Execution Drop Copy

This document describes the SpiderRock Drop Copy FIX Gateway. This gateway enables the client to monitor positions via a FIX connection on which client execution reports are communicated. The Drop Copy Gateway sends execution reports for orders that are filled, partially filled, corrected, or busted.

This document is intended to be used in conjunction with the SpiderRock FIX Session Guide which describes session level message handling and other SpiderRock FIX conventions in more detail.

Application Messages

Execution Report

This is the default execution message. The client support desk can aid with any changes.

Tag	FIX Tag Name	Type	Values	Associated Record Field (SpdrParentExecution)	Comments
	Standard Header		MsgType=8
115	OnBehalfOfCompID	string		execBrkrClFirm	client/firm at executing broker (if any)
116	OnBehalfOfSubID	string		execBrkrUserName	userName at execution broker (if any)
11	ClOrdID	string		clOrdId	child order identifier
1	Account	string		accnt execBrkrAccnt	SpiderRock trading accnt account at executing broker (if any)
20	ExecTransType	enum	0=New 1=Cancel 2=Correct	execStatus fillQuantity
150	ExecType	enum	1=Partial Fill 2=Filled	execStatus fillQuantity
39	OrdStatus	enum	2-Filled 5=Replaced	execStatus fillQuantity
35	OrderID	string		streetOrderId	street side orderId (orderId or equivalent)
54	Side	enum	1=Buy 2=Sell 5=Sell Short 6=Sell Short Exempt	orderSide childSSaleFlag	order side child order position type
114	LocateReqd	bool
5700	LocateBroker	string
38	OrderQty	int		fillQuantity
40	OrdType	enum	1=Marker 2=Limit Z=LimitOnOpen B=LimitOnClose Y=MarketOnOpen
44	Price	float
47	Rule80A	enum	A=Agency I=Individual P=Principal	lastCapacity child order capacity
59	TimeInForce	enum	enum	0-Day
207	SecurityExchange	string		secKey	See Fix Session Guide, Appendix A
55	Symbol	string	secKey	Stocks, Options, Futures Symbol for the position report
65	SymbolSfx	string		secKey	Stocks Suffix of the symbol for the position report
541	MaturityDate	string		secKey	Futures, Options Used to specify a maturity date YYYYMMDD
202	StrikePrice	float		secKey	Options Strike price of the security
201	PutOrCall	enum	0-Put 1-Call	secKey	Options
200	MaturityMonthYear	string		secKey	Futures, Options The month and year of maturity YYYYMM
205	MaturityDay	int	1-31	secKey	Futures, Options Can be used in conjunction with MaturityMonthYear to specify a particular maturity date
167	SecurityType	enum	MLEG-MultiLeg CS-Common Stock FUT-Future OPT-Option	secType
100	ExDestination	enum	See Fix Session Guide Appendix B	childExDest	child order exchange destination code
204	CustomerOrFirm	enum	0=Customer 1=Firm 2=BrokrDealer 3 =Broker Dealer Customer 4=MarketMarker 5=AwayMarketMarker 8=ProCustomer J=FirmJBO	firmType	child order firm type
77	PositionEffect	enum	O=Open C=Close	parentPosType childPosType	parent order position type child order position type
439	ClearingFirm	string		clearingFirm	clearing firm
400	ClearingAccount	string		clearingAccnt	clearing firm account (if any)
5000	SRParentNumber	string		parentNumber	SpiderRock parent number
5004	SRBaseParentNumber	string		baseParentNumber	SPDR order number (initial number in cancel/replace sequence)
5520	SROrderClass	enum	P=Parent
5036	SRUsername	string		userName	user name associated with the parent order
19	ExecRefID	string		fillNumber/ pExecution.version	if Busted or Corrected
17	ExecID	string		fillNumber	SpiderRock execution number
654	LegRefID	string		fillLegRefId	legRefId for multileg fills
6	AvgPx	float		fillPrice
14	CumQty	int		fillQuantity
151	LeavesQty	int	0
31	LastPx	float		fillPrice
32	LastQty	int		fillQuantity
30	LastMkt	enum	See Fix Session Guide Appendix B	fillMarket/childExDest
29	LastCapacity	enum	1- Agent 4-Principal	lastCapacity
58	Text	string
60	TransactTime	utcTimeStamp		fillTransactDttm	transaction date/time as reported by exchange or down stream broker
75	TradeDate	date		fillDttm	Trading Date
76	ExecBroker	string		extExecBroker	downstream destination
5607	SRStreetExecID	string		fillExecId	street side execution Id
5608	SRStreetExecRefID	string		fillExecRefId	street side execution ref Id (only used when busting an execution)
442	MultiLegReportingType	enum	3-MultiLegSecurity		Futures
5602	SRFillNumber	string		fillNumber	SpiderRock execution number
5611	SRExchLiqTag	string		exchLiquidityTag	liquidity tag as reported by downstream venue (if any)
5610	SRLiquidityTag	string		spdrLiquidityTag	SpiderRock normalized liquidity tag
5619	SRExchFeeEst	float		fillExchFee	SpiderRock estimate of the exchange fee based on liquidity tags (best effort)
5618	SRBillingRate	float		fillBrkrRate /fillRoutingRate	brokerage rate + routing rate
5360	SRExDestination	string		childExDest	child order exchange destination code
5627	SRChildShortSaleFlag	enum	1-Long 2-Short 3-Exempt 5-Open 6-Close 8-Cover	childSSaleFlag	short sale flag
5627	SRChildShortSaleFlag	enum	1-Long 2-Short 3-Exempt 5-Open 6-Close 8-Cover	childSSaleFlag	short sale flag
5625	SRChildPositionType	enum	5-Open 6-Close	childPosType	child order position type
5625	SRChildPositionType	enum	5-Open 6-Close	childPosType	child order position type
5631	SRStreetRoute	string		routingCode	SpiderRock market routing code
5012	SRAltAccnt	string		altAccnt	alternate (client assigned) account string
5014	SRAltUserName	string		altUserName	alternate (client assigned) user name
5034	SRStrategy	string		parentStrategy	client strategy
5290	SRUserData1	string		userData1	echoed client supplied data field
5291	SRUserData2	string		userData2	echoed client supplied data field
	Standard Trailer

SpiderRock Defined FIX tags

SpiderRock defined tags available for execution drop reports. These are additional tags that are available if configured through the client support desk.

Tag	FIX Tag Name	Type	Values	Associated Record Field (SpdrParentExecution)	Comments
5000	SRParentNumber	string		parentNumber	SpiderRock parent number
5004	SRBaseParentNumber	string		baseParentNumber	SPDR order number (initial number in cancel/replace sequence)
5006	SRAltOrderId	string		altOrderId	alternate order ID (usually clOrdId from client)
5008	SRGroupingCode	int		groupingCode	SpiderRock parent broker number
5009	SRSpdrSource	enum		spdrSource	SpiderRock parent order source code
5012	SRAltAccnt	string		altAccnt	alternate (client assigned) account string
5014	SRAltUserName	string		altUserName	alternate (client assigned) user name
5015	SRSecKey	string		secKey	execution security key
5016	SRSecType	enum	1-Stock 2-Future 3-Option 4-Mleg	secType	execution security type
5017	SRAssetType	enum	1-EQT 2-IDX 3-BND 4-CUR 5-COM 6-FUT 7-SYN 8-WAR 9-FLX 10-MUT 11-SPD 12-MM 13-MF 14-COIN 15-TOKEN 16-ANY	secKey
5018	SRTickerSrc	enum	1-SR 2-NMS 3-CME 4-ICE 5-CFE 6-CBOT 7-NYMEX 8-COMEX 9-RUT 10-CIDX 11-ARCA 12-NYSE 13-OTC 14-NSDQ 15-MFQS 16-MIAX 17-DJI 18-CUSIP 19-ISIN 20-BXE 21-ESX 22-ANY 23-CXE 24-DXE 25-NXAM 26-NXBR 27-NXDUB 28-NXLS 29-NXLDN 30-NXML 31-NXMLT 32-NXOS 33-NXP 34-EUREX 35-CEDX 36-ICEFE	secKey
5020	SRAccnt	string		accnt	SpiderRock trading accnt
5022	SRClientFirm	string		clientFirm	SR client firm
5024	SRClearingFirm	string		clearingFirm	clearing firm
5026	SRClearingAccnt	string		clearingAccnt	clearing firm account (if any)
5034	SRStrategy	string		parentStrategy	client strategy
5036	SRUsername	string		userName	user name associated with the parent order
5038	SROrderDttm	utc datetime		parentDttm	parent order creation date/time
5038	SROrderDttm	utc datetime		parentDttm	parent order creation date/time
5040	SROrderSide	enum	B-Buy S-Sell	orderSide	order side
5094	SROrderHandling	enum	1-ActiveTaker 2-PostOnly 3-DMA 4-MktOnOpn 5-MktOnCls 8-Legger 9-Seeker 10-SeekerLegger 11-CrossResponse 12-AuctionResponse 13-AwayAlgo 14-ExchPing 19-SweepTake 20-CobMaker 21-TestParent 22-BlockAuction 23-BlockResponse 24-Matrix	parentOrderHandling	Primary/Take Algo Handler
5096	SRBalanceHandling	enum	1-PostWith 2-PostTurn 3-PostImprove 4-PostLimit 6-MaxIntern 7-PostWthF 8-PostImprvR 9-PostFlash 10-PostFlashW 11-PostPeg 12-PostFlashI	parentBalanceHandling	Make Algo Handler
5152	SRAutoHedge	enum	N-NoHedge X-FastCrx Y-FastDrk Z-SlowDrk F-AutoCrx S-AutoTrn M-AutoMid A-SpdrAuto 1-Spdr10S 3-Spdr30S 9-Spdr90S 5-Spdr5M H-Spdr30M D-SpdrDay V1-AlphaVwap1pct V2-AlphaVwap2pct V5-AlphaVwap5pct V25-AlphaVwap25pct T-Static	autoHedge	auto-hedge algorithm (if any)
5166	SRFirmType	enum	C-Customer F-Firm MM-MarketMaker PC-ProCustomer BD-BrokerDealer AwayMM-AwayMM JBO-FirmJBO BDC-BrkrDlrCust	firmType	child order firm type
5168	SROrderCapacity	enum	A-Agency P-Principal I-Individual PR-Proprietary AOM- AgentOtherMember	lastCapacity	child order capacity
5170	SRPositionType	enum	7-Auto 5-Open 2-Close	parentPosType	parent order position type
5172	SRShortSaleFlag	enum	1-Long 2-Short 3-Exempt 4-Auto 5-Open 6-Close 8-Cover 7-NA	parentSSaleFlag	short sale flag on parent order
5250	SRRiskGroupId	int		riskGroupId	riskGroupId (parent order group ID) for this execution report
5290	SRUserData1	string		userData1	echoed client supplied data field
5291	SRUserData2	string		userData2	echoed client supplied data field
5296	SRChildOrderPrice	float		childPrice	child order price
5302	SRLegIndex	int			Leg of a spread order
5340	SROrderShape	enum	0-Single 1-Cross 2-MLeg 3-MLegCross	parentShape
5342	SRExecShape	enum	1-Single 2-Mleg (Top) 3-Mleg Leg 4-Spread (Top) 5-Spread Leg 6-Single Leg	execShape
5350	SRExecBrokerMPID	string		execBrkrMPID	FINRA/Assigned exec broker MPID (if any)
5350	SRExecBrokerMPID	string		execBrkrMPID	FINRA/Assigned exec broker MPID (if any)
5351	SRExecBrokerCode	string		execBrkrCode	SR Assigned executing broker code
5351	SRExecBrokerCode	string		execBrkrCode	SR Assigned executing broker code
5352	SRExecBrokerAccnt	string		execBrkrAccnt	account at executing broker (if any)
5353	SRExecBrokerClFirm	string		execBrkrClFirm	client/firm at executing broker (if any)
5360	SRExDestination	string		childExDest	child order exchange destination code
5400	SRContractMultiplier	int		underliersPerCn	option delivery underliers per contract
5411	SRExecUsername	string		execBrkrUserName	userName at execution broker (if any)
5520	SROrderClass	enum	R-RiskDrop P-Parent	execRole
5602	SRFillNumber	string		fillNumber	SpiderRock execution number
5607	SRStreetExecID	string		fillExecId	street side execution Id
5608	SRStreetExecRefID	string		fillExecRefId	street side execution ref Id (only used when busting an execution)
5610	SRLiquidityTag	string		spdrLiquidityTag	SpiderRock normalized liquidity tag
5611	SRExchLiqTag	string		exchLiquidityTag	liquidity tag as reported by downstream venue (if any)
5612	SRExchangeFillDetails	string		fillExchDetail	other FIX tags from downstream venue
5618	SRBillingRate	float		fillBrkrRate /fillRoutingRate	brokerage rate + routing rate
5619	SRExchFeeEst	float		fillExchFee	SpiderRock estimate of the exchange fee based on liquidity tags (best effort)
5625	SRChildPositionType	enum	5-Open 6-Close	childPosType	child order position type
5627	SRChildShortSaleFlag	enum	1-Long 2-Short 3-Exempt 5-Open 6-Close 8-Cover	childSSaleFlag	short sale flag
5631	SRStreetRoute	string		routingCode	SpiderRock market routing code
5648	SRBillingCategory	enum	A-Alpha A50-AlphaTop50 TM-TiedMaker TT-TiedTaker S-SOR D-DMA AR-AuctionResponse BA-BlockAuction BR-BlockResponse F-Facilitate AF-AlphaFacilitate AT-AwayTrade SO-SymOverride E-Extern NB-NonBillable IS-IsoSweep SS-SpdrSweep SK-Seeker LEG-Legger AD-Drop AA-AwayAlgo G-GTH AG-AlphaGTH	billingCategory
5663	SRReportDetail	string		fillReportDetail	extra detail (if any) from child execution
5690	SRUBidPx	float		fillUBid	underlier market bid at fill arrival
5691	SRUAskPx	float		fillUAsk	underlier market bid at fill arrival
5692	SRUBidSz	float		fillUBidSz	underlier bid size at fill arrival
5693	SRUAskSz	float		fillUAskSz	underlier ask size at fill arrival
5999	SRChildOrderHandling	string		childOrderHandling	child order handling string from the algo that generated the child order responsible for this fill