Drop Receive FIX Spec

This document describes the SpiderRock Drop Receive FIX Gateway. This SpiderRock FIX gateway allows a client to report a clients executions and/or positions for order marking and risk purposes.

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

FIX Tag	FIX Tag Name	type	Req'd	values	associated record value (SpdrAwayExecution)	comment
	Standard Header	Y		MsgType = 8
5020	SRAccnt	string	Y		accnt	Either SRAccnt or Account is required
1	Account	string	Y		accnt
5022	SRClientFirm	string	Y		clientFirm	SR client firm. A default may be configured
11	ClOrdID	string			clientOrderId	client order ID (should be unique)
17	ExecID	string	Y		origExecID lastExecID
19	ExecRefID	string	Y			most recent execution ID
60	TransactTime	utcTimestamp	N		fillTransactDttm fillDttm	transaction date/time as reported by exchange or down stream broker
5036	SRUsername	string	N		modifiedBy	user name associated with the parent order
32	LastQty	int	Y		fillQuantity
31	LastPx	float	Y		fillPrice
30	LastMkt	enum	N		fillExch
58	Text	string	N		comment
150	ExecType	enum	Y	2-Fill 1-PartialFill F-Trade H-TradeCxl G-TradeCorrect
38	OrderQty	int	N		childSize
54	Side	enum	Y	1=Buy 2=Sell 5=Sell Short 6=Sell Short Exempt	fillSide ssaleFlag
77	PositionEffect	enum	N	O=Open C=Close	positionType
55	Symbol	string	Y		secKey	Symbol for the position report
65	SymbolSfx	string	N		secKey	Suffix of the symbol for the position report
207	SecurityExchange	string	Y		secKey	See Fix Session Guide, Appendix A
55	Symbol	string	Y		secKey	Stocks, Options, Futures Symbol for the position report
65	SymbolSfx	string	Y		secKey	Stocks Suffix of the symbol for the position report
541	MaturityDate	string	Y		secKey	Futures, Options Used to specify a maturity date YYYYMMDD
202	StrikePrice	float	Y		secKey	Options Strike price of the security
201	PutOrCall	enum	N	0-Put 1-Call	secKey	Options
200	MaturityMonthYear	string	N		secKey	Futures, Options The month and year of maturity YYYYMM
205	MaturityDay	int	N	1-31	secKey	Futures, Options Can be used in conjunction with MaturityMonthYear to specify a particular maturity date
167	SecurityType	enum	Y	MLEG-MultiLeg CS-Common Stock FUT-Future OPT-Option	secType
5290	SRUserData1	string	N		userData1	client supplied data field
5291	SRUserData2	string	N		userData2	client supplied data field

Normally there is no response to this message. In some cases, the Reject<3> or Business Reject Message<j> message will be returned if the message cannot be properly processed.

Aggregated Group Position Report

SpiderRock FIX gateway implements a user defined message to update a firm’s position for order marking and risk purposes.

There is no acknowledged response for this message. An invalid message may reject with a Session or Business level Reject.

The total position for a firm is calculated as a combination of:

• Start of day positions known by SpiderRock (for example a spreadsheet from a clearing firm)
• Executed Fill Quantities executed by SpiderRock
• Open Order Quantities on orders issued by SpiderRock
• Executed Fill Quantities Execution Reports dropped to SpiderRock
• Aggregated Group Position Report Data

A firm may use all methods (start of day files, aggregation reports, and dropped executions) to report their positions.

The start of day position and daily bought/sold quantities may be omitted or set to zero. Care must be taken not to double-count fills. For example, a new traded quantity should not be reported on both the aggregated group position report and as a dropped fill, nor should a fill from SpiderRock be dropped back to SpiderRock.

The ClientID<109> and AggregationGroup<5701> values may be configured by SpiderRock by FIX session.

FIX Tag	FIX Tag Name	type	Req'd	values	associated record value (ExternAggGroupReport)	comment
	Standard Header	Y		MsgType = UAG
721	PosMaintRptId	long	N			Unique identifier for this position report
109	ClientID	string	Y		pkey.clientFirm	A SpiderRock supplied value
5708	AggregationGroup	string	Y		pkey.aggGroup	SpiderRock supplied value
5701	OpenPositionQuantity	int	N		openPosition	Start of day position for all accounts - may be positive (long) or negative (short)
5702	OpenPositionQuantityShort	int	N		openPosition	Short start-of-day position for all accounts - must be positive if specified
5703	OpenPositionType	enum	Y	1=Exact (default) 2=Truncated	openPosType
5704	BoughtQuantity	int	N		botQuantity	Quantity bought today. Cannot be negative
5705	SoldQuantity	int	N		sldQuantity	Quantity sold today. Cannot be negative
5706	BidLeaves	int	N		bidLeaves	Current open quantity (buy). Cannot be negative
5707	AskLeaves	N	int		askLeaves	Current open quantity (sell). Cannot be negative
779	LastUpdateTime	utcTimestamp	Y		timestamp	Timestamp of last update to date item
55	Symbol	string	Y		secKey	Symbol for the position report
65	SymbolSfx	string	N		secKey	Suffix of the symbol for the position report
207	SecurityExchange	string	Y		secKey	See Fix Session Guide, Appendix A
55	Symbol	string	Y		secKey	Stocks, Options, Futures Symbol for the position report
65	SymbolSfx	string	Y		secKey	Stocks Suffix of the symbol for the position report
541	MaturityDate	string	Y		secKey	Futures, Options Used to specify a maturity date YYYYMMDD
202	StrikePrice	float	Y		secKey	Options Strike price of the security
201	PutOrCall	enum	N	0-Put 1-Call	secKey	Options
200	MaturityMonthYear	string	N		secKey	Futures, Options The month and year of maturity YYYYMM
205	MaturityDay	int	N	1-31	secKey	Futures, Options Can be used in conjunction with MaturityMonthYear to specify a particular maturity date
167	SecurityType	enum	Y	MLEG-MultiLeg CS-Common Stock FUT-Future OPT-Option	secType

Normally there is no response to this message. In some cases, the Reject<3> or Business Reject Message<j> message will be returned if the message cannot be properly processed.

XML Messages

SpiderRock FIX Drop Receive Gateway allows an execution report or a aggregation report to be submitted as an XML formatted FIX message.

FIX Tag	FIX Tag Name	type	Req'd	values	associated record value (ExternAggGroupReport)	comment
	Standard Header	Y		MsgType = n
212	XmlDataLen	int	N			ignored
213	XmlData	string	Y			Should not contain embedded SOH characters. Use '|' to delimit FIX fields

Valid XmlData must contain a message body conforming to an Execution Report or Aggregated Group Position Report, above.

Normally there is no response to this message. In some cases, the Reject<3> or Business Reject Message<j> message will be returned if the message cannot be properly processed.