)

Prototype:

int mtRequestIntradayData(int rqn,

char * symbol,
BYTE dateFlag // 0 - most current date,

1 - 1 day ago, 2 - 2 days ago… 15 - 15 days back

short minFromMidnight // send data from this time on

);

Syntax:

errCode = mtRequestIntradayDataTime(rqn, symbol, dateFlag, minFromMidnight)

The server response will be the same as in mtRequestIntradaData()

mtRequestDataWarehouse()

Request for data warehouse

Important: If you use the myTrack program, make sure you are not overwriting information needed by the myTrack app.

Prototype:

int mtRequestDataWarehouse(int rqn,

char actionType, // 1 - get data, 2 - send data, 3 - delete data

short key, // record identifier

char * data // only if saving data

);

Syntax:

errCode = mtRequestDataWarehouse (rqn, actionType, key, data);

The server responds with a MSG_DATA_WAREHOUSE message:
{

char error;

char actionType; same as action type in request

short key; identifier of record requested

char data[100]; only if getting data

} DATA_WAREHOUSE;

mtRequestTransactionLog()

Request for transaction log

Prototype:

int mtRequestTransactionLog(int rqn,

char flag, // 0 - initial request, 1 - page down, 2 - page up
char nol, // # of lines in window (min - 5)
char noc, // # of columns in window: 40 - one

message per line, 80 - 2 messages per line

char * text, // request text (max 10 chars),

typically a ticker symbol

int type // 0 - both trades and quotes,

1 - quotes only, 2 - trades only

);

Syntax:

errCode = mtRequestTransactionLog(rqn, flag, nol, noc, text, type);

The server responds with one or more MSG_TRANSACTION_LOG messages:
{

char error;

char flag; 0 - more lines to follow, 1 - last line

char spare;

char nob; number of bytes in line

char line[160]; Data - see ConvertFractions() below

} TRANSACTION_LOG;

The line[] data in the message contains fractional data that should be passed, byte by byte, through the following conversion routine for printing:

int ConvertFractions(

unsigned char token, // character value from 'line[]'
char *sToken // pointer to store resulting string

);

The format for the transaction log text (line) is as follows:
Day of month (for yesterday’s log only)
Time of Transaction
Exchange Code
Volume (for trades, left blank for quotes)
Price (for trades) Bid – Ask – Size (for quotes)
Transaction Log code – usually blank, see Sales Codes for codes

For more help see the myTrack help for “using transaction log”

mtRequestNasdaqLevel_2()

Request for Nasdaq Level 2 data

Prototype:

int mtRequestNasdaqLevel_2 (int rqn,

char flag, // 1 - start dynamic monitoring,

2 - terminate monitoring

char nol, // # of lines in the display

minimum of 8, max of 24

char show_closed, // market maker: 1 - do not

display closed mm, 2 - display closed mm

char * text // request text (max 12 chars)

typically a ticker symbol

);

Syntax:

errCode = mtRequestNasdaqLevel_2(rqn, flag, nol, show_closed, text)

The server responds with one or more MSG_NASDAQ_LEVEL_2 messages:
typedef struct {

char error;

char flag; 0 - more data for this transmission,
1 - last message in this transmission

char nop; number of packets in this msg

char spare;

NQDSDATA packet; list of ‘nop’ NQDSDATA packets (see below).
each packet contains bid AND ask for a MM you must sort the bid/asks of each MM separately.

} NASDAQ_LEVEL_2;

{

char stMmid[4]; market maker id

BYTE bAction; 1 = valid MM record,
2 = delete this MM record from your list, the server will no longer update this MM. ignore the other data in this packet

char cQc; quote condition: 'C' = closed

char cPriceFormat; 0: bid is in 256ths, ask is in 256ths
1: bid is in 256ths, ask is in 1000ds
2: bid is in 1000ds, ask is in 256ths
3: bid is in 1000ds, ask is in 1000ds
4: bid is in 256ths, ask is in 10,000ds
5: bid is in 10000ds, ask is in 256ths
6: bid is in 10000ds, ask is in 10000ds

char cTrend; trend indicator
bit 0x01 on - bid up, off - bid down
bit 0x02 on - ask up, off - down

long lMmbid; bid price

long lMmbidsz; bid size

long lMmask; ask price

long lMmasksz; ask size

long lTime; time of quote (seconds from midnight)

USHORT sNumBid; # of times at the inside bid

USHORT sNumAsk; # of times at the inside ask

} NQDSDATA;

The NASDAQ_LEVEL_2 msg contains a variable number ('nop') of NQDSDATA packets. The ‘packet’ field is a pointer to the first 'packet'. To get all the packets:

Get the address of the first packet
Cast it to an array of packets
Continue adding to the address of the packet for the num of packets ('nop').

See example in the mt_test demo program.

Notes:

The first message will contain at least enough packets to fill the amount of lines (‘nol’) you requested.
A ‘packet’ contains both the bid and ask for a MM.
You must handle updating, removing and sorting of the MM bid and ask data.
Subsequent messages will only contain packets with updated MMs. You will need to resort your display and put it in the correct place.
The server will stop dynamic updating after 15 minutes. If the window is still monitoring, you need to refresh this request every 10 minutes. The rqn must be same as in the original request.
In order for this function to work you must add the following features to your myTrack account:
1. Nasdaq Level II entitlements (snap or dynamic)
2. real-time data (at least myTrack Silver plan)
3. Nasdaq Exchange (chat / entitlements / exchanges)
Microsoft (MSFT) will work as a sample regardless of entitlements

mtRequestOrderBook()

Request for Order Book data (order stacking at ISLD)

Prototype:

int mtRequestOrderBook (int rqn,

char flag, // 1 - start dynamic monitoring,

2 - terminate monitoring

char nol, // # of lines in the display

minimum of 8, max of 24

char * MMid, // to request a specific MM

char * text // request text (max 12 chars)

usually a ticker symbol

);

Syntax:

errCode = mtRequestOrderBook (rqn, flag, nol, MMid, text);

The server responds with one or more MSG_ORDER_BOOK messages:
typedef struct {

char error;

char flag; 0 - more data for this transmission,
1 - last message in this transmission

char nop; number of packets in this msg

char spare;

OB_DATA packet; list of ‘nop’ OB_DATA packets (see below)

} ORDER_BOOK;

{

long orderNum; order number, vendor buy / sell specific

char stMmid[4]; market maker id

BYTE bAction; 1 - valid MM record,
2 - delete this MM record from your list, the server will no longer update this MM. ignore the other data in this packet

char cSide; 'B' - buy, 'S' - sell

BYTE cPriceFormat; 0: bid is in 256ths, ask is in 256ths
1: bid is in 256ths, ask is in 1000ds
2: bid is in 1000ds, ask is in 256ths
3: bid is in 1000ds, ask is in 1000ds
4: bid is in 256ths, ask is in 10,000ds
5: bid is in 10000ds, ask is in 256ths
6: bid is in 10000ds, ask is in 10000ds

char spare;

long price;

long size;

long lTime; seconds from midnight

} OB_DATA;

The ORDER_BOOK msg contains a variable number ('nop') of OB_DATA packets. The ‘packet’ field is a pointer to the first 'packet'. To get all the packets:

Get the address of the first packet
Cast it to an array of packets
Continue adding to the address of the packet for the number of packets ('nop').

See example in the mt_test demo program.

Notes:

The server will stop dynamic updating after 15 minutes. If the window is still monitoring, you need to refresh this request every 10 minutes. The rqn must be same as in the original request.
This feature is only available for NADSAQ issues and the feed begins at 7am est.

mtRequestNewsByVendor()

Request for news by vendor

Prototype:

int mtRequestNewsByVendor(int rqn,

char * vendor, // vendor (ex: D for Dow Jones)

int headline // earliest headline #

to get all of today's news, set to 1

);

Syntax:

errCode = mtRequestNewsByVendor(rqn, vendor, headline);

Note: Presently only up to 80 characters will be sent, but allow for a double headline of 160 characters in the future.
The headline will have the following format:

story # vendorCode time text

For example:

01235 R 6.06 Judge rules against Microsoft

where:

	01235	is the unique story # - use this # to retrieve the story
	R	is the vendor code (for Reuters). See below for function mtRequestNewsVendors() to retrieve the list of vendor codes
	6.06	is the time. AM is indicated by the period - 6'.'06, PM is indicated by a colon - 6':'06

mtRequestHistoricalNews_Ticker()

Request for historical news by ticker

Prototype:

int mtRequestHistoricalNews_Ticker(int rqn,

char nol, // number of headlines to return

char more, // 0 - initial request, 1 - more headlines

char * ticker // ticker symbol i.e 'IBM'

);

Syntax:

errCode = mtRequestHistoricalNews_Ticker (rqn, nol, more, ticker);

The server responds with one or more MSG_HISTORICAL_NEWS messages, with one message per headline.
{

char error;

char flag; 0 - more to come, 1 - last msg

char nob; # of bytes in line

char line[160];

} HISTORICAL_NEWS;

The first request for historical news should have the parameter more set to 0. This will give the most recent headlines. If you would like to go back in history further on subsequent requests, set more to 1. The server will continue from where it left off. Note that the placeholder that allows you to continue back in history does not persist across sessions, so if you log off from the SDK server you will have to start the process over again.

The data will be sent back in lines. Each line may have up to 160 bytes of text but presently will not exceed 80 bytes.

See mtRequestNewsByVendor() above for headline format.

mtRequestHistoricalNews_Story()

Requests historical news story

Prototype:

int mtRequestHistoricalNews_Story(int rqn,

int storynumber, // ex: 12345

char *mmddyy // the date

);

Syntax:

errCode = mtRequestHistoricalNews_Story(rqn, storynumber, mmddyy)

The server responds with one or more MSG_HISTORICAL_NEWS messages, with one message per line of the story.
{

char error;

char flag; 0 - more to come, 1 - last line

char nob; # of bytes in line

char line[160];

} HISTORICAL_NEWS;

mt3rdParty_MarketPulse()

Requests Market Pulse display data

Prototype:

int mt3rdParty_MarketPulse(int rqn, char *text);

Syntax:

errCode = mt3rdParty_MarketPulse (rqn, text);

Market Pulse is requested by page number. The page number is the "Market" + "Pulse". For example: NYSE most active is page "101" - "Market" NYSE is 100 and "Pulse" most active is 01:

You can enter .1 after any page # to see yesterday’s data (e.g. 101.1).
You can enter .2 after any page # to see after-hours data (e.g. 101.2).

Below is the listing of the "Markets" and "Pulse's".

Markets

NYSE stocks 100 OTCBB 6100

AMEX stocks 200 Equity Options 400

NASD stocks 300 Index Options 500

Toronto 1100 Averages 600

Montreal 1200 Statistics 700

Vancouver 1300 Index Futures 800

UK 2100 Currencies 900

Pulses

Pulse Codes for Stocks

most active 01 most active (new high) 08

most up ($) 02 most active (new low) 09

most down ($) 03 most gap up ($) 10

most up (%) 04 most gap down ($) 11

most down (%) 05 most active (price * volume) 12

most up volume (%) 06 most active (trading at high) 13

most active (with news) 07 most active (trading at low) 14

Pulse Codes for Index & Equity Options

most active calls 01 statistics 04

most active puts 02 statistics of equity
plus index options 05

most active family 03

Pulse Codes for Averages

Industrials 01 Utilities 03

Transportations 01 World Indices 50

Pulse Codes for Statistics

NYSE 10 DOW 40

AMEX 20 BOND 50

OTC 30

Pulse Codes for Index Futures

Theoretical values & returns 01 XOI 03

XMI 02

Pulse Codes for Currencies

Currencies page 1 01

The message returned will be of type MSG_MARKET_PULSE.

To format the data in aligned columns:

int mtMPFormatData(char *from, void *to, int type);

At this time the only “type” defined is:
#define MP_FORMAT_TEXT 1

This will format response with all ASCII characters and aligned columns - each line may be up to 160 chars.

mt3rdParty_ZacksEarnings()

Request for information from 3^rd party database Zacks Earnings Estimates

Prototype:

int mt3rdParty_ZacksEarnings(int rqn,

char * text // ticker symbol for request

);

Syntax:

errCode = mt3rdParty_ZacksEarnings(rqn, symbol);

The server responds with a MSG_ZACKS_EARNINGS message:
{

char error;

char flag; 0 - more pages to follow, 1 - last page

short nob; # of bytes in page

char data[24][80]; 24 by 80 page data

} ZACKS_EARNINGS;

mt3rdParty_EdgarOnline()

Request for information from 3^rd party database Edgar Online

Prototype:

int mt3rdParty_EdgarOnline(int rqn,

char *text // ticker symbol for request

);

Syntax:

errCode = mt3rdParty_EdgarOnline(rqn, symbol);

The server responds with a MSG_EDGAR_ONLINE message:
{

char error;

char eomflag; 1 - more to come, 2 - last data

char spare[2];

char dateText[8]; the date

char headline[96];

char url[128]; url of the full document

} EDGAR_ONLINE;

The headline in this structure contains a brief summary of what the Edgar filing is.
The url is the URL on the Edgar site which will give you the full document.

mt3rdParty_HemingtonScott()

Request for information from 3^rd party database Hemmington Scott

Prototype:

int mt3rdParty_ HemingtonScott(int rqn,

char * text // ticker symbol for request

);

Syntax:

errCode = mt3rdParty_ HemingtonScott(rqn, symbol);

The server responds with a MSG_HEMINGTON_SCOTT message:
{

char error;

char spare;

char flag; 0 - more lines to follow, 1 - last line

char nob; # of bytes in line

char text[80]; line of data

} HEMINGTON_SCOTT;

mtRequestVolatilityDisplay()

Request for a text page with various volatilities for an instrument

Prototype:

int mtRequestVolatilityDisplay(int rqn,

char * text // ticker symbol for request

);

Syntax:

errCode = mtRequestVolatilityDisplay (rqn, symbol);

The server responds with a MSG_VOLATILITY_DISPLAY message:
{

char error;

char spare[3];

char data[24][80]; 24 by 80 page data

} VOLATILITY_DISPLAY;

The message contains this display:
(sample for MSFT on August 23, 2000)

MSFT Aug Sep Oct Nov Dec Jan Shares Out (k)

vol 35 36 34 27 41 43 5262405

high 96.37 97.87 95.25 94.50 119.93 118.62

low 80.96 88.81 85.06 84.37 90.87 94.87

close 92.56 90.56 92.56 91.06 116.75 97.87

Feb Mar Apr May Jun Jul

vol 48 57 95 44 41 38

high 110.00 115.00 96.50 74.00 82.18 82.87

low 88.12 88.93 65.00 60.37 63.81 67.25

close 89.37 106.25 69.75 62.56 80.00 69.81

1mo 3mo 6mo 12mo 2000 Aug imp

vol 37 40 57 48 56 29 40

high 82.87 82.87 115.00 119.93 118.62

low 67.25 60.37 60.37 60.37 63.37

The top line lists monthly values for the last twelve months. The next three lines the high, low, and closing price for the same twelve months.

In addition to the monthly volatilities, 7 more volatilities are shown in the line below the monthly prices. The first six values (reading left to right) are historical values of volatility. These historical values represent the following time periods: 30 days (1mo), 90 days (3 mo.), 180 days (6 MO), 365 days (12mo), and for the current year to date and for the current month to date. The high and low prices for these periods are shown below the volatilities.

The last volatility value is today’s volatility. Based on the price fluctuation of the stock for today.

The last item shown on the first line, shares out (K), is the number of shares outstanding in thousands.

Volatility Formula:

Get Price Relatives = price on day / price on day x-1
Calculate log of each Price Relative and Sum all logs
? (Log (price on day x / price on day x-1))
Calculate the mean of the range of price relatives
? (Log (price on day x / price on day x – 1)) / # price relatives
Calculate the sum of the square of each price relative
? ((price on day x /price on day x-1)2)
Volatility = Square Root (253*(sum of the squares or price relatives (# of price relatives (mean of the logs of price relatives)2)) / # of price relatives

mtRequestCompositeFamilyData()

Request for a quotation for each exchange a symbol trades on

Prototype:

int mtRequestCompositeFamilyData (int rqn,

char * text // ticker symbol for request

);

Syntax:

errCode = mtRequestCompositeFamilyData(rqn, symbol);

The server responds with one or more MSG_COMPOSITE_FAMILY_DATA messages, one message containing a quote for each market the instrument is traded on:
{

char error;

char recordType; see recordType

char rtFlag; 0 - real time ticker, 1 - delayed ticker

char eomflag; 0 - more packets to come, 1 - last packet

char spare;

UCHAR format;

UCHAR tradeHour;

UCHAR tradeMinute;

int last;

int yestClose;

int volume;

int bid;

int ask;

int bidSize;

int askSize;

int high

int low;

int open;

int lastTradeVolume;

int annualHigh;

int annualLow;

UCHAR tick;

char exchange[2]; market letter (i.e. N for New York) up to 2 letters

UCHAR volatility; see VOLATILITY_DISPLAY for formula

UCHAR divFrequency;

UCHAR divDate[3];

int divAmt;

int eps;

short blockFactor;

short shortableQuantity;

int implied; only for stocks that have options, divide by 100, used with delayed-prices as a better indicator of the current stock price

int yestVolume;

short newsValue;

short spare3;

int compositeVolume;

int numTrades;

int afterMktLast;

UCHAR afterMktHour;

UCHAR afterMktMinute;

short spare4;

int afterMktVolume;

} COMPOSITE_FAMILY_DATA;

mtRequestYesterdaysLogs()

Request for yesterday’s transaction log (time & sales) for a symbol

Prototype:

int mtRequestYesterdaysLogs(int rqn,

char flag, // 0 - initial request, 1 - page down, 2 - page up

char nol, // # of lines in window

char noc, // # of columns in window

char * text, // typically a ticker symbol max 10 chars

int type // 0= both trades and quotes

1 - quotes only, 2 - trades only

);

Syntax:

errCode = mtRequestYesterdaysLogs (rqn, flag, nol, noc, text, type);

The server responds with a MSG_YESTERDAYS_LOGS message:
{

char error;

char flag; 0 - more lines to follow, 1 - last line

char spare;

char nob; # of characters in the line

char line[80];

} YESTERDAYS_LOGS;

Complete Documentation Table of Contents

Overview

SDK Functionality	Architecture
Installation	Getting Started
Running the Windows NT Demos	Programming Basics
Function Summary

Brokerage Related Functions

mtBrokerUseContest()	mtBrokerUseRealAcct()
mtBrokerRequestAcctIDs()	mtBrokerRequestAcctSummary()
mtBrokerRequestAcctPositions()	mtBrokerCashTransactions()
mtRequestMarketMakers()	mtBrokerEnterOrder()
Brokerage Order Response Messages	MtBrokerEnterCondOrder()
mtBrokerCancelOrder()	mtBrokerRequestTransactionData()
mtBrokerRequestOrder()

Appendicies

Market Codes	Sales Codes
Error codes	Brokerage error codes
myTrack DLL description	Revision History