SystemData
| # | Message Name | Description |
|---|---|---|
| 1810 | AccountRouteConfig | |
| 1815 | AltSymbolMap | |
| 1630 | AssetAccountControl | |
| 5130 | AutoHedgeControlGateway | SpdrAutoHedgeControl contains autohedge / risk group control details. Can be uploaded from SRSE, created from ExecutionEngines, or created by SR tools. |
| 5290 | AutoHedgeSymbol | AutoHedgeSymbol records are published by autohedge servers and contain all valid hedge target symbols. Execution engines reject auto-hedge requests for hedgeSecKeys that are not in this set. |
| 2498 | AutoResponderBX | |
| 2496 | AutoResponderRC | |
| 2497 | AutoResponderSN | |
| 2495 | AutoResponderVegaDir | |
| 1725 | AvailableStockLocates | This table shows the available (unused) locates for each locate pool and firm. Value update as trades occur that utilizes existing locates. |
| 5135 | AwayStockLocateGateway | Records inserted into this table represent locates that clients have received away from SpiderRock. After validation, any away locate inserted into this table is turned into a StockLocateResponse record and appears in the StockLocateResponse table. |
| 1635 | BookControl | |
| 1830 | ClientAccntStrategyMap | |
| 1835 | ClientAccountConfig | |
| 1945 | ClientBeta | |
| 4750 | CurrencyPositionRecordV5 | CurrencyPositionRecords are live risk records that contain start-of-day positions and all subsequent transactions. These records are published by a CoreRiskServer and represent the position and risk markup detail for a single currency. New records are published immediately when a position changes and about once per minute if no position has changed. |
| 4755 | CurrencyTransaction | |
| 1640 | CustomControl | |
| 4760 | EquityCorpActionRecordV5 | corp action record (managed by SR) |
| 1645 | ExpirationControl | |
| 4765 | ExpirationRiskRecordV5 | ExpirationRiskRecords contain account level position and risk summary detail. These records are published by AggRiskServers throughout the day approximately once per minute. |
| 5140 | ExternAggGroupGateway | This table allows clients to enter start-of-day positions, and quantity bot/sld today for each market. AggGroup is a code issued by SpiderRock to indentify the aggregation group that the reported positions and trades belong to. This will usually be your SpiderRock assigned ClientFirm code unless your firm has more than one aggregation unit. Note that start-of-day positions can be truncated if the truncation will not affect order marking. Contact SpiderRock support for details if this is what you intend. |
| 5145 | FutAwayTktGateway | FutAwayTktGateway inserts are validated and convered to away SpdrParentExecution records and published. If successfully published they will be visible in the SpdrParentExecution table and on SpiderRock GUI tools. Replaces are allowed but they are functionally identical to updates in that only the fillPrice and fillQuantity fields are actually changed. |
| 5150 | FutOrderGateway | Records inserted, updated, or replaced into the FutureOrderGateway table are validated and then converted to SpdrParentOrder records and forwarded to the appropriate execution engine for futher processing. Parent orders can be inserted as either active/ready or in a wait start mode that requires subsequent release. See the SpiderRock Execution Engine concept guide for more details. |
| 1650 | FutureControl | |
| 2605 | FuturePrintMarkup | FuturePrintMarkup records are created for all future prints |
| 2610 | FuturePrintSet | FuturePrintSet records are created for all future prints (outrights and spreads) and published to the SpiderRock elastic cluster when markup detail is complete (F+10M) |
| 4780 | FutureRiskDetailV5 | FutureRiskDetail records contain semi-static markup detail for FutureRiskSummary records. |
| 4540 | GlobalRiskControl | GlobalRiskControl records are used to establish ticker specific order size risk control limits |
| 2675 | IndexQuote | Live index levels and quotes including SpiderRock synthetic index levels and quotes. |
| 1655 | IndustryControl | |
| 4350 | IndustryDefinition | This table contains the definitions of ind (00), sub (0000), grp (000000), and nbr (00000000) numeric codes are used in the SpiderRock platform. |
| 4790 | IndustryRiskRecordV5 | IndustryRiskRecords contain account level position and risk summary detail. These records are published by AggRiskServers throughout the day approximately once per minute. |
| 1135 | LiveExpirySurface | LiveExpirySurface (surfaceType = 'Live') records are computed and publish continuously during trading hours and represent a current best implied volatility market fit. SurfaceType = 'PriorDay' records contain the `closing surface record from the prior trading period (usually from just before the last main session close). |
| 1025 | LiveIVarSwapFixedTerm | LiveVarSwapFixedTerm records contain a live implied variance term record at standardized days-to-expiration. |
| 1030 | LiveSurfaceAtm | |
| 1130 | LiveSurfaceDetail | LiveSurfaceDetail (surfaceType = 'Live') records are computed and publish continuously during trading hours and represent a current best implied volatility market fit details. SurfaceType = 'PriorDay' records contain the `closing surface record from the prior trading period (usually from just before the last main session close). |
| 1055 | LiveSurfacePerf | LiveSurfacePerf records contain current and prior period implied ATM volatilities and greeks and as well as fixed-strike PnL values. The strike used for the fix-strike calculation is equal to the forward underlier price that prevailed on the open. Note that this strike price 'resets' each day. LiveSurfacePerf records are published to the SpiderRock elastic cluster at the end of the day for each option expiration. These records are designed to allow fixed strike EOD to EOD attributed PnL to be easily calculated. These records can also be used to measure atm volatility dynamics. |
| 5155 | MLegOrderGateway | Records inserted, updated, or replaced into the MLegOrderGateway table are validated and then converted to SpdrParentOrder records and forwarded to the appropriate execution engine for futher processing. Parent orders can be inserted as either active/ready or in a wait start mode that requires subsequent release. See the SpiderRock Execution Engine concept guide for more details. |
| 3355 | MLinkCacheRequest | |
| 4550 | MarRiskControl | MarRiskControl records are used to establish risk controls within SpiderRock execution engines. These records are only viewable and editable by users belonging to the same riskFirm as the control records. |
| 4551 | MarRiskControlTkOverride | MarRiskControlTkOverride records are used to establish ticker-specific risk controls SpiderRock execution engines. These records are only viewable and editable by users belonging to the same riskFirm as the control records. |
| 4670 | MarRiskCounter | Values in this table represent current (live) SpiderRock MAR risk counters for a risk group/risk firm combination. A risk group is typically a group of client accounts that have a common beneficial owner. A risk firm is a firm with control of the corresponding risk settings for the risk group. |
| 4450 | NMSCircuitBreaker | This table contains circuit breaker information for market centers with circuit breakers. Note that circuit breaker records may not always exist for a market center. |
| 5900 | NetPulse | |
| 5160 | OptAwayTktGateway | OptAwayTktGateway inserts are validated and convered to away SpdrParentExecution records and published. If successfully published they will be visible in the SpdrParentExecution table and on SpiderRock GUI tools. Replaces are allowed but they are functionally identical to updates in that only the fillPrice and fillQuantity fields are actually changed. |
| 5165 | OptOrderGateway | Records inserted, updated, or replaced into the OptionOrderGateway table are validated and then converted to SpdrParentOrder records and forwarded to the appropriate execution engine for futher processing. Parent orders can be inserted as either active/ready or in a wait start mode that requires subsequent release. See the SpiderRock Execution Engine concept guide for more details. |
| 5030 | OptionCalculator | This table allows custom option pricing based on either user or SR supplied input values. |
| 4795 | OptionCorpActionRecordV5 | |
| 2760 | OptionEOP | The expected opening price and opening size for an option. Based on the exchange open auction feed. |
| 4800 | OptionExAsRecordV5 | Option exercise/assigment records (either from SR clearing loaders or uploaded directly by client) |
| 2765 | OptionExchOrder | |
| 2770 | OptionExchPrint | |
| 5035 | OptionImpliedPair | This table contains current live NBBO prices and implied volatilites as well as greeks and SpiderRock surface volatilities/prices for all call/put pairs in the market. |
| 5045 | OptionImpliedVol | This table contains option implied volatilities computed using fast/accurate calcuation methods while the SELECT is processing. Note that if you need even faster queries that cover a large number of strikes you may be better off using the OptionImpliedQuoteAdj table as it is pre-computed. |
| 1090 | OptionLookback | OptionLookback records are published by the SurfaceModelServer and represent a stable frame lookback window on the option market (typically about 10 minutes) |
| 2790 | OptionOpenAuction | |
| 2795 | OptionOpenAuctionSummary | |
| 3235 | OptionOpenVega | This table contains cumulative open interest, day trading volume in terms of both contracts and vega. |
| 2805 | OptionPrint2 | The most recent (last) print record for each active equity and future option series. Quote markup represents quote that existed just prior to the print on the reporting exchange. |
| 2810 | OptionPrintMarkup | OptionPrintMarkup records contain every option print along with quote, surface details at print time |
| 2820 | OptionPrintSetSummary | OptionPrintSetSummary records are created at the end of each trading period and contain a summary of the activity for the period; Summary of OptionPrintSet records |
| 2825 | OptionPrintSummary | Root/Expiration trading summaries. Includes contracts and vega trade in total and on the public bid or offer. Records update live as public trades occur. |
| 3150 | OptionSettlementMark | Option settlement marks from the listing exchange. |
| 5055 | OptionTheoVol | OptionTheoVol records contain client supplied theoretical volatility surface information resolved at the level if individual strikes. Strike volatilities, prices, greeks and SpiderRock surface volatilites and prices are all available. Values are computed on the fly using fast/accurate calculation methods as records are returned. |
| 5180 | ParentOrderGateway | Records inserted, updated, or replaced into the ParentOrderGateway table are validated and then converted to SpdrParentOrder records and forwarded to the appropriate execution engine for futher processing. Parent orders can be inserted as either active/ready or in a wait start mode that requires subsequent release. See the SpiderRock Execution Engine concept guide for more details. |
| 5185 | ParentOrderGatewayExt | Records inserted, updated, or replaced into the ParentOrderGatewayExt table are validated and then converted to SpdrParentOrder records and forwarded to the appropriate execution engine for futher processing. Parent orders can be inserted as either active/ready or in a wait start mode that requires subsequent release. See the SpiderRock Execution Engine concept guide for more details. |
| 4460 | ProductPriceBand | This table contains live trading bands, as advertised by the listing exchange, for futures markets with bands. |
| 4810 | ProductRiskDetailV5 | ProductRiskDetail records contain semi-static markup detail for FutureRiskSummary records. |
| 4815 | ProductRiskSummaryV5 | ProductRiskSummary records contain live risk aggregation of FutureRiskSummaryV5 records. Records are published if/when positions change and about once per minute otherwise. |
| 4465 | ProductTradingStatus | This table contains live trading status records for entire product groups (futures and options) and asset groups and individual instruments |
| 4470 | ProductTradingStatusV2 | This table contains live trading status records for entire product groups (futures and options) and asset groups and individual instruments |
| 6225 | RFQQuoteBroadcast | 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. |
| 2503 | ResponderMarkupBX | |
| 2501 | ResponderMarkupRC | |
| 2502 | ResponderMarkupSN | |
| 2500 | ResponderMarkupVegaDir | |
| 4820 | RiskAggGroupStateV5 | RiskAggGroupState records are published by AggRiskServer immediately if/when a position update occurs. These records are consumed by execution engines and influence child order position markup. |
| 1660 | RiskClassControl | |
| 4655 | RiskGroupCounter | |
| 2830 | SOQConstituentSymbolMap | |
| 2835 | SOQStrikeRangeUpdate | |
| 5190 | SecDefRequestGateway | |
| 1665 | SectorControl | |
| 1110 | SkewBasisCurveV4 | |
| 4830 | SodCashRecordV5 | SodCashRecords contain a start-of-day currency position that derived from dividend or corporate action being applied to a prior period position. These records are computed and published by SR rotation servers. |
| 4835 | SodClearingRecordV5 | SodClearingRecords contain start-of-day option position and mark details. They can be source directly from a prime broker by SpiderRock or inserted by clients. They can also be modified after the start of trading. These records are the source of the CLR side positions in SR risk records. |
| 5060 | SpanRiskCalculator | This table allows custom span risk calculations based on either user or SR supplied input values. |
| 3695 | SpdrAllocationNotice | |
| 3700 | SpdrAllocationNoticeStatus | |
| 5295 | SpdrAutoHedgeControl | SpdrAutoHedgeControl contains autohedge / risk group control details. Can be uploaded from SRSE, created from ExecutionEngines, or created by SR tools. BridgeFromV7:SpdrRiskGroupControl |
| 5300 | SpdrAutoHedgeState | SpdrAutoHedgeState records are published by autohedge servers and describe the current state of an autohedge controller that is managing RiskGroup autohedge orders. |
| 3705 | SpdrAvailExecAllocation | |
| 3920 | SpdrClientFirmRiskMgmt | SpdrClientFirmRiskMgmt records are created/published by SpiderRock Execution Engines and show exchange level risk management child order rejects. |
| 1460 | SpdrDropExecution | |
| 1465 | SpdrDropExecutionAck | |
| 1470 | SpdrExchRiskDrop | |
| 3925 | SpdrExchRiskMgmt | SpdrExchRiskMgmt records are created/published by SpiderRock Execution Engines and show exchange level risk management child order rejects. |
| 3835 | SpdrExchRiskReset | SpdrExchRiskMgmt records are created/published by SpiderRock Execution Engines and show exchange level risk management child order rejects. |
| 3710 | SpdrExecutionAllocation | |
| 3715 | SpdrExecutionAllocationStatus | |
| 4000 | SpdrFixParentCancel | Records inserted into this table causes the corresponding parent order to be cancelled if it is active and cancellable. |
| 4005 | SpdrFixParentExecution | |
| 4010 | SpdrFixParentReject | Record indicates that either a SpdrParentOrder (Add or Replace) or FixParentCancel request failed |
| 3720 | SpdrOmniOrder | |
| 1950 | SpdrOptTheoRecord | SpdrOptTheoRecords can be used to override theoretical volatilities for specific strikes when using SpdrTheoExpSurface records. |
| 3725 | SpdrParentAllocation | |
| 3730 | SpdrParentAllocationStatus | |
| 4060 | SpdrParentBrkrDetail | SpdrParentBrkrDetail records are created/published by SpiderRock Execution Engines. Each record describes the current active detail of a single parent broker. |
| 4075 | SpdrParentBrokerSummary | SpdrParentBrokerSummary records are created at the end of a trading period and contain a summary of trading activity for the period; Summary of Stk/Fut/Opt/MLeg Brkr State records. |
| 4100 | SpdrParentReport | SpdrParentReport records contain the current state of a parent order and update as/when the order state changes. SpdrParentReport records are published to the SpiderRock elastic cluster when they reach a terminal state (closed, rejected, filled, etc.) |
| 4195 | SpdrParentReviewRequest | SpdrParentReviewRequest records created when a parent order is submitted with StageType=StageReview. These records indicate that an external review of the parent order has been requested. |
| 4200 | SpdrParentReviewResponse | SpdrParentReviewResponse records are created when a parent order review request is completed |
| 4105 | SpdrReleaseWaitTrigger | SpdrReleaseWaitTrigger records are used to trigger the release of parent orders submitted with startType=WaitTrigger. Note that all parent orders in a risk group will be triggered together. |
| 4560 | SpdrRiskControl | SpdrRiskControl records are used to establish supervisory control of equity, and equity option trading in SpiderRock execution engines. These records are only viewable and editable by RiskAdmin users with access to the control record ClientFirm |
| 4660 | SpdrRiskCounter | Values in this table represent current (live) SpiderRock supervisory risk counters for a corresponding risk control key. |
| 2325 | SpdrRiskExecution | SpdrRiskExecution records are published every time a SpdrParentExecution record is published |
| 4570 | SpdrRiskGroupControl | |
| 4110 | SpdrRouteCancel | Records inserted into this table will result in the cancellation of all active/cancelable orders for the indicated SpiderRock routing code |
| 4115 | SpdrSecKeyCancel | Records inserted into this table causes the corresponding parent broker to cancel the current underlying parent order if active and cancellable. |
| 4120 | SpdrSetActiveSize | SpdrSetActiveSize records control the active working size for parent orders that are locked (have active size controls). These records can be modified by ClientRiskTrader and ClientStageTrader user types. |
| 5355 | SpdrStrategyOrderLeggerX | |
| 5365 | SpdrStrategyReportLegX | |
| 5360 | SpdrStrategyReportLeggerX | |
| 5375 | SpdrStrategyStateLegX | |
| 5370 | SpdrStrategyStateLeggerX | |
| 4135 | SpdrStripeTrigger | SpdrStripeTrigger records are used to allocate sweep risk and trigger cross stripe release of parent orders submitted with startType=WaitTrigger. These records are published by a SR Strategy Server if/when a SpdrReleaseWaitTrigger message is received. |
| 2330 | SpdrSweepDetail | SpdrSweepDetail records are published by execution engines when sweep trigger groups are processed |
| 2335 | SpdrSweepExchDetail | SpdrSweepExchDetail records are published by execution engines when sweep trigger groups are processed |
| 1955 | SpdrTheoExp2PtCurve | SpdrTheoExp2PtCurve records are used along side SpdrTheoExpSurface records to provide a complete x/y specification of a theoretical skew curve. Spline interpolation is used for values between x/y points |
| 1960 | SpdrTheoExpSurface | SpdrTheoExpSurface records reprent a client theoretical volatility surface for a ExpiryKey (ticker + expiration). These records can either directly specify parameters to be used in a parameterized surface function or can link to a record (eg. SpdrTheoExp2PtCurve) containing x/y points sampling a client constructed curve. Alternatively, they can specify that a SpiderRock implied skew curve should be used along with client supplied atm volatilities. Surface dynamics can be specified in multiple ways with these records and a number of pricing parameter overrides are also available. See the technical note on client supplied theoretical surfaces for more details. |
| 4140 | SpdrUserCancel | Records inserted into this table cancels all parent orders associated with userName/clientFirm |
| 3155 | SpreadCloseMark | SpreadCloseMark records are created immediately after the market close (clsMarkState=SRClose), when exchanges publish official marks (clsMarkState=ExchClose), and again during top of day rotation (clsMarkState=Final). These records contain closing quotes and prices as well as markup details for all exchange spreads SpreadCloseMark records are published to the SpiderRock elastic cluster when clsMarkState=Final BaseObj:Spread |
| 2920 | SpreadExchPrint | |
| 2925 | SpreadMarketSummary | These records represent live market summary snapshots for each active spread market |
| 3160 | SpreadOpenMark | SpreadOpenMark records are created during the end-of-day rotation for each ticker and intended for use the following trading day. BaseObj:Spread |
| 2930 | SpreadPrint | |
| 5220 | StkAwayTktGateway | StkAwayTktGateway inserts are validated and convered to away SpdrParentExecution records and published. If successfully published they will be visible in the SpdrParentExecution table and on SpiderRock GUI tools. Replaces are allowed but they are functionally identical to updates in that only the fillPrice and fillQuantity fields are actually changed. |
| 5225 | StkOrderGateway | Records inserted, updated, or replaced into the StockOrderGateway table are validated and then converted to SpdrParentOrder records and forwarded to the appropriate execution engine for futher processing. Parent orders can be inserted as either active/ready or in a wait start mode that requires subsequent release. See the SpiderRock Execution Engine concept guide for more details. |
| 2995 | StockAuctionSummary | These records represent current and recent trailing market open/close auction results |
| 3245 | StockBetaExt | Beta values are computed nightly for a few different indexes and industries. |
| 1730 | StockBorrowRate | This data is sourced from various clearing firms and typically represents their public borrow rates. Data is typically loaded once at the start of each trading day. StockBorrowRate records are published to the SpiderRock elastic cluster at the end of each trading period. |
| 3250 | StockDetail | This table contains a ticker level summary of some earnings related information. This information is also available in other records but is collected here for convenience. |
| 3620 | StockEarningsCalendar | StockEarningsCalendar records contain a historical (prior 12) earnings dates and future (next 12) projected dates. |
| 3015 | StockExchImbalance | StockExchImbalance records contain live exchange closing auction imbalance details. Imbalance information can be available from more than one exchange for each ticker. Final StockExchImbalance records are published to the SpiderRock elastic cluster nightly after the auction close. |
| 3035 | StockImbalance | StockImbalance records contain live exchange closing auction imbalance details. Imbalance information in aggregated across exchanges with imbalance feeds. Final StockImbalance records are published to the SpiderRock elastic cluster nightly after the auction close. |
| 1735 | StockLocateRequest | StockLocateRequest records represent a client locate request. These originate either from the SRSE AwayStockLocateGateway or from other SR Tools or APIs. |
| 5230 | StockLocateRequestGateway | Records inserted into this gateway become locate requests and are visible in the StockLocateRequest table. |
| 1740 | StockLocateResponse | StockLocateResponse records are either locates or rejections of locate requests. These records are clientFirm specific and are not shared. SpiderRock execution engines are aware of the locate quantities in StockLocateResponse records. Also, these records are shared and depricated accross all SpiderRock production environments. |
| 1745 | StockPoolBorrowRate | Records are as loaded by clients and usually represents their negotiated borrow rates. |
| 3055 | StockPrintMarkup | StockPrintMarkup records are created/published for all stock prints |
| 3060 | StockPrintSet | StockPrintSet records are created for each print and published to the SpiderRock elastic cluster 10 minutes later, when T+10M markup detail is available. |
| 4475 | StockRegSHOStatus | |
| 3065 | StockThreshold | StockThreshold records contain information about whether and how long a stock has been on the REG SRO threshold list. |
| 1670 | SymbolControl | |
| 4855 | SymbolMarginSummaryV5 | SymbolMarginSummary records are published by the AggRiskServers and consumed by execution engines |
| 4860 | SymbolRiskDetailV5 | SymbolRiskDetail records contain semi-static markup detail for SymbolRiskSummary records. |
| 3175 | SyntheticExpiryCloseMark | |
| 3180 | SyntheticExpiryOpenMark | |
| 2700 | SyntheticExpiryQuote | Live synthetic expiry quotes are SpiderRock option/expiry underlier quotes. These can be from synthetic/implied futures quotes or other sources |
| 2695 | SyntheticFutureQuote | Live synthetic future quotes are SpiderRock implied futures quotes derived from roll prices. |
| 1105 | TheoSurfacePerf | TheoSurfacePerf records are published throughout he day for each active client theoretical model in the SpiderRock system. They are suitable for tracking performance of a theoretical model surface whether or not it is being traded. TheoSurfacePerf records are published to the SpiderRock elastic cluster at the end of each day. |
| 3255 | TickerAnalytics | |
| 4380 | TickerDefinitionExt | TickerDefinitionExt (external) records exist for all SpiderRock tickers including equity tickers (stocks and ETFs) as well as index tickers and synthetic tickers for future chains and option multihedge baskets. |
| 4870 | TradeCubeDetailV5 | TradeCubeDetail records are published by CoreRiskServers and are visible in SRSE throughout the day. They are designed to be aggregated and analyzed over time. TradeCubeDetail records are published to the SpiderRock Archive Host data pipeline after all markup detail is complete. |
| 4480 | TradingSchedule | Product trading schedule for the current week. Includes an expected trading day market schedule for each SpiderRock ticker and day-of-week. Including schedules for equity and futures markets. The NMS schedule is the NYSE announced trading calendar. Other markets are from the listing exchange. |
| 5750 | ULinkContextEvent | |
| 5235 | ULinkContextGateway | |
| 3630 | UserDividendOverride | Records in this table overrides GlobalDividends values in theo option pricing calculations. Note: Missing/empty DateAmt strings are interpreted as non-dividend paying |
| 3635 | UserRateOverride | Records in this table override SpiderRock global discount rate values in option pricing calculations. Note: Expiry dates that fall between years values below will be interpolated using a cubic spline on (days * rate) |
| 3640 | UserSDivOverride | Records in this table override SpiderRock global implied sdiv values in option pricing calculations. |
| 5065 | VolTimeCalculator | This table allows custom span risk calculations based on either user or SR supplied input values. |