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 simultaneously. 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.

ATS Auction Initiate - Initiate a BlockAuction or FlashAuction in the SpiderRock Connect ATS.

ATS Auction Respond - Respond to a BlockAuction or FlashAuction in the SpiderRock Connect ATS.

Order Life Cycle

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.

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 tags, SpiderRock uses custom FIX tags (5,000+) for SpiderRock specific parameters. More information about the SpiderRock tags can be found in the SpiderRock Tag Appendix below.

Basic Version

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)
60	TransactTime	Y	utcDttm	orderDttm	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.
1	Account	Y	string	accnt	SR account acronym. Must be configured prior to testing or trading Superseded by SRAccnt
204	CustomerOrFirm	N	string	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 Superseded 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 Superseded by: SROrderCapacity
167	SecurityType	N	string	secType	Alternative to CFICode<461> CS = Equity default FUT = Future/Future Options OPT = Equity Option Superseded by :SRSecType Default = stock
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 superseded by: SROrderSide SsaleFlag superseded by: SRShortSaleFlag
38	OrderQty	Y	int	orderSize	Executable quantity Superseded by: SRORderSize
77	PositionEffect	N	char	positionType	O = Open C = Close R = Rolled F = FIFO Superseded by: SRPositionType
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. Superseded by: SROrderLimitType Default = Price
44	Price	N	float	orderPrcLimit	Required for limit order types Superseded 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 Superseded by: SRMarketSession
126	ExpireTime	N	UTCTimeStamp	goodTillDttm	Superseded by: SRGoodTillDttm
100	ExDestination	N	multiple-value string	exchMask	SR Destination Code (see appendix) Required for DMA style orders Superseded by: SRExDestination
440	ClearingAccount	N	string	clearingAccnt (in child order)	Superseded by SRClearingFlipAccount, then SRClearingAccnt
439	ClearingFirm	N	string	clearingFirm (in child order)	Superseded by: SRClearingFlipFirm
	Any SR Tags	N
	Standard Trailer	Y

Common Extensions

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
5020	SRAccnt	N	string	accnt	SR account acronym. Must be configured prior to testing or trading Supersedes Account
5022	SRClientFirm	N	string	clientFirm	SR client firm acronym, used in account lookup. Must be configured prior to testing or trading
5012	SRAltAccnt	N	string	altAccnt	SR alternative account acronym. Must be configured prior to testing or trading
5166	SRFirmType	N	string	firmType	Supersedes CustomerOrFirm
5168	SROrderCapacity	N	char	orderCapacity	A = Agency G = Prop I = Individual P = Principal R = Riskless W = AgentOtherMember Will default to SR account configuration if not specified Supersedes OrderCapacity
5016	SRSecType	N	string	secType	Supersedes SecurityType
5015	SRSecKey	N	string	secType	Supersedes typical resolution
5040	SROrderSide	N	char	orderSide	Supersedes Side
5172	SRShortSaleFlag	N	char	ssaleFlag	1 = Long 2 = Short 3 = Exempt 4 = Auto 5 = Open 6 = Close 8 = Cover 7 = NA
5042	SROrderSize	N	int	orderSize	Supersedes OrderQty
5170	SRPositionType	N	char	positionType	Supersedes PositionEffect
5700	LocateBroker	N	string	locateFirm	Superseded by: SRLocateFirm
5221	SRLocateFirm	N	string	locateFirm	Supersedes LocateBroker
5098	SROrderLimitType	N	char	orderLimitType	Supersedes OrdType
5106	SROrderPrcLimit	N	float	orderPrcLimit	Supersedes Price
5089	SRMarketSession	N	string	orderDuration parentOrderHandling	Supersedes TimeInForce
5088	SRGoodTillDttm	N	UTCTimeStamp	goodTillDttm	Supersedes ExpireTime
5094	SROrderHandling	N	string	parentOrderHandling	Supersedes typical resolution If failure to resolve, Default = DMA
5360	SRExDestination	N	multiple-value string	exchMask	Supersedes ExDestination
5374	SRClearingFlipAccount	N	string	clearingFlipAccnt (in child order)	Supersedes ClearingAccount
5026	SRClearingAccount	N	string	clearingAccnt (in child order)	Supersedes ClearingAccount
5373	SRClearingFlipFirm	N	string	clearingFlipFirm (in child order)	Supersedes ClearingFirm
5375	SRClearingFlipType	N	string	clearingFlipType (in child order)	Examples: BRKR CMTA GVUP NSCC DTCC QSR DVP

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)
5094	SROrderHandling	Y	string	parentOrderHandling	3 = DMA
	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
5083	SRStageType	Y	int	spdrStageType	1 = ModifyAny 2 = ModifyAlgo
5090	SRStartType	Y	int	startType	1 = 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
5094	SROrderHandling	Y	string	parentOrderHandling	4 = MktOnOpn 5 = MktOnCls
	Standard Trailer	Y

Other Possible Extensions

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
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
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/released)
5089	SRMarketSession	N	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	N	int	orderDuration	Order with SRMarketSession = GTD expires after working for this number of seconds.
5088	SRGoodTillDttm	N	utcDttm	goodTillDttm	Order with SRMarketSession = 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.
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
5068	SRCxlExpiryTime	N	string	cxlExpireTime	Format is HH:MM (24-hour clock)
5074	SRExecBenchmarkPrice	N	float	execBenchmarkPrice	Benchmark for execution comparison
5076	SRExecBenchmarkType	N	string	execBenchmarkType	VALID Types: VWAP, MID, PBID, PBID2, or PASK

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.

In addition to standard FIX tags, SpiderRock uses custom FIX tags (5,000+) for SpiderRock specific parameters. More information about the SpiderRock tags can be found in the SpiderRock Tag Appendix below.

Basic Version

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
	Standard Header	Y			MsgType = G
1	Account	Y	string	accnt	SR account acronym. Must be configured prior to testing or trading Superseded by SRAccnt
11	ClOrdId	Y	string	altOrderId	Client order ID (24 character max)
38	OrderQty	Y	int	orderSize	Executable quantity Superseded by: SRORderSize
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 superseded by: SROrderSide SsaleFlag superseded by: SRShortSaleFlag
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. Superseded by: SROrderLimitType Default=Price
44	Price	N	float	orderPrcLimit	Required for limit order types Superseded 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 Superseded by: SRMarketSession
126	ExpireTime	N	UTCTimeStamp	goodTillDttm	Superseded by: SRGoodTillDttm
52	SendingTime	N	UTCTimeStamp		Time of message transmission always expressed in UTC (Universal Time Coordinated, also known as “GMT”)
60	TransactTime	Y	utcDttm	orderDttm	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.
100	ExDestination	N	multiple-value string	exchMask	SR Destination Code (see appendix) Required for DMA style orders Superseded by: SRExDestination
	Any SR Tags	N
	Standard Trailer	Y

Common Extensions

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
5020	SRAccnt	N	string	accnt	SR account acronym. Must be configured prior to testing or trading Supersedes Account
5022	SRClientFirm	N	string	clientFirm	SR client firm acronym, used in account lookup. Must be configured prior to testing or trading
5012	SRAltAccnt	N	string	altAccnt	SR alternative account acronym. Must be configured prior to testing or trading
5042	SROrderSize	N	int	orderSize	Supersedes OrderQty
5040	SROrderSide	N	char	orderSide	Supersedes Side
5098	SROrderLimitType	N	char	orderLimitType	Supersedes OrdType
5106	SROrderPrcLimit	N	float	orderPrcLimit	Supersedes Price
5089	SRMarketSession	N	string	orderDuration parentOrderHandling	Supersedes TimeinForce
5088	SRGoodTillDttm	N	UTCTimeStamp	goodTillDttm	Supersedes ExpireTime
5094	SROrderHandling	N	string	parentOrderHandling	Supersedes typical resolution If failure to resolve, Default=DMA
5360	SRExDestination	N	multiple-value string	exchMask	Supersedes ExDestination

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 tags, SpiderRock uses custom FIX tags (5,000+) for SpiderRock specific parameters. More information about the SpiderRock tags can be found in the SpiderRock Tag Appendix below.

Basic Version

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)
60	TransactTime	Y	utcDttm	orderDttm	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.
1	Account	Y	string	accnt	SR account acronym. Must be configured prior to testing or trading Superseded by SRAccnt
204	CustomerOrFirm	N	string	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 Superseded 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 Superseded by: SROrderCapacity
167	SecurityType	N	string	secType	Alternative to CFICode<461> CS = Equity default FUT = Future/Future Options OPT = Equity Option Superseded by :SRSecType Default=stock
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 superseded by: SROrderSide SsaleFlag superseded by: SRShortSaleFlag
38	OrderQty	Y	int	orderSize	Executable quantity Superseded by: SRORderSize
77	PositionEffect	N	char	positionType	O = Open C = Close R = Rolled F = FIFO Superseded by: SRPositionType
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. Superseded by: SROrderLimitType Default=Price
44	Price	N	float	orderPrcLimit	Required for limit order types Superseded 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 Superseded by: SRMarketSession
126	ExpireTime	N	UTCTimeStamp	goodTillDttm	Superseded by: SRGoodTillDttm
440	ClearingAccount	N	string	clearingAccnt (in child order)	Superseded by SRClearingFlipAccount, then SRClearingAccnt
439	ClearingFirm	N	string	clearingFirm (in child order)	Superseded by: SRClearingFlipFirm
100	ExDestination	N	multiple-value string	exchMask	SR Destination Code (see appendix) Required for DMA style orders Superseded by: SRExDestination
555	NoLegs	Y	int		Number of leg repeating groups
	Leg Repeating Group
654	LegRefId	N	hexlong	OrderLegsItem.stockLegId or OrderLegsItem.LegIdN (where N is NoLegs #)	Unique indicator for specific leg
608	LegCFICode	N	string	Used to construct child order seckey	Superseded by: SRLegSecType
609	LegSecurityType	N	string		Superseded by: SRLegSecType
600	LegSymbol	Y	string	Used to construct child order seckey
611	LegMaturityDate	N	LocalMktDate	Used to construct child order seckey
610	LegMaturityMonthYear	Y*	month-year	Used to construct child order seckey	*Required if LegMaturityDate is absent.
205	MaturityDay	Y*	day-of-month	Used to construct child order seckey	*Required if LegMaturityDate is absent.
612	LegStrikePrice	Y	float	Used to construct child order seckey
1358	LegPutOrCall	Y*	int	Used to construct child order seckey	0 = Put, 1 = Call *Required if LegCFICode is absent
601	LegSymbolSfx	N	string	Used to construct child order seckey	WI = “When Issued” for a security to be reissued under an old CUSIP or ISIN CD = a EUCP with lump-sum interest rather than discount price
623	LegRatioQty	N	float	OrderLegsItem.multN (where N is NoLegs #)
624	LegSide	Y	char	OrderLegsItem.sideN (where N is NoLegs #)	1 = Buy 2 = Sell 5 = Sell Short Y = Sell Short Auto 6 = Sell Short Exempt
564	LegPositionEffect	N	char	OrderLegsItem.posTypeN (where N is NoLegs #)	O = Open C = Close R = Rolled F = FIFO
	End of Leg Repeating Group
	Any SR Tags	N
	Standard Trailer	Y

Common Extensions

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
5020	SRAccnt	N	string	accnt	SR account acronym. Must be configured prior to testing or trading Supersedes Account
5022	SRClientFirm	N	string	clientFirm	SR client firm acronym, used in account lookup. Must be configured prior to testing or trading
5012	SRAltAccnt	N	string	altAccnt	SR alternative account acronym. Must be configured prior to testing or trading
5166	SRFirmType	N	string	firmType	Supersedes CustomerOrFirm
5168	SROrderCapacity	N	char	orderCapacity	A = Agency G = Prop I = Individual P = Principal R = Riskless W = AgentOtherMember Will default to SR account configuration if not specified Supersedes OrderCapacity
5016	SRSecType	N	string	secType	Supersedes SecurityType
5015	SRSecKey	N	string	secType	Supersedes typical resolution
5040	SROrderSide	N	char	orderSide	Supersedes Side
5172	SRShortSaleFlag	N	char	ssaleFlag	1 = Long 2 = Short 3 = Exempt 4 = Auto 5 = Open 6 = Close 8 = Cover 7 = NA
5042	SROrderSize	N	int	orderSize	Supersedes OrderQty
5170	SRPositionType	N	char	positionType	Supersedes PositionEffect
5700	LocateBroker	N	string	locateFirm	Superseded by: SRLocateFirm
5221	SRLocateFirm	N	string	locateFirm	Supersedes LocateBroker
5098	SROrderLimitType	N	char	orderLimitType	Supersedes OrdType
5106	SROrderPrcLimit	N	float	orderPrcLimit	Supersedes Price
5089	SRMarketSession	N	string	orderDuration parentOrderHandling	Supersedes TimeinForce
5088	SRGoodTillDttm	N	UTCTimeStamp	goodTillDttm	Supersedes ExpireTime
5094	SROrderHandling	N	string	parentOrderHandling	Supersedes typical resolution If failure to resolve, Default=DMA
5374	SRClearingFlipAccount	N	string	clearingFlipAccnt (in child order)	Supersedes ClearingAccount
5026	SRClearingAccount	N	string	clearingAccnt (in child order)	Supersedes ClearingAccount
5373	SRClearingFlipFirm	N	string	clearingFlipFirm (in child order)	Supersedes ClearingFirm
5375	SRClearingFlipType	N	string	clearingFlipType (in child order)	Examples: BRKR CMTA GVUP NSCC DTCC QSR DVP
5360	SRExDestination	N	multiple-value string	exchMask	Supersedes ExDestination
	Leg Repeating Group Tags
5305	SRLegSecType	N	string		Supersedes LegCFICode, LegSecurityType
5304	SRLegSecKey	N	string	Used to construct child order seckey	Supersedes typical resolution
5303	SRLegSide	N	string	OrderLegsItem.sideN (where N is NoLegs #)	Supersedes LegSide B = Buy S = Sell
5307	SRLegShortSaleFlag	N	char	OrderLegsItem.ssaleFlag	1 = Long 2 = Short 3 = Exempt 4 = Auto 5 = Open 6 = Close 8 = Cover 7 = NA
5306	SRLegPosEffect	N	string	OrderLegsItem.posTypeN (where N is NoLegs #)	O = Open C = Close A = Auto
	End of Leg Repeating Group Tags

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
5094	SROrderHandling	Y	string	parentOrderHandling	3 = DMA
	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
5083	SRStageType	Y	int	spdrStageType	1 = ModifyAny 2 = ModifyAlgo
5090	SRStartType	Y	int	startType	2 = WaitTrigger (wait start)
	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
5094	SROrderHandling	Y	string	parentOrderHandling	8 = Legger 10 = SeekerLegger
	Standard Trailer	Y

Other Possible Extensions

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
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)
5034	SRStrategy	N	string	strategy	Client strategy label. Displayed on SR Order Manager.
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
5080	SRMaxChildOrders	N	int	maxChildOrders	Upper bound for the number of child orders generated for this parent order.
5054	SRProgressRule	N	int	progressRule	0 = Immediate (default) 1 = Twap 3 = TwapReset 5 = FastReset 6 = SlowReset 7 = TwapAlpha 11 = SpdrPulse
5056	progressSliceCnt	N	int	progressSliceCnt	Number of slices to use (default = 4 or 8) [max 20].
5104	SRTakeReachRule	N	int	takeReachRule	0 = Immediate 1 = Delayed 2 = Passive
5100	SRTakeLimitClass	N	char	takeLimitClass	0 = Simple 1 = Surface 2 = Probability 3 = SurfProb
5102	SRMakeLimitClass	N	char	makeLimitClass	0 = Simple 1 = Surface 2 = Probability 3 = SurfProb
5108	SROrderRefUPrc	N	price	orderRefUPrc	default=underlier.mid
5110	SROrderRefDelta	N	float	orderRefDelta	Default=option.delta
5112	SROrderRefGamma	N	float	orderRefGamma	Default=option.gamma
5116	SROrderVolLimit	N	float	orderVolLimit	Order volatility limit - Valid range: [0.005, 9.000]. Required if SROrderLimitType is Vol, VolX, or VolPrc. Ignored if SROrderLimitType is Market.
5126	SROrderPrcOffset	N	float	orderPrcOffset	Default = 0
5128	SRTakeAlphaType	N	char	takeAlphaType	1 = Static 2 = Hawk 3 = Eagle 4 = Falcon 5 = Relative
5130	SRMakeAlphaType	N	char	makeAlphaType	1 = Static 2 = Hawk 3 = Eagle 4 = Falcon 5 = Relative
5132	SRTakeAlphaFactor	N	float	takeAlphaFactor
5134	SRMakeAlphaFactor	N	float	makeAlphaFactor
5136	SRTakeProbability	N	float	takeProbability
5138	SRMakeProbability	N	float	makeProbability
5202	SRLeadSide	N	char	leadSide	SROrderHandling = Legger Only 1 = Buy 2 = Sell
5204	SRMaxCompletionSlippage	N	float	maxCompletionSlippage	SROrderHandling = Legger Only
5206	SROrderRefPremium	N	float	orderRefPremium	Reference premium (multileg orders only)
5290	SRUserData1	N	string	userData1	User defined field (max 255 chars). Can be returned on exec reports; forwarded to child orders or drop lines.
5291	SRUserData2	N	string	userData2	User defined field (max 255 chars). Can be returned on exec reports; forwarded to child orders or drop lines.

MultilegCancelReplace (Client to SpiderRock)

The MultilegCancelReplace<AC> 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<AC> can immediately be accepted (ExecutionReport<8> with ExecType<150>=Replaced) or rejected (OrderCancelReject<9> message).

An MultilegCancelReplace<AC> 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.

In addition to standard FIX tags, SpiderRock uses custom FIX tags (5,000+) for SpiderRock specific parameters. More information about the SpiderRock tags can be found in the SpiderRock Tag Appendix below.

Basic Version

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	Client order ID of the original order that is requested to be canceled (24 character max)
1	Account	Y	string	accnt	SR account acronym. Must be configured prior to testing or trading Superseded by SRAccnt
38	OrderQty	Y	int	orderSize	Executable quantity Superseded by: SRORderSize
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 superseded by: SROrderSide SsaleFlag superseded by: SRShortSaleFlag
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. Superseded by: SROrderLimitType Default=Price
44	Price	N	float	orderPrcLimit	Required for limit order types Superseded 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 Superseded by: SRMarketSession
126	ExpireTime	N	UTCTimeStamp	goodTillDttm	Superseded by: SRGoodTillDttm
52	SendingTime	N	UTCTimeStamp		Time of message transmission always expressed in UTC (Universal Time Coordinated, also known as “GMT”)
60	TransactTime	Y	utcDttm	orderDttm	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.
440	ClearingAccount	N	string	clearingAccnt (in child order)	Superseded by SRClearingFlipAccount, then SRClearingAccnt
439	ClearingFirm	N	string	clearingFirm (in child order)	Superseded by: SRClearingFlipFirm
100	ExDestination	N	multiple-value string	exchMask	SR Destination Code (see appendix) Required for DMA style orders Superseded by: SRExDestination
	Leg Repeating Group
654	LegRefId	N	hexlong	OrderLegsItem.stockLegId or OrderLegsItem.LegIdN (where N is NoLegs #)	Unique indicator for specific leg
608	LegCFICode	N	string	Used to construct child order seckey	Superseded by: SRLegSecType
609	LegSecurityType	N	string		Superseded by: SRLegSecType
600	LegSymbol	Y	string	Used to construct child order seckey
611	LegMaturityDate	N	LocalMktDate	Used to construct child order seckey
610	LegMaturityMonthYear	Y*	month-year	Used to construct child order seckey	*Required if LegMaturityDate is absent.
205	MaturityDay	Y*	day-of-month	Used to construct child order seckey	*Required if LegMaturityDate is absent.
612	LegStrikePrice	Y	float	Used to construct child order seckey
1358	LegPutOrCall	Y*	int	Used to construct child order seckey	0 = Put, 1 = Call *Required if LegCFICode is absent
601	LegSymbolSfx	N	string	Used to construct child order seckey	WI = “When Issued” for a security to be reissued under an old CUSIP or ISIN CD = a EUCP with lump-sum interest rather than discount price
623	LegRatioQty	N	float	OrderLegsItem.multN (where N is NoLegs #)
624	LegSide	Y	char	OrderLegsItem.sideN (where N is NoLegs #)	1 = Buy 2 = Sell 5 = Sell Short Y = Sell Short Auto 6 = Sell Short Exempt
564	LegPositionEffect	N	char	OrderLegsItem.posTypeN (where N is NoLegs #)	O = Open C = Close R = Rolled F = FIFO
	End of Leg Repeating Group
	Any SR Tags	N
	Standard Trailer	Y

Common Extensions

Tag	Field Name	Req'd	Type	Associated Record Value (SpdrParentOrder)	Comments
5020	SRAccnt	N	string	accnt	SR account acronym. Must be configured prior to testing or trading Supersedes Account
5022	SRClientFirm	N	string	clientFirm	SR client firm acronym, used in account lookup. Must be configured prior to testing or trading
5012	SRAltAccnt	N	string	altAccnt	SR alternative account acronym. Must be configured prior to testing or trading
5042	SROrderSize	N	int	orderSize	Supersedes OrderQty
5040	SROrderSide	N	char	orderSide	Supersedes Side
5098	SROrderLimitType	N	char	orderLimitType	Supersedes OrdType
5106	SROrderPrcLimit	N	float	orderPrcLimit	Supersedes Price
5089	SRMarketSession	N	string	orderDuration parentOrderHandling	Supersedes TimeinForce
5088	SRGoodTillDttm	N	UTCTimeStamp	goodTillDttm	Supersedes ExpireTime
5094	SROrderHandling	N	string	parentOrderHandling	Supersedes typical resolution If failure to resolve, Default=DMA
5374	SRClearingFlipAccount	N	string	clearingFlipAccnt (in child order)	Supersedes ClearingAccount
5026	SRClearingAccount	N	string	clearingAccnt (in child order)	Supersedes ClearingAccount
5373	SRClearingFlipFirm	N	string	clearingFlipFirm (in child order)	Supersedes ClearingFirm
5375	SRClearingFlipType	N	string	clearingFlipType (in child order)	Examples: BRKR CMTA GVUP NSCC DTCC QSR DVP
5360	SRExDestination	N	multiple-value string	exchMask	Supersedes ExDestination
	Leg Repeating Group Tags
5305	SRLegSecType	N	string		Supersedes LegCFICode, LegSecurityType
5304	SRLegSecKey	N	string	Used to construct child order seckey	Supersedes typical resolution
5303	SRLegSide	N	string	OrderLegsItem.sideN (where N is NoLegs #)	Supersedes LegSide B = Buy S = Sell
5307	SRLegShortSaleFlag	N	char	OrderLegsItem.ssaleFlag	1 = Long 2 = Short 3 = Exempt 4 = Auto 5 = Open 6 = Close 8 = Cover 7 = NA
5306	SRLegPosEffect	N	string	OrderLegsItem.posTypeN (where N is NoLegs #)	O = Open C = Close A = Auto
	End of Leg Repeating Group Tags

ExecutionReport (SpiderRock to Client)

SpiderRock natively follows FIX 4.4 rules for ExecutionReport handling but can switch to FIX 4.2 on request. In addition to standard FIX tags, SpiderRock uses custom FIX tags (5,000+) for SpiderRock specific parameters. More information about the SpiderRock tags can be found in the SpiderRock Tag Appendix below.

Tag	Field Name	Req'd	Type	Associated Record Value SpdrParentReport (r) SpdrParentExecution (x)	Comments
	Standard Header	Y			MsgType = 8
115	OnBehalfOfCompID	N	string	execBrkrClFirm (x)	client/firm at executing broker
116	OnBehalfOfSubID	N	string	execBrkrUserName (x)	userName at executing broker
11	ClOrdID	Y	string	parentNumber (x)	See Also: SRBaseParentNumber
1	Account	Y	string	accnt (r) execBrkrAccnt (x)
20	ExecTransType	Y	int	execStatus (x)	0 = New 1 = Cancel 2 = Correct 3 = Status
150	ExecType	Y	char	execStatus (x)	0 = New 1 = Partial fill (Replaced) 2 = Fill (Replaced) 3 = Done for day 4 = Canceled 5 = Replace 6 = Pending Cancel (e.g. result of Order Cancel Request) 7 = Stopped 8 = Rejected 9 = Suspended A = Pending New B = Calculated C = Expired D = Restated (ExecutionRpt sent unsolicited by sellside, with ExecRestatementReason (378) set) E = Pending Replace (e.g. result of Order Cancel/Replace Request) F = Trade (partial fill or fill) G = Trade Correct (formerly an ExecTransType (20)) H = Trade Cancel (formerly an ExecTransType) I = Order Status (formerly an ExecTransType)
39	OrdStatus	Y	char	spdrOrderStatus (r) fillQuantity (r) execType (r)	0 = New 1 = Partially filled 2 = Filled 3 = Done for day 4 = Canceled 5 = Replaced (Removed/Replaced) 6 = Pending Cancel (e.g. result of Order Cancel Request) 7 = Stopped 8 = Rejected 9 = Suspended A = Pending New B = Calculated C = Expired D = Accepted for bidding E = Pending Replace (e.g. result of Order Cancel/Replace Request)
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. 1 = Buy 2 = Sell 3 = Buy minus 4 = Sell plus 5 = Sell short 6 = Sell short exempt 7 = Undisclosed (valid for IOI and List Order messages only) 8 = Cross (orders where counterparty is an exchange, valid for all messages except IOIs) 9 = Cross short A = Cross short exempt B = “As Defined” (for use with multileg instruments) C = “Opposite” (for use with multileg instruments) D = Subscribe (e.g. CIV) E = Redeem (e.g. CIV) F = Lend (FINANCING - identifies direction of collateral) G = Borrow (FINANCING - identifies direction of collateral)
38	OrderQty	Y	int	orderSize (x)	parent order size
40	OrdType	Y	char	parentOrderHandling (r) limitPrice (r) orderLimitType (r)	1 = Market 2 = Limit 3 = Stop 4 = Stop limit 5 = Market on close (No longer used) 6 = With or without 7 = Limit or better (Deprecated) 8 = Limit with or without 9 = On basis A = On close (No longer used) B = Limit on close (No longer used) C = Forex - Market (No longer used) D = Previously quoted E = Previously indicated F = Forex - Limit (No longer used) G = Forex - Swap H = Forex - Previously Quoted (No longer used) I = Funari (Limit Day Order with unexecuted portion handled as Market On Close. E.g. Japan) J = Market If Touched (MIT) K = Market with Leftover as Limit (market order then unexecuted quantity becomes limit order at last price) L = Previous Fund Valuation Point (Historic pricing) (for CIV) M = Next Fund Valuation Point –(Forward pricing) (for CIV) P = Pegged
528	OrderCapacity	N	char	orderCapacity (r)	1 = Program Trade 2 = Index Arbitrage 3 = Non-Index Arbitrage 4 = Competing Market Maker 5 = Acting as Market Maker or Specialist in the security 6 = Acting as Market Maker or Specialist in the underlying security of a derivative security 7 = Foreign Entity (of foreign government or regulatory jurisdiction) 8 = External Market Participant 9 = External Inter-connected Market Linkage A = Riskless Arbitrage
44	Price	N	float	limitPrice (r)	Value from client's order
59	TimeInForce	N	string	orderDuration (r) parentOrderHandling (r)	0 = Day (or session) 1 = Good Till Cancel (GTC) 2 = At the Opening (OPG) 3 = Immediate or Cancel (IOC) 4 = Fill or Kill (FOK) 5 = Good Till Crossing (GTX) 6 = Good Till Date 7 = At the Close
	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 0 = Put 1 = Call
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 = Open C = Close R = Rolled F = FIFO
439	ClearingFirm	N	string	clearingFirm (x)	Clearing firm
440	ClearingAccount	N	string	clearingAccnt (x)	Clearing firm account
19	ExecRefID	N	string		Reference identifier used with Trade Cancel and Trade Correct execution types.
17	ExecID	Y	string		Unique ID assigned by SpiderRock
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	LastQty	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 1 = Agent 2 = Cross as agent 3 = Cross as principal 4 = Principal
58	Text	N	string	spdrCloseReason (r), orderClosedText (r)
60	TransactTime	Y	utcDttm	fillTransactDttm (x) timestamp (r)	Time of execution/order creation (expressed in UTC)
75	TradeDate	N	utcDttm	secKey (x) fill.fillDttm (x)	Indicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade)
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.).
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)
5625	SRChildPositionType	N	string	childPosType (x)	Child order position type
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
1	Account	Y	string	accnt	SR account acronym. Must be configured prior to testing or trading Superseded by SRAccnt
11	ClOrdId	Y	string	altOrderId	Client order ID of the cancel request (24 character max)
41	OrigClOrdID	Y	string	altPrevOrderId	Client order ID of the original order that is requested to be canceled (24 character max)
52	SendingTime	N	UTCTimeStamp		Time of message transmission always expressed in UTC (Universal Time Coordinated, also known as “GMT”)
60	TransactTime	Y	utcDttm	orderDttm	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.
	Any SR Tags	N
	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 = 9
5520	SROrderClass	N	string		Valid values: P = Parent C = Child R = RiskDrop
5340	SROrderShape	N	string	parentShape	0 = Single 1 = Cross 2 = MLeg 3 = MLegCross
5009	SRSpdrSource	N	string	spdrSource	Parent order source
5341	SRHasStockLeg	N	string		Y = Yes N = No
11	ClOrdId	Y	hexlong	pkey.parentNumber + ":CXL"	Client order ID of the cancel request (24 character max)
41	OrigClOrdID	Y	hexlong	pkey.parentNumber	Client order ID of the original order that is requested to be canceled (24 character max)
434	CxlRejResponseTo	Y	char		Valid values: 1 = OrderCancelRequest <F> 2 = OrderCancel/Replace Request <G>
102	CxlRejReason	N	int		0 = TooLateToCancel 1 = UnknownOrder 2 = BrokerOption 3 = OrderAlreadyInPendingStatus 4 = UnableToProcessOrderMassCancelRequest 5 = DidNotMatchLastTransactTime 6 = DuplicateClOrdIdReceived 99 = Other
5000	SRParentNumber	N	hexlong	pkey.parentNumber
5004	SRBaseParentNumber	N	hexlong	pkey.baseParentNumber
5250	SRRiskGroupId	N	hexlong	riskGroupId
37	OrderID	Y	hexlong	baseParentNumber	Unique ID for order chain assigned by SpiderRock
5020	SRAccnt	N	string	accnt	SR account acronym.
39	OrdStatus	Y	char	spdrOrderStatus (r) fillQuantity (r) execType (r)	0 = New 1 = Partially filled 2 = Filled 3 = Done for day 4 = Canceled 5 = Replaced (Removed/Replaced) 6 = Pending Cancel (e.g. result of Order Cancel Request) 7 = Stopped 8 = Rejected 9 = Suspended A = Pending New B = Calculated C = Expired D = Accepted for bidding E = Pending Replace (e.g. result of Order Cancel/Replace Request)
60	TransactTime	Y	utcDttm	orderDttm	Time this order request was initiated/released. Formatted as: YYYYMMDD-HH:MM:SS.fff
58	Text	N	string	orderClosedText

ATS Auction Initiate (Client to SpiderRock)

Initiate a BlockAuction or a FlashAuction by sending NewOrderSingle (35=D) or NewOrderMultileg (35=AB) messages as specified above. The following tags should also be set with the following auction parameters.

Tag	Field Name	Req'd	Type	Comments
Standard Header
5094	SROrderHandling	Y	int	22 = BlockAuction 25 = FlashAuction
5103	SRIncludeSRNetwork	N	int	0 = None 1 = Visible to all counter parties in SR Network, anonymously 2 = Only visible to directed counter parities 3 = Visible to all counter parties in SR Network, and disclose initiating firm
5105	SRBlockVisibility	N	int	0 = None 1 = Neither 2 = Side only 3 = Side and Price

SpiderRock Tags Appendix

In addition to standard FIX fields, SpiderRock uses custom FIX tags with tag numbers in the range 5,000-5,999 for SpiderRock specific parameters. Please refer to the SpiderRock Tags Appendix page for more information.