SpdrStrategyReportLeggerX

V8 Message Definiton

METADATA

Attribute	Value
Topic	5355-strategy-legger
MLink Token	SystemData
Product	SRTrade
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
strategyNumber	BIGINT	PRI	0	strategy number
strategyStatus	enum - StrategyStatus		'None'
accnt	VARCHAR(16)		''	SR trading account
clientFirm	VARCHAR(16)		''	SR client firm
spdrSource	enum - SpdrSource		'None'
execBrkrCode	VARCHAR(16)		''	optional override the default execBrkrCode for this order
externExDest	VARCHAR(12)		''	routing code for orders directed to an external order router default null should match FixRoutingTabledestination in SR accnt config
externParams	TINYTEXT		''	external algo namesparameters usually just an algo name
strategy	VARCHAR(36)	PRI	''	clientsupplied strategy string visible on SpiderRock GUI tools and other order reports
userName	VARCHAR(24)		''	name of the user entering the order
orderSize	INT		0	strategy size number of complete spreads
leggerLimit	DOUBLE		0	strategy limit
leggerLimitType	enum - LeggerLimitType		'None'	strategy limit type
leggerLimitInc	DOUBLE		0	strategy limit price tick increment for
leggerAlgo	enum - LeggerAlgo		'None'
balanceHandling	enum - ParentBalanceHandling		'None'	base parent order balance handling make style algo
legExposurePct	FLOAT		0	percentage of legger order than can be exposed on a single leg without completing related legs
legCompletionSlippage	DOUBLE		0	maximum leg price slippage to complete an open strategy order
marketSession	enum - MarketSession		'None'
startDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	optional parent order start time
orderDuration	INT		0	optional number of seconds
goodTillDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	optional default 20990101
autoHedge	enum - AutoHedge		'None'
hedgeInstrument	enum - HedgeInst		'None'
hedgeSecKey_at	enum - AssetType		'None'	autohedge instrument can be a TickerKey stock or ExpiryKey future required for Stock and Future
hedgeSecKey_ts	enum - TickerSrc		'None'	autohedge instrument can be a TickerKey stock or ExpiryKey future required for Stock and Future
hedgeSecKey_tk	VARCHAR(12)		''	autohedge instrument can be a TickerKey stock or ExpiryKey future required for Stock and Future
hedgeSecKey_yr	SMALLINT UNSIGNED		0	autohedge instrument can be a TickerKey stock or ExpiryKey future required for Stock and Future
hedgeSecKey_mn	TINYINT UNSIGNED		0	autohedge instrument can be a TickerKey stock or ExpiryKey future required for Stock and Future
hedgeSecKey_dy	TINYINT UNSIGNED		0	autohedge instrument can be a TickerKey stock or ExpiryKey future required for Stock and Future
hedgeBetaRatio	FLOAT		0	portion of executed money to autohedge can be 10 Beta for beta hedging 40 to 40
hedgeScope	enum - HedgeScope		'None'	hedge group scope RiskGroup or Accnt
hedgeSession	enum - MarketSession		'None'
externHedgeExDest	VARCHAR(16)		''	external broker exDest only used if orderHandlingExtern Should match FixRoutingTabledestination type
externHedgeParams	TINYTEXT		''	external algo namesparameters usually just an algo name
userData1	TINYTEXT		''	client supplied data field passes through to parent and child executions and reports as well as FIX drops
userData2	TINYTEXT		''	client supplied data field passes through to parent and child executions and reports as well as FIX drops
childData	TINYTEXT		''	client supplied data field passes through to down stream child orders
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
strategyNumber	1

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRTrade`.`MsgSRStrategyReportLeggerX` (
    `strategyNumber` BIGINT NOT NULL DEFAULT 0 COMMENT 'strategy number',
    `strategyStatus` ENUM('None','Active','Hold','Closed') NOT NULL DEFAULT 'None',
    `accnt` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'SR trading account',
    `clientFirm` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'SR client firm',
    `spdrSource` ENUM('None','SpdrTicket','SpdrSingle','SRSE','FIX','HedgeTool','TradeHedge','OpenHedge','AutoHedge','Orphan','RiskManager','OrderManager','ManagedOrder','RFQRespSrvr','Legger','SRSEDrop','FixDrop','TicketDrop','SysTest','RFRResponse','AllocOmni','AllocClient','CertGateway','MLegResponse','LeggerX','DropManager','AutoHedgeSrvr','AuctionStrategySrvr','AllocBlockFace','AllocBlockCust','IceChatGateway','EXS2SRC','MLinkResponse','AutoResponderVD','AutoResponderRC','AutoResponderSN','AutoResponderBX','MLink') NOT NULL DEFAULT 'None',
    `execBrkrCode` VARCHAR(16) NOT NULL DEFAULT '' COMMENT '(optional) override the default execBrkrCode for this order',
    `externExDest` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'routing code for orders directed to an external order router (default = null); should match FixRoutingTable.destination (in SR accnt config)',
    `externParams` TINYTEXT NOT NULL DEFAULT '' COMMENT 'external algo names/parameters (usually just an algo name)',
    `strategy` VARCHAR(36) NOT NULL DEFAULT '' COMMENT 'client-supplied strategy string; visible on SpiderRock GUI tools and other order reports.',
    `userName` VARCHAR(24) NOT NULL DEFAULT '' COMMENT 'name of the user entering the order',
    `orderSize` INT NOT NULL DEFAULT 0 COMMENT 'strategy size (number of complete spreads)',
    `leggerLimit` DOUBLE NOT NULL DEFAULT 0 COMMENT 'strategy limit',
    `leggerLimitType` ENUM('None','Prc','PrcDe','PrcDeX') NOT NULL DEFAULT 'None' COMMENT 'strategy limit type',
    `leggerLimitInc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'strategy limit price tick increment (for +/-)',
    `leggerAlgo` ENUM('None','LegCrossOnly','LegOutLoud') NOT NULL DEFAULT 'None',
    `balanceHandling` ENUM('None','PostWith','PostTurn','PostImprove','PostLimit','MaxIntern','PostWthF','PostImprvR','PostFlash','PostFlashW','PostPeg','PostFlashI') NOT NULL DEFAULT 'None' COMMENT 'base parent order balance handling [make style algo]',
    `legExposurePct` FLOAT NOT NULL DEFAULT 0 COMMENT 'percentage of legger order than can be exposed on a single leg without completing related legs',
    `legCompletionSlippage` DOUBLE NOT NULL DEFAULT 0 COMMENT 'maximum leg price slippage to complete an open strategy order',
    `marketSession` ENUM('None','PreMkt','RegMkt','PostMkt','PreRegMkt','RegPostMkt','AllDay') NOT NULL DEFAULT 'None',
    `startDttm` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT '[optional] (parent order start time)',
    `orderDuration` INT NOT NULL DEFAULT 0 COMMENT '[optional] (number of seconds)',
    `goodTillDttm` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT '[optional] (default: 2099-01-01)',
    `autoHedge` ENUM('None','Static','AutoMid','AutoCrx','AutoTrn','SpdrAuto','Spdr10S','Spdr30S','Spdr90S','Spdr5M','Spdr30M','SpdrDay','SmartFast','SmartNorm','FastCrx','FastDark','SlowDark','AlphaVwap1pct','AlphaVwap2pct','AlphaVwap5pct','AlphaVwap25pct','Custom','AwayAlgo') NOT NULL DEFAULT 'None',
    `hedgeInstrument` ENUM('None','Default','FrontMonth','Stock','Future') NOT NULL DEFAULT 'None',
    `hedgeSecKey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'autohedge instrument (can be a TickerKey (stock) or ExpiryKey (future)) [required for Stock and Future]',
    `hedgeSecKey_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'autohedge instrument (can be a TickerKey (stock) or ExpiryKey (future)) [required for Stock and Future]',
    `hedgeSecKey_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'autohedge instrument (can be a TickerKey (stock) or ExpiryKey (future)) [required for Stock and Future]',
    `hedgeSecKey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'autohedge instrument (can be a TickerKey (stock) or ExpiryKey (future)) [required for Stock and Future]',
    `hedgeSecKey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'autohedge instrument (can be a TickerKey (stock) or ExpiryKey (future)) [required for Stock and Future]',
    `hedgeSecKey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'autohedge instrument (can be a TickerKey (stock) or ExpiryKey (future)) [required for Stock and Future]',
    `hedgeBetaRatio` FLOAT NOT NULL DEFAULT 0 COMMENT 'portion of executed $money to auto-hedge (can be 1.0 / Beta for beta hedging) [-4.0 to +4.0]',
    `hedgeScope` ENUM('None','Accnt','RiskGroup') NOT NULL DEFAULT 'None' COMMENT 'hedge group scope [RiskGroup or Accnt]',
    `hedgeSession` ENUM('None','PreMkt','RegMkt','PostMkt','PreRegMkt','RegPostMkt','AllDay') NOT NULL DEFAULT 'None',
    `externHedgeExDest` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'external broker exDest (only used if orderHandling=Extern)			# Should match FixRoutingTable.destination type',
    `externHedgeParams` TINYTEXT NOT NULL DEFAULT '' COMMENT 'external algo names/parameters (usually just an algo name)',
    `userData1` TINYTEXT NOT NULL DEFAULT '' COMMENT 'client supplied data field; passes through to parent and child executions and reports as well as FIX drops',
    `userData2` TINYTEXT NOT NULL DEFAULT '' COMMENT 'client supplied data field; passes through to parent and child executions and reports as well as FIX drops',
    `childData` TINYTEXT NOT NULL DEFAULT '' COMMENT 'client supplied data field; passes through to down stream child orders',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    PRIMARY KEY USING HASH (`strategyNumber`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='';

SELECT TABLE EXAMPLE QUERY

SELECT
    `strategyNumber`,
    `strategyStatus`,
    `accnt`,
    `clientFirm`,
    `spdrSource`,
    `execBrkrCode`,
    `externExDest`,
    `externParams`,
    `strategy`,
    `userName`,
    `orderSize`,
    `leggerLimit`,
    `leggerLimitType`,
    `leggerLimitInc`,
    `leggerAlgo`,
    `balanceHandling`,
    `legExposurePct`,
    `legCompletionSlippage`,
    `marketSession`,
    `startDttm`,
    `orderDuration`,
    `goodTillDttm`,
    `autoHedge`,
    `hedgeInstrument`,
    `hedgeSecKey_at`,
    `hedgeSecKey_ts`,
    `hedgeSecKey_tk`,
    `hedgeSecKey_yr`,
    `hedgeSecKey_mn`,
    `hedgeSecKey_dy`,
    `hedgeBetaRatio`,
    `hedgeScope`,
    `hedgeSession`,
    `externHedgeExDest`,
    `externHedgeParams`,
    `userData1`,
    `userData2`,
    `childData`,
    `timestamp`
FROM `SRTrade`.`MsgSRStrategyReportLeggerX`
WHERE 
    /* Replace with a BIGINT */ 
    `strategyNumber` = 1234567890;

Doc Columns Query

SELECT * FROM SRTrade.doccolumns WHERE TABLE_NAME='SpdrStrategyReportLeggerX' ORDER BY ordinal_position ASC;