Release Notes

January 17th, 2025 Release Notes

Message and enum differences can be found here.

SpiderRock Connect:

• Added support for equity legs on cross orders.
• Added ‘up50’ and ‘dn50’ calculation scenarios for msgOptionRiskFactor.
• Enhanced support for msgOptionMarketSummary.
• Hardened logic around publishing an underlying reference price on option closing marks.
• Implied Vols in VolSurf Chart have been fixed to update when user overrides are applied.
• Improved integration of secondary limits into progression algos.
• Improved MLink REST API latency.
• Improved sDiv calibration in surfaces.
• Now allow FXI, EWZ, IYR, LQD, and RSP options to trade after 3pm.
• Updated theo surfaces to use rate and div overrides.

Citrix Tools:

• Order Manager v2 - Added support for ‘$VegaLeft’. This new column value will be calculated using the following formula:$VegaLeft = cnVeleavesQuantityUnderliersPerCn*uPrc.
• Risk Manager - Changed prcDdiv caption name to prc.ddiv.
• Symbol Viewer - Ticket Blotter: Addressed a bug where presets would not restore correctly when switching between single and multi-leg instruments.
• Symbol Viewer - Ticket Blotter: Now allows uLimitVol to increase by 0.01 increments.
• Symbol Viewer - Quick Ticket: Fixed issue where CTRL + A did not highlight information.
• Symbol Viewer - Quick Ticket: Hotkeys (CTRL+Z/CTRL+X) have been added to provide ability to increment/decrement order size by 1 on new order submissions.
• Symbol Viewer - Ported previous bug fix from v7 that addresses blotter ticker filters.

Trade

• Added an NBBO cap parameter.
• Added a toggle in settings to sync application ticker to an open order's ticker.
• Users can now add locates per order or per locate pool.

Portal

• Added cross navigation chips to navigate to similar message types.
• Filters are now persistent across message types and are applied only when relevant information is detected.
• Now enables "focused" and "unfocused" formatting.
  For example: when unselected, a field will display a percentage value and when selected, the field will display a decimal value.

Coming Soon to SpiderRock

Note that any items discussed below are intended solely to advertise upcoming changes and features. Please note that these changes are not currently in production and are subject to further development and approval.

FLEX Option Support

SpiderRock will soon extend coverage to FLEX option pricing, supporting securities such as defined outcome/buffer ETFs and reversal/conversions. This new expansion of our pricing and analytics will be available through our MLink API.

Key Features:

• Trusted On Demand Pricing: SpiderRock’s complex option pricing models are used by thousands of institutional professionals daily to support live trading and risk.
• Simplified Data Access SpiderRock allows users to leverage their actively managed reference data library to compute Greeks, implied volatilities, and option pricing results.
• FLEX Options Capability Custom inputs support FLEX options, offering the ability to price customizable contracts.
• Single Strike or Basket Delivery Request single strike pricing or define and upload large baskets of options for bulk pricing.
• Customized User Input Users can override pricing and volatility inputs with their own proprietary assumptions.
• Real-Time Market Integration Access to SpiderRock’s high-capacity option data API allows unlimited real-time data refresh access throughout the trading day.