Order Entry Specs

This document describes the application level FIX messages used to submit and manage orders for equities, futures, and options, including single-leg and multi-leg variants.

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.

Please refer to the OrderManagement section of this site for more information about SpiderRock execution and order management algos and concepts.

Supported Order Types

DMA style orders - These are market or limit orders with a simple limit price and a designated exchange.

Smart/Sweep style orders - These market or limit orders, with a simple limit price, and no designated exchange. These orders will be routed to one or more exchanges at SpiderRock's discretion.

Algorithmic orders These are orders with complex algo behavior and complex price and size limits. They can both provide and interact with liquidity on any public exchange.

Multi-Leg orders - Also known as spread orders, these are orders to buy and sell orders with more than one option simulaneously. Multi-Leg orders can have DMA, Smart/Sweep, or Complex Algo style order handling. They can also work legs individually across all relevant exchanges.

Opening/Closing auctions - Orders designated for participation in either exchange opening or closing auctions.

Order Life Cyce

Delayed start time The order may contain a start time parameter to specify when an order becomes active.

Wait-start The order can be be staged so that it does not become active until released (active size is initially zero).

Staged The order is entered by one user, and activated by another user.

StageReview The order is entered by one trading system, and activated by another system (compliance/risk).

Stop Time The order stops working when the stop time is reached.

Order Duration The order stops working when the order duration is reached

Price Range Cancel The order stops working when an underlying price is reached.

User Cancel The order is explicitly cancelled by the client

Note: Orders can be staged, released, and cancelled by any combination of SpiderRock GUI tools, the SpiderRock SRSE API, and FIX messaging.

Application Messages

NewOrderSingle (Client to SpiderRock)

NewOrderSingle<D> messages are used to submit orders for single securities. Both the standard order types and algorithmic order types offered by SpiderRock are communicated using this message.

In addition to standard FIX fields, SpiderRock uses custom FIX fields with tag numbers in the range 5,000-5,999 for SpiderRock specific parameters.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Standard Header	Y			MsgType = D
11	ClOrdId	Y	string	altOrderId	Client order ID (24 character max)
1	Account	Y	string	accnt	SR account acronym. Must be configured prior to testing or trading Account superceded by: SRAccnt
100	ExDestination	N	multiple-value string	exchMask	SR Destination Code (see appendix) Required for DMA style orders Superceded by: SRExDestination
40	OrdType	N	char	orderLimitType	1 = Market 2 = Limit 5 = Market on Close B = Limit on Close Required for DMA and Smart/Sweep style orders. Not required for more complex order types. If necessary, use Market as the order type when submitting orders with more complex behavior. Superceded by: SROrderLimitType
44	Price	N	float	orderPrcLimit	Required for limit order types Superceded by: SROrderPrcLimit
59	TimeInForce	N	string	orderDuration parentOrderHandling	0 = Day 2 = Opening 3 = Immediate or Cancel (IOC) 6 = Good Till Date/Time (or Duration) 7 = Closing OrderDuration superceded by: SROrderDuration SRTimeInForce ParentOrderHandling superceded by SROrderHandling
207	SecurityExchange	N	string	secKey	Currently Ignored Market used to identify a security's issuing authority (see Appendix A for those accepted by SpiderRock) For Futures products: the issuing authority must be supplied For Equities and Equity Options in which the issuing authority SecurityExchange<207> is not explicitly supplied, NMS is assumed. Superceded by: SRSecKey
461	CFICode	N	string	seckey	Currently Ignored ES = Equity Common Shares [CS] F = Future [FUT] OC = Option - Call [OPT] OP = Option - Put [OPT]
201	PutOrCall	N	int	secKey	Alternative to CFICode<461> 0 = Put 1 = Call Superceded by: SRSecKey
167	SecurityType	N	string	secType	Alternative to CFICode<461> CS = Equity default FUT = Future/Future Options OPT = Equity Option Superceded by: SRSecType
55	Symbol	Y	string	secKey	Exchange symbol May incorporate symbol suffix (e.g. VIA.A) For OPRA options, SpiderRock accepts an OSI code in this field For standardized futures products, maturity information can be included in this field, e.g. GCZ22 Superceded by: SRSecKey
65	SymbolSfx	B	string	secKey	Symbol suffix Superceded by: SRSecKey
22	IDSource	N	string	secKey	8 = Exchange Symbol is accepted when used in conjunction with SecurityID<48> to communicate the Exchange Symbol. Superceded by: SRSecKey
48	SecurityID	N	string	secKey	Exchange symbol, when IDSource = 8 and Symbol<55> is blank. Superceded by: SRSecKey
541	MaturityDate	N	string	secKey	For Futures and Options YYYYMMDD Superceded by: SRSecKey
200	MaturityMonthYear	N	string	secKey	Alternative to MaturityDate<541> YYYYMM Superceded by: SRSecKey
205	MaturityDay	N	int	secKey	Alternative to MaturityDate<541> 1-31 Superceded by: SRSecKey
202	StrikePrice	N	float	secKey	Option strike price Superceded by: SRSecKey
54	Side	Y	char	orderSide ssaleFlag	1 = Buy 2 = Sell 5 = Sell short 6 = Sell short exempt Y= Sell auto (SR determines whether child orders should be selling long or short by looking up account/aggregate group position when child orders are created). OrderSide superceded by: SROrderSide SsaleFlag superceded by: SRShortSaleFlag
77	OpenClose	N	char	positionType	For Options: O = Open C = Close A = Auto (SR determines whether child orders should be marked open or closed by looking up account/aggregate group position when child orders are created). Superceded by: SRPositionType
204	CustomerOrFirm	N	char	firmType	0 = Customer 1 = Firm 2 = Broker / Dealer 4 = Market Maker 5 = Non-Member Market Maker 8 = Customer Professional Will default to SR account configuration if not specified Superceded by: SRFirmType
528	OrderCapacity	N	char	orderCapacity	A = Agency G = Prop I = Individual P = Principal R = Riskless W = AgentOtherMember Will default to SR account configuration if not specified Superceded by: SROrderCapacity
60	TransactTime	Y	utcDttm		Time this order request was initiated/released. Formatted as: YYYYMMDD-HH:MM:SS.fff Note: this order must arrive at SpiderRock within 15 seconds of the TransactTime to be considered a valid order.
38	OrderQty	Y	int	orderSize	Executable quantity Superceded by: SROrderSize
	Standard Trailer	Y

Example -- DMA

DMA orders are used to send a single order to a specific exchange or destination. This order type allows the client to control where the order is traded. Note that DMA orders may interact with dark liquidity in the SpiderRock platform if this is desired.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Standard Header	Y			MsgType = D
	Basic NewOrderSingle Fields				See "NewOrderSingle" above
100	ExDestination	Y	string	exchMask	SR Destination Code (see appendix)
	Standard Trailer	Y

Example - Smart/Sweep

Smart/Sweep orders are used to send an order without specifying a destination. SpiderRock will determine the optimal destination(s) for the order and will automatically sweep multiple destinations to maximize liquidity capture. This order type can optionally post any unfilled balance on an exchange.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Standard Header	Y			MsgType = D
	Basic NewOrderSingle Fields				See "NewOrderSingle" above
	Standard Trailer	Y

Example - Staged/WaitStart

The SRStartType<5090> tag is used to send staged/wait orders to SpiderRock. These orders will be sent to the exchange once the client commands their release. Note that orders can be released in multiple ways: via the SpiderRock GUI tools, the SpiderRock SRSE/SQL API, and a Listexecute<L> FIX message. Staged orders will be acknowledged immediately; fills will only be reported after the order has been released.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Standard Header	Y			MsgType = D
	Basic NewOrderSingle Fields				See "NewOrderSingle" above
	Algorithmic NewOrderSingle Fields				See "NewOrderSingle" above
5086	SRStageType	Y	int	spdrStageType	1 = ModifyAny 2 = ModifyAlgo
5090	SRStartType	Y	int	startType	2 = WaitTrigger (wait start)
	Standard Trailer	Y

Example - Market-On-Open/Market-On-Close

Market-On-Open/Market-On-Close orders are used when participating in opening and closing exchange auctions. Note: Either FIX 4.2 or FIX 4.4style OrdType/TimeInForce tagging is allowed.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Standard Header	Y			MsgType = D
	Basic NewOrderSingle Fields				See "NewOrderSingle" above
59	TimeInForce	Y	char	parentOrderHandling	2 = At the opening 7 = At the Close
	Standard Trailer	Y

Example - SpiderRock Algorithm

Complex Algo/Parent orders express intent to interact with the market in a variety of ways. These parent orders can, and frequently do, result in multiple child orders being generated and routed to the exchange.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Standard Header	Y			MsgType = D
	Basic NewOrderSingle Fields				See "NewOrderSingle" above
5036	SRUsername	N	string	userName	Client defined username Used for customer service and futures compliance If necessary, a default may be assigned to the FIX session. (24 character max)
5055	SRProgressExposeTime	N	int	progressExposeTime	Duration in seconds
5094	SROrderHandling	Y	int	orderHandling	Primary order handling algorithm 1 = ActiveTaker 2 = PostOnly 3 = DMA 4 = MktOnOpn 5 = MktOnCls 11 = CrossResponse 12 = AuctionResponse
5096	SRBalanceHandling	N	int	parentBalanceHandling	0 = None (non-marketable balance will not be posted) default 1 = PostWith 2 = PostTurn 3 = PostImprove 4 = PostLimit 5 = PostLmtW 7 = PostWthF 9 = PostFlash 10 = PostFlashW 12 = PostFlashI
5090	SRStartType	N	int	startType	0 = Immediate 1 = WaitTrigger (wait for RiskGroup/Sweep trigger) 2 = Staged (wait for order to be modified/r eleased)
5084	SRTimeInForce	N	string	timeInForce	Day = Order remains working until the end of the day's primary trading session. EXT = Extended Day - Order remains working through the day's intended trading session until the next top of day rotation. WK = Week - Order remains working for the remainder of the week's normal trading sessions. EWK = Extended Week - Order remains working for the week's remaining extended trading sessions until the next Friday/EndOfWeek rotation. IOC = Immediate or Cancel - Order expires after one attempt at execution OR after one second. GTD = Good Till Duration - Order remains working through the day's extended trading session until the next top of day rotation OR when SRGoodTillDttm time is reached OR after working for SROrderDuration seconds.
5086	SROrderDuration	N	int	orderDuration	Order with SrTimeInForce = GTD expires after working for this number of seconds.
5088	SRGoodTillDttm	N	utcDttm	goodTillDttm	Order with SrTimeInForce = GTD expires at this time.
5028	SRExecBrokerCode	N	string	execBrkrCode	Overrides the default executing broker for this parent order
5034	SRStrategy	N	string	strategy	Client strategy label. Displayed on SR Order Manager
5082	SRExDestination	N	string	exchMask	Space separated exchange list; default = all available exchanges
5046	SRMaxExposureSize	N	int	maxExposureSize	Maximum simultaneous public exposure size across all exchanges
5048	SRNumMakeExchanges	N	int	numMakeExchanges	Number of public exposure exchanges
5050	SRPublicSize	N	char	publicSize	0 = None 1 = Randomize 2 = MktSize 3 = FullSize 4 = MktSizeA 5 = MktSizeB 6 = MktSizeC 7 = FullSizeR Max25Pct=8 Max50Pct=9 Max75Pct=10 NoSize=11
5052	SRCanCxlOverlap	N	char	canOverlapCxlRepl	When replacing (cancel-with-replacement) a child order, can cancel request overlap with new order? The order may overfill if 'Y'. Y = Yes N = No
5080	SRMaxChildOrders	N	int	maxChildOrders	Upper bound for the number of child orders generated for this parent order Default: 1000
5054	SRProgressRule	N	int	progressRule	0 = Immediate default 1 = Twap 2 = Vwap (not available for options) 3 = TwapReset 4 = VwapReset (not available for options) 5 = FastReset 6 = SlowReset 7 = TwapAlpha 8 = VwapAlpha (not available for options) 11 = SpdrPulse
5056	SRProgressSliceCnt	N	int	progressSliceCnt	number of slices to use (default = 4 or 8) [max 20]
5104	SRTakeReachRule	N	int	takeReachRule	0 = None 1 = Delayed 2 = Passive 3 = WeakOnly 4 = RespondOnly 5 = FullSize 6 = ISOSweep 7 = AllOrNone 8 = QtyOrMore 9 = UpToQty 10 = AtMost25 11 = AtMost50 12 = MinTakeFee
5098	SROrderLimitType	N	int	orderLimitType	0 = Market 1 = MarketArrival 2 = Prc 3 = PrcDe 4 = PrcDeX 5 = PrcDeT 6 = PrcDeP 7 = PrcDeXT 8 = PrcD eXP 9 = Vol 10 = VolX 11 = PrcV 12 = PrcVX 13 = VolPrc 14 = RelMid 15 = RelJoin 16 = RelCross 17 = SmrtFast 18 = SmrtNorm 19 = RelTurn 20 = PrcDeEm 22 = VolEm 23 = Aux 24 = UPrcPct 25 = PkgNeutral 26 = RcPrem 27 = SynthLimitMM 28 = SynthLimitBW 29 = SynthLimitWW
5106	SROrderPrcLimit	N	float	orderPrcLimit	Applies if SROrderLimitType<5098> = Prc
5126	SROrderPrcOffset	N	float	orderPrcOffset	Default=0
5132	SRTakeAlphaFactor	N	float	takeAlphaFactor
5134	SRMakeAlphaFactor	N	float	makeAlphaFactor
5136	SRTakeProbability	N	float	takeProbability
5138	SRMakeProbability	N	float	makeProbability
5259	SRMaxSymDayDDeltaLn	N	float	maxSymDayDDeltaLn	max acct+symbol day $delta long Should be a positive number; Defaults to no limit
5260	SRMaxSymDayDDeltaSh	N	float	maxSymDayDDeltaSh	max acct+symbol day $delta short Should be a positive number; Defaults to no limit
5058	SRVwap Participation	N	float	vwapParticipation	Target VWAP participation rate (target % of trade activity)
5290	SRUserData1	N	string	userData1	User defined field (max 255 chars) - Can be returned on exec reports, forwarded on drop lines, or copied onto child orders. Please advise SpiderRock support staff of intended behavior.
5291	SRUserData2	N	string	userData2	User defined field (max 255 chars) - Can be returned on exec reports, forwarded on drop lines, or copied onto child orders. Please advise SpiderRock support staff of intended behavior.
	SR Option Specific Fields				See "Algorithmic Order -- Option Specific Fields" below
	Standard Trailer	Y

Algorithmic Order -- Option Specific Fields

The following fields can be included in Algorithmic orders when SecurityType<167> = Option.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
5170	SRPositionType	N	int	positionType	Primary position type (single leg orders)
5060	SRAuctionResponder	N	string	auctionResponder	0 =None ANY = parent order can be an auction responder
5108	SROrderRefUPrc	N	float	orderRefUPrc	The stock reference price, a contribution to the order premium.
5110	SROrderRefDelta	N	float	orderRefDelta
5112	SROrderRefGamma	N	float	orderRefGamma
5192	SROrderRefRMetric1	N	float	orderRefRMetric1	User supplied custom risk metric
5194	SROrderRefRMetric2	N	float	orderRefRMetric2	User supplied RMetric2 value
5196	SROrderRefRMetric3	N	float	orderRefRMetric3	User supplied RMetric3 value
5198	SROrderRefRMetric4	N	float	orderRefRMetric4	User supplied RMetric4 value
5200	SROrderRefRMetric5	N	float	orderRefRMetric5	User supplied RMetric5 value
5212	SROrderRefRMetric6	N	float	orderRefRMetric6	User supplied RMetric6 value
5236	SROrderRefRMetric7	N	float	orderRefRMetric7	User supplied RMetric7 value
5116	SROrderVolLimit	N	float	orderVolLimit	Order volatility limit - Valid range: [0.005, 9.000]. Required if SROrderLimitType<5098> is Vol, VolX, or VolPrc Ignored if SROrderLimitType is Market
5118	SRRateOverride	N	float	rateOverride	Must be positive
5120	SRSDivOverride	N	float	sdivOverride
5122	SRDDivOverride	N	string	ddivOverride	Discrete dividends override Format:[years: amount, years:amount, ...]
5124	SROverrideCode	N	char	overrideCode	SDiv/DDiv override rule (applies if LimitType = Vol) 0 = None S = SDivOnly D = DDivOnly B = Both
5228	SRMakeSurfWidthOffset	N	float	makeSurfWidthOffset
5229	SRTakeSurfWidthOffset	N	float	takeSurfWidthOffset
5140	SRTakeSurfPrcOffset	N	float	takeSurfPrcOffset
5142	SRTakeSurfVolOffset	N	float	takeSurfVolOffset
5144	SRMakeSurfPrcOffset	N	float	makeSurfPrcOffset
5146	SRMakeSurfVolOffset	N	float	makeSurfVolOffset
5072	SRCxlUPrcRange	N	bool	cxlUPrcRange	Cancel order if outside stock price range Y = Yes N = No Z = Yes/Halt - Yes and also cancel on underlying halt M = No/Halt - No, but cancel on underlying halt
5074	SRMinUBid	N	float	minUBid	Any non-hold status will revert to markup if stock NBBO Mid is outside [midStockPx,maxUAsk] range.
5076	SRMaxUAsk	N	float	See description for minUBid
5078	SRMinOptionPx	N	float	maxUAsk	Option price floor for orders tied to stock
5255	SRMaxExpDayWtVegaLn	N	float	maxExpDayWtVegaLn	max accnt+expiration day wvega (time weighted) long. Should be a positive number; Defaults to no limit
5256	SRMaxExpDayWtVegaSh	N	float	maxExpDayWtVegaSh	max accnt+expiration day wvega (time weighted) short. Should be a positive number; Defaults to no limit
5257	SRMaxSymDayWtVegaLn	N	float	maxSymDayWtVegaLn	max acct+symbol day vega long. Should be a positive number; Defaults to no limit
5258	SRMaxSymDayWtVegaSh	N	float	maxExpDayWtVegaSh	max acct+symbol day $delta short. Should be a positive number; Defaults to no limit

Algorithmic Order -- Option Autohedging Fields

If autohedging is enabled, then any resulting autohedge fills will be reported using the orders. Note that since autohedge trades are generated in response to option fills, perhaps over multiple orders, some accommodations must be made in the resulting autohedge execution reports. They cannot be reported back to the client on an order entry line; all autohedged drop reports are reported down a separate FIX drop line.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
5152	SRAutoHedge	N	char	autoHedge	N = NoHedge default X = FastCrx Y = FastDark Z = SlowDark F = AutoCrx S = AutoTrn M = AutoMid A = SpdrAuto 1 = Spdr10S 3 = Spdr30S 9 = Spdr90S 5 = Spdr5M H = Spdr30M D = SpdrDay 12 = SmartFast 13 = SmartNorm V1 = AlphaVwap1pct=V1 V2 = AlphaVwap2pct V5 = AlphaVwap5pct V25 = AlphaVwap25pct T = Static

OrderCancelReplace (Client to SpiderRock)

The OrderCancelReplace<G> request is used to change the parameters of an existing New Order Single.

An ExecutionReport<8> with ExecType<150>=Pending Replace will be sent unless the OrderCancelReplace<G> can immediately be accepted (ExecutionReport<8> with ExecType<150>=Replaced) or rejected (OrderCancelReject<9> message).

An OrderCancelReplace<G> request will only be accepted if any associated child orders can successfully be cancelled. Requests that cannot be processed will be rejected with a CancelReject<3> message.

An order’s algorithmic parameters remain unaffected unless a new value is manually updated for a specific parameter. If a new value is not supplied, the previous order's algo parameters are carried forward onto the new order.

An OrderCancelReplace<G> request may be sent to increase the quantity on a filled order, but not a cancelled nor rejected order.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Standard Header	Y			MsgType = G
11	ClOrdId	Y	string	altOrderId	Client order ID of the cancel request (24 character max)
41	OrigClOrdID	Y	string	altPrevOrderId	ClOrdID<11> of the previous order (NOT the initial order of the day) when canceling an order. (24 character max)
	Modifiable New Order Single Fields (See list above)
	Standard Trailer	Y

NewOrderMultileg (Client to SpiderRock)

A NewOrderMultileg<AB> message is used to submit an order for up to 6 option legs and one equity leg as a package. Both standard multi-leg order types and the more complex ones offered by SpiderRock are communicated using this message.

The NewOrderMultileg<AB> fields listed in the following table are used in common by all SpiderRock multileg orders. Additional fields are used by different order types to communicate their unique features. These fields are described in subsequent sections.

In addition to standard FIX fields, SpiderRock uses custom FIX fields (5,000+) for SpiderRock specific parameters.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Standard Header	Y			MsgType = AB
11	ClOrdId	Y	string	altOrderId	Client order ID (24 character max)
1	Account	Y	string	accnt	SR account acronym Must be configured prior to testing or trading Account superceded by: SRAccnt
38	OrderQty	Y	int	orderSize	Executable quantity Superceded by: SROrderSize
54	Side	N	char	orderSide	1 = Buy
100	ExDestination	N	string	exchMask	SR Destination Code (see appendix) - Required for DMA style orders Superceded by: SRExDestination
40	OrdType	N	char	orderLimitType	1 = Market 2 = Limit - Required for DMA and Smart/Sweep style orders Superceded by: SROrderLimitType
44	Price	N	float	orderPrcLimit	Required for limit order types Superceded by: SROrderPrcLimit
59	TimeInForce	N	string	orderDuration parentOrderHandling	0 = Day 3 = Immediate or Cancel (IOC) OrderDuration superceded by: SROrderDuration SRTimeInForce ParentOrderHandling superceded by SROrderHandling
60	TransactTime	Y	utcDttm		Time this order request was initiated/released. Formatted as: YYYYMMDD-HH:MM:SS.fff Note: this order must arrive at SpiderRock within 15 seconds of the TransactTime to be considered a valid order.
	Algorithmic Multileg Fields			Associated Record Value (SpdrParentOrder.OrderLegsList)	See "Multileg Algorithm" below
555	NoLegs	Y	int	numLegs	Number of legs
→ 654	LegRefId	Y	string	altStkLegId altLegIdN	Used to identify a specific leg
→ 608	LegCFICode	N	string	Ignored	ES= Equity Common Shares OC = Option - Call [OPT] OP = Option - Put [OPT] F = Future [FUT] OCXF = Future Option - Call [OPT] OPXF = Future Option - Put [OPT] Superceded by: SRLegSecType Supercedes: LegSecurityType
→ 609	LegSecurityType	N	string	ticker secKeyN (for options) secTypeN (for options)	Alternative to LegCFICode<608> CS = Equity default FUT = Future/Future Options OPT = Equity Option
→ 600	LegSymbol	Y	string	ticker secKeyN (for options)	Leg Exchange symbol May incorporate symbol suffix, e.g. VIA.A For OPRA options, SpiderRock accepts an OSI code in this field. For standardized futures products, maturity information can be included in this field, e.g. GCZ22.
→ 601	LegSymbolSfx	N	string	ticker	Leg Symbol Suffix
→ 611	LegMaturityDate	N	string	secKeyN (for options)	For Futures and Options. Formatted as: YYYYMMDD
→ 612	LegStrikePrice	N	float	secKeyN (for options)	Option strike price
→ 624	LegSide	Y	char	ssaleFlag sideN	1 = Buy 2 = Sell 5 = Sell short 6 = Sell short exempt Y = Sell auto (SR determines whether child orders should be selling long or short by looking up account/aggregate group position when child orders are created). Superceded by: SRLegSide,SRLegShortSaleFlag
→ 623	LegRatioQty	Y	int	multN	The ratio of quantity for this individual leg relative to the entire multileg security
→ 564	LegPositionEffect	N	char	posTypeN	For Options: O = Open C = Close A = Auto (SR determines whether child orders should be marked open or closed by looking up account/aggregate group position when child orders are created). Superceded by: SRLegPosEffect
	Standard Trailer	Y

Example - DMA

DMA orders are used to send a multi-leg order to a specified exchange or destination. This order type is appropriate when the client wishes to control where the order is traded. Note that DMA orders may interact with dark liquidity in the SpiderRock platform if configured to do so.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Standard Header	Y			MsgType = AB
	Basic NewOrderMultileg Fields				See "NewOrderMultileg" above
100	ExDestination	Y	string	exchMask	SR Destination Code (see appendix) - Required for DMA style orders Superceded by: SRExDestination
	Standard Trailer	Y

Example - Smart/Sweep

Smart/Sweep orders are used to send an order without specifying a destination. SpiderRock will determine the optimal destination(s) for the order and will automatically sweep multiple destinations to maximize liquidity capture. This order type can optionally post any unfilled balance on an exchange.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Standard Header	Y			MsgType = AB
	Basic NewOrderMultileg Fields				See "NewOrderMultileg" above
	Standard Trailer	Y

Example - Staged/WaitStart

The SRStartType<5090> tag is used to send staged/wait orders to SpiderRock. These orders will be sent to exchange as market orders once the client commands their release. Note that orders can be released in multiple ways: via SpiderRock GUI tools, via the SpiderRock SRSE/SQL API, and via a Listexecute<L> fix message. Staged orders will be acknowledged immediately; fills will only be reported after the order has been released.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Standard Header	Y			MsgType = AB
	Any Combination of Basic or Complex NewOrderMultiLeg Fields
5086	SRStageType	Y	int	spdrStageType	1 = ModifyAny 2 = ModifyAlgo
5090	SRStartType	Y	int	startType	2 = WaitTrigger (wait start)
	Standard Trailer	Y

Example - Multileg Algorithm

SpiderRock Algorithmic orders express intent to interact with the market in a variety of ways. These parent orders can, and frequently do, result in multiple child orders being generated and routed to the exchange.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Standard Header	Y			MsgType = AB
	Basic NewOrderMultileg Fields (See NewOrderMultileg above)
5036	SRUsername	N	string	altUserName	Client defined username. - Used for customer service and futures compliance - If necessary, a default may be assigned to the FIX session (24 character max).
5055	SRProgressExposeTime	N	int	progressExposeTime	Default = 0
5094	SROrderHandling	Y	int	orderHandling	Primary order handling algorithm 8 = Legger 9 = Seeker 10 = SeekerLegger 20 = CobMaker
5096	SRBalanceHandling	N	int	parentBalanceHandling	0 = None (non-marketable balance will not be posted) 4 = PostLimit
5086	SRStageType	Y	int	spdrStageType	1 = ModifyAny 2 = ModifyAlgo
5090	SRStartType	N	int	startType	0 = Immediate 1 = WaitTrigger (wait for RiskGroup/Sweep trigger) 2 = Staged (wait for order to be modified/released)
5084	SRTimeInForce		string	timeInForce	Day = Day -- Order remains working until the end of the day's primary trading session. EXT = Extended Day - Order remains working through the day's extended trading session until the next top of day rotation. - WK = Week - Order remains working for the remainder of the week's normal trading sessions. EWK = Extended Week - Order remains working for the week's remaining extended trading sessions until the next Friday/EndOfWeek rotation. IOC = Immediate or Cancel - Order expires after one attempt at execution OR after one second. GTD = Good Till Duration - Order remains working through the day's extended trading session until the next top of day rotation OR when SRGoodTillDttm time is reached OR after working for SROrderDuration seconds.
5089	SRMarketSession		char	marketSession	1 = Regular Market 2 = Pre-Market 3 = Post-Market 4 = Regular and Pre-Market 5 = Regular and Post-Market 6 = All Day
5086	SROrderDuration		int	orderDuration	Order with SrTimeInForce = GTD expires after working for this number of seconds 0/missing = ignore
5088	SRGoodTillDttm		utcDttm	goodTillDttm	Order with SrTimeInForce = GTD expires at this time working for this number of seconds
5034	SRStrategy	N	string	strategy	Client strategy label. Displayed on SR Order Manager
5360	SRExDestination		string	exchMask	Comma separated exchange list; default = all available exchanges
5046	SRMaxExposureSize		int	maxExposureSize	Maximum simultaneous public exposure size across all exchanges
5048	SRNumMakeExchanges		int	numMakeExchanges	Number of public exposure exchanges
5050	SRPublicSize	N	char	publicSize	0 = None 1 = Randomize 2 = MktSize 3 = FullSize 4 = MktSizeA 5 = MktSizeB 6 = MktSizeC 7 = FullSizeR
5080	SRMaxChildOrders		int	maxChildOrders	Upper bound for the number of child orders generated for this parent order
5054	SRProgressRule		int	progressRule	0 = Immediate (default) 1 = Twap 3 = TwapReset 5 = FastReset 6 = SlowReset 7 = TwapAlpha progressRule 11 = SpdrPulse
5056	progressSliceCnt		int	progressSliceCnt	Number of slices to use (default = 4 or 8) [max 20]
5104	SRTakeReachRule		int	takeReachRule	0 = Immediate 1 = Delayed 2 = Passive
5098	SROrderLimitType		string	orderLimitType	0 = Market 1 = MarketArrival 2 = Prc 3 = PrcDe 4 = PrcDeX 6 = PrcDeP 8 = PrcDeXP 14 = RelMid 15 = RelJoin 16 = RelCross
5100	SRTakeLimitClass		char	takeLimitClass	0 = Simple 1=Surface Probability=2 SurfProb=3
5102	SRMakeLimitClass		char	makeLimitClass	0 = Simple 1=Surface Probability=2 SurfProb=3
5106	SROrderPrcLimit		float	orderPrcLimit	Applies if SROrderLimitType<5098> = Prc
5108	SROrderRefUPrc		price	orderRefUPrc	default=underlier.mid
5110	SROrderRefDelta		float	orderRefDelta	Default=option.delta
5112	SROrderRefGamma		float	orderRefGamma	Default=option.gamma
5116	SROrderVolLimit	N	float	orderVolLimit	Order volatility limit - Valid range: [0.005, 9.000]. Required if SROrderLimitType<5098> is Vol, VolX, or VolPrc Ignored if SROrderLimitType is Market
5126	SROrderPrcOffset		float	orderPrcOffset	Default=0
5128	SRTakeAlphaType		char	takeAlphaType	1 = Static 2 = Hawk 3 = Eagle 4 = Falcon 5 = Relative
5130	SRMakeAlphaType		char	makeAlphaType	1 = Static 2 = Hawk 3 = Eagle 4 = Falcon 5 = Relative
5132	SRTakeAlphaFactor		float	takeAlphaFactor
5134	SRMakeAlphaFactor		float	makeAlphaFactor
5136	SRTakeProbability		float	takeProbability
5138	SRMakeProbability		float	makeProbability
5202	SRLeadSide		char	leadSide	SROrderHandling=Legger Only 1 = Buy 2 = Sell
5204	SRMaxCompletionSlippage		float	maxCompletionSlippage	SROrderHandling=Legger Only
5206	SROrderRefPremium		float	orderRefPremium	Reference premium (multileg orders only)
5290	SRUserData1	N	string	userData1	User defined field (max 255 chars) Can be returned on exec reports; forward to drop lines or forwarded to child orders Please advise SpiderRock support staff of intended behavior.
5291	SRUserData2	N	string	userData2	User defined field (max 255 chars) Can be returned on exec reports; forward to drop lines or forwarded to child orders Please advise SpiderRock support staff of intended behavior.
	Standard Trailer	Y

Example - Legger

Legger orders allow SpiderRock to determine optimal destination(s) for the order. SpiderRock will automatically sweep multiple destinations to maximize the order's liquidity capturer. Any unfilled balance can optionally be posted to exchange.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Basic NewOrderMultileg Fields (See NewOrderMultileg above)
5094	SROrderHandling	Y	int	orderHandling	Primary order handling algorithm 8 = Legger
5096	SRBalanceHandling	N	int	parentBalanceHandling	0 = None (non-marketable balance will not be posted) 4 = PostLimit
5202	SRLeadSide	N	char	leadSide	Legger Only 1 = Buy 2 = Sell
5204	SRMaxCompletionSlippage	N	float	maxCompletionSlippage	Legger Only
	Standard Trailer	Y

MultilegCancelReplace (Client to SpiderRock)

The MultilegCancelReplace<AD> request is used to change the parameters of an existing New Order Single.

An ExecutionReport<8> with ExecType<150>=Pending Replace will be sent unless the MultilegCancelReplace<AD> can immediately be accepted (ExecutionReport<8> with ExecType<150>=Replaced) or rejected (OrderCancelReject<9> message).

An MultilegCancelReplace<AD> request will only be accepted if any associated child orders can successfully be cancelled. Requests that cannot be processed will be rejected with a CancelReject<3> message.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Standard Header	Y			MsgType = AC
11	ClOrdId	Y	string	altOrderId	Client order ID of the cancel request (24 character max)
41	OrigClOrdID	Y	string	altPrevOrderId	ClOrdID<11> of the previous order (NOT the initial order of the day) when canceling an order. (24 character max)
	Modifiable NewOrderMultileg Fields (See list above)
	Standard Trailer	Y

ExecutionReport (SpiderRock to Client)

SpiderRock natively follows FIX 4.4 rules for ExecutionReport handling but can switch to FIX 4.2 on request.

Tag	Field Name	Req'd	Type	Associated Record Value SpdrParentReport (r) SpdrParentExecution (x)	Comments
115	OnBehalfOfCompID	N	string	execBrkrClFirm (x)	client/firm at executing broker
116	OnBehalfOfSubID	N	string	execBrkrUserName (x)	userName at execution broker
11	ClOrdID	Y	string	parentNumber (x)	See Also: SRBaseParentNumber
1	Account	Y	string	accnt (r) execBrkrAccnt (x)
20	ExecTransType	Y	int	execStatus (x)
150	ExecType	Y	char	execStatus (x)
39	OrdStatus	Y	char	spdrOrderStatus (r) fillQuantity (r) r.execType (r)
41	OrigClOrdID	N	string	prevParentNumber (r)	Conditionally required for response to a Cancel or Cancel/Replace request - (ExecType=PendingCancel, Replaced, or Canceled)
37	OrderID	Y	hexlong	baseParentNumber (r)	Unique ID for order chain assigned by SpiderRock
54	Side	Y	char	orderSide (x) ssaleFlag (x)	Value from executing venue - Value may differ from client's order if execution order is sold short.
38	OrderQty	Y	int	orderSize (x)	parent order size
40	OrdType	Y	char	parentOrderHandling (r) limitPrice (r) orderLimitType (r)	Order type of this execution
528	OrderCapacity	N	char	orderCapacity (r)	Value from order to venue A = Agency W = Agent Other Member I = Individual P = Principal G = Proprietary
44	Price	N	float	limitPrice (r)	Value from client's order
47	Rule80A	N	char	orderCapacity (r)	A = Agency Singl eOrder W = Agent Other Member I = Individual P = Principal
59	TimeInForce	N	string	orderDuration (r) parentOrderHandling (r)	0 = Day 2 = Opening 7 = Closing
	Symbology
55	Symbol	Y	string	secKey (x)	Value from client's order
65	SymbolSfx	N	string	secKey (x)	Value from client's order
167	SecurityType	N	string	secKey (x)	MLEG = Multileg CS = Common Stock FUT = Future OPT = Option
541	MaturityDate	N	string	secKey (x)	Value from client's order YYYYMMDD
200	MaturityMonthYear	N	string	secKey (x)	Value from client's order YYYYMM
205	MaturityDay	N	int	secKey (x)	Value from client's order 1-31
202	StrikePrice	N	price	secKey (x)	Value from client's order
201	PutOrCall	N	int	secKey (x)	Value from client's order
100	ExDestination	N	string	childExDest (r)	Child order exchange destination
204	CustomerOrFirm	N	char	firmType (r)	Child order firm type 0 = Customer 1 = Firm 2 = Broker / Dealer 3 = Broker Dealer Customer 4 = Market Maker 5 = Non-Member Market Maker 8 = Customer Professional J =Fim JBO
77	PositionEffect	N	string	positionType (x)	parent order position type O = Opening C = Closing
439	ClearingFirm	N	string	clearingFirm (x)	clearing firm
440	ClearingAccount	N	string	clearingAccnt (x)	clearing firm account
17	ExecID	Y	string		Unique ID assigned by SpiderRock
19	ExecRefID	N	string
654	LegRefID	N	string	legRefId (x)	Used to identify a specific leg for multileg order execution reports
6	AvgPx	Y	float	sumFillMoney (x) sumFillQty (x)	Execution price
14	CumQty	Y	int	sumFillQty (x)
151	LeavesQty	Y	int	orderSize(x) sumFillQty (x)	0 if order is not active
31	LastPx	Y	float	fillPrice (x)
32	LastShares	Y	int	fillQuantity (x)
30	LastMkt	N	string	fillMarket (x) childExDest (x)	Value from executing venue
29	LastCapacity	N	string	lastCapacity (x)	child order capacity
58	Text	N	string	spdrCloseReason (r), orderClosedText (r)
60	TransactTime	Y	utcDttm	fillTransactDttm (x) timestamp (r)	Time the transaction represented by this
75	TradeDate	N	utcDttm	secKey (x) fill.fillDttm (x)	Trading Date
76	ExecBroker	N	string	extExecBroker (r)	Child executing venue
5607	SRStreetExecID	N	string	fillExecId (x)	street side execution Id
5608	SRStreetExecRefID	N	string	fillExecRefId (x)	street side execution ref Id
442	MultiLegReportingType	N	char	parentShape (r)	Used to indicate what an Execution Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.). 1 = SINGLE_SECURITY 2 = INDIVIDUAL_LEG 3 = MULTI_LEG_SECURITY
5602	SRFillNumber	N	hexlong	fillNumber (x)	SpiderRock execution number
5611	SRExchLiqTag	N	string	exchLiquidityTag (x)	Exchange supplied liquidity code
5610	SRLiquidityTag	N	string	spdrLiquidityTag (x)	SpiderRock normalized venue liquidity tag
5619	SRExchFeeEst	N	float	fillExchFee (x)	SpiderRock estimate of the exchange fee based on liquidity tags (best effort)
5618	SRBillingRate	N	float	fillBrkrRate (x) fillRoutingRate (x)	billing brokerage + routing rate
5360	SRExDestination	N	string	childExDest (x)	child order exchange destination
5627	SRChildShortSaleFlag	N	string	childSSaleFlag (x)	4 = Auto 6 = Close 8 = Cover 3 = Exempt 1 = Long 7 = N/A 5 = Open > 2 = Short
5625	SRChildPositionType	N	string	childPosType (x)	Child order position type 7 = Auto 5 = Open 7 = Close
5631	SRStreetRoute	N	string	routingCode (x)	SpiderRock market routing code
5038	SROrderDttm	N	utcDttm	orderDttm (r)
5012	SRAltAccnt	N	string	altAccnt (r)	client assigned account
5014	SRAltUserName	N	string	altUserName (r)	client assigned user name
5034	SRStrategy	N	string	parentStrategy (r)	client assigned strategy name
5009	SRSpdrSource	N	string	spdrSource (r)	Source of this order (FIX, SRSE, HedgeTool, etc)
5000	SRParentNumber	N	hexlong	parentNumber (r)	SpiderRock order id. See Also SRBaseParentNumber
5004	SRBaseParentNumber	N	hexlong	baseParentNumber (r)	Unique ID for order chain assigned by SpiderRock See Also SRParentNumber
5290	SRUserData1	N	string	userData1 (r)	client supplied data field
5291	SRUserData2	N	string	userData2 (r)	client supplied data field
5088	SRGoodTillDttm	N	datetime	goodTillDttm (r)
	Standard Trailer	Y

OrderCancelRequest (Client to SpiderRock)

An OrderCancelRequest<F> message requests the cancelation of all the remaining quantity of an order. The request will only be accepted if the order can be successfully pulled back from a downstream exchange, broker, or equivalent destination.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentReport)	Comments
	Standard Header	Y		MsgType = F
11	ClOrdId	Y	string	altOrderId	Client order ID of the cancel request (24 character max)
41	OrigClOrdID	Y	string	altPrevOrderId	ClOrdID<11> of the previous order (NOT the initial order of the day) when canceling an order. (24 character max)
37	OrderID	N	string		SR assigned OrderID (from an ExecutionReport message) - Note: one of OrigClOrdID or OrderID must be supplied.
	Symbology
55	Symbol	Y	string	secKey	Exchange symbol May incorporate symbol suffix (e.g. VIA.A) For OPRA options, SpiderRock accepts an OSI code in this field For standardized futures products, maturity information can be included in this field, e.g. GCZ22 Superceded by: SRSecKey
65	SymbolSfx	B	string	secKey	Symbol suffix Superceded by: SRSecKey
167	SecurityType	N	string	secKey	MLEG = Multileg CS = Common Stock FUT = Future OPT = Option
541	MaturityDate	N	string	secKey	For Futures and Options YYYYMMDD Superceded by: SRSecKey
200	MaturityMonthYear	N	string	secKey	Alternative to MaturityDate<541> YYYYMM Superceded by: SRSecKey
205	MaturityDay	N	int	secKey	Alternative to MaturityDate<541> 1-31 Superceded by: SRSecKey
202	StrikePrice	N	float	secKey	Option strike price Superceded by: SRSecKey
201	PutOrCall	N	int	secKey	Value from client's order
54	Side	Y	char	orderSide ssaleFlag	Value from executing venue - Value may differ from client's order if execution order is sold short.
60	TransactTime	Y	utcDttm		Time this order request was initiated/released. Formatted as: YYYYMMDD-HH:MM:SS.fff Note: this order must arrive at SpiderRpcl within 15 seconds of the TransactTime to be considered a valid order.
38	OrderQty	Y	int	orderSize	Executable quantity Superceded by: SROrderSize
58	Text	N	string		User supplied text such as a cancel reason
	Standard Trailer	Y

OrderCancelReject (SpiderRock to Client)

SpiderRock FIX Gateways follow FIX 4.4 style rules for CancelReject handling but can switch to FIX 4.2 on request.

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentReport)	Comments
	Standard Header	Y			MsgType = 8
37	OrderID	Y	hexlong	baseParentNumber	Unique ID for order chain assigned by SpiderRock
11	ClOrdID	Y	string	parentNumber	See Also: SRBaseParentNumber
41	OrigClOrdID	Y	string	altPrevOrderId	Conditionally required for response to a Cancel or Cancel/Replace request (ExecType=PendingCancel, Replaced, or Canceled)
434	CxlRejResponseTo	Y	char		Valid values: 1 = OrderCancelRequest <F> 2 = OrderCancel/Replace Request <G>
102	CxlRejReason	N	int
39	OrdStatus	Y	char		OrdStatus value after this cancel reject is applied
58	Text	N	string
	Standard Trailer	Y