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.

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.

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 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)
	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)
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	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.
	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.

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
	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)
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 SRMarketSession = GTD expires after working for this number of seconds 0/missing = ignore
5088	SRGoodTillDttm		utcDttm	goodTillDttm	Order with SRMarketSession = 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<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

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.

Tag	Field Name	Type	Enums
5000	SRParentNumber	hexlong
5002	SRPrevParentNumber	hexlong
5004	SRBaseParentNumber	hexlong
5005	SRParent390Number	long
5006	SRAltOrderId	string
5007	SRAltPrevOrderId	string
5008	SRGroupingCode	hexlong
5009	SRSpdrSource	string
5010	SRAltAutoHedgeId	string
5011	SRPackageId	long
5012	SRAltAccnt	string
5014	SRAltUserName	string
5015	SRSecKey	string
5016	SRSecType	string	Valid values: 1 = Stock 2 = Future 3 = Option 4 = MLeg
5017	SRAssetType	string
5018	SRTickerSrc	string
5019	SRSecurityDesc	string
5020	SRAccnt	string
5022	SRClientFirm	string
5023	SRClientAccnt	string
5024	SRClearingFirm	string
5026	SRClearingAccnt	string
5027	SRStrategyAccnt	string
5028	SRAccountRouteCode	string
5030	SRExternExDest	string
5032	SRExternParams	string
5034	SRStrategy	string
5036	SRUsername	string
5037	SROrderCreateTimestamp	datetime
5038	SROrderDttm	datetime
5039	SRUSecDesc	string
5040	SROrderSide	string	Valid values: B = Buy S = Sell
5041	SROrderStatus	string	Valid values: 0 = New 1 = PartialFill 2 = Filled 3 = DoneForDay 4 = Canceled 5 = Replaced 6 = PendingCxl 7 = Stopped 8 = Rejected 9 = Suspended A = PendingNew B = Calculated C = Expired D = Accepted E = PendingRpl G = CmeTradeCorrect H = CmeTradeCxl Y = PendingCls Z = Closed T = PendingTrg
5042	SROrderSize	int
5044	SROrderActiveSize	int
5046	SRMaxExposureSize	int
5048	SRNumMakeExchanges	int
5050	SRPublicSize	string	Valid values: 0 = None 1 = Randomize 2 = MktSize 3 = FullSize 4 = MktSizeA 5 = MktSizeB 6 = MktSizeC 7 = FullSizeR 8 = Max25Pct 9 = Max50Pct 10 = Max75Pct 11 = NoSize
5052	SRCanCxlOverlap	string	Valid values: Y = Yes N = No
5054	SRProgressRule	string	Valid values: 0 = None 1 = Twap 2 = Vwap 3 = TwapReset 4 = VwapReset 5 = FastReset 6 = SlowReset 7 = TwapAlpha 8 = VwapAlpha 9 = TwapAlphaC 10 = VwapAlphaC 11 = AutoComplete 12 = AllowImmediate 13 = Manual 14 = SpdrPulse I = IOC 16 = FlashMakeTake
5055	SRProgressExposeTime	int
5056	SRProgressSliceCnt	int
5057	SRCloseReason	int
5058	SRVwapParticipation	float
5060	SRAuctionResponder	string	Valid values: ANY = Any
5062	SRMaxTakeExchFee	float
5064	SRMaxMakeExchFee	float
5066	SRIncTakeExchFee	string	Valid values: 1 = ExclFee 2 = IncFee
5068	SRIncMakeExchFee	string	Valid values: 1 = ExclFee 2 = IncFee
5070	SRMakeExchRule	string	Valid values: 1 = MaxPart 2 = FeeOptimal 3 = ImprvOnly 4 = FeeStrict
5072	SRCxlUPrcRange	string	Valid values: Y = Yes N = No
5074	SRMinUBid	float
5076	SRMaxUAsk	float
5078	SRMinOptionPx	float
5080	SRMaxChildOrders	int
5081	SRStageReview	string	Valid values: Y = Yes N = No
5083	SRStageType	string	Valid values: 1 = ModifyAny 2 = ModifyAlgo
5085	SRStartDttm	datetime
5086	SROrderDuration	int
5088	SRGoodTillDttm	datetime
5089	SRMarketSession	string	Valid values: 1 = RegMkt 2 = PreMkt 3 = PostMkt 4 = PreRegMkt 5 = RegPostMkt 6 = AllDay
5090	SRStartType	string	Valid values: 1 = WaitTrigger 2 = TriggerAll
5092	SRProgressTimeout	int
5094	SROrderHandling	string	Valid values: 1 = ActiveTaker 2 = PostOnly 3 = DMA 4 = MktOnOpn 5 = MktOnCls 8 = Legger 9 = Seeker 10 = SeekerLegger 11 = CrossResponse 12 = AuctionResponse 13 = AwayAlgo 14 = ExchPing 19 = SweepTake 20 = CobMaker 21 = TestParent 22 = BlockAuction 23 = BlockResponse 24 = Matrix 25 = FlashAuction
5096	SRBalanceHandling	string	Valid values: 1 = PostWith 2 = PostTurn 3 = PostImprove 4 = PostLimit 6 = MaxIntern 7 = PostWthF 8 = PostImprvR 9 = PostFlash 10 = PostFlashW 11 = PostPeg 12 = PostFlashI
5097	SRAlgoTemplate	string
5098	SROrderLimitType	string	Valid values: 0 = Market 1 = MarketArrival 2 = Prc 3 = PrcDe 4 = PrcDeX 5 = PrcDeT 6 = PrcDeP 7 = PrcDeXT 8 = PrcDeXP 9 = Vol 10 = VolX 11 = PrcV 12 = PrcVX 13 = VolPrc 14 = RelMid 15 = RelJoin 16 = RelCross 17 = SmrtFast 18 = SmrtNorm 19 = RelTurn
5100	SRTakeLimitClass	string	Valid values: 0 = Simple 1 = Surface 2 = Probability 3 = SurfProb
5102	SRMakeLimitClass	string	Valid values: 0 = Simple 1 = Surface 2 = Probability 3 = SurfProb
5103	SRIncludeSRNetwork	string	Valid values: 0 = None 1 = Include 2 = Exclude 3 = Disclose
5104	SRTakeReachRule	string	Valid values: 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
5106	SROrderPrcLimit	price
5107	SROrderRefUBid	price
5108	SROrderRefUPrc	price
5109	SROrderRefUAsk	price
5110	SROrderRefDelta	float
5112	SROrderRefGamma	float
5114	SROrderRefTheta	float
5116	SROrderVolLimit	float
5117	SROrderParentLmtPrc	price
5118	SRRateOverride	float
5120	SRSDivOverride	float
5122	SRDDivOverride	string
5124	SROverrideCode	string	Valid values: 0 = None S = SDivOnly D = DDivOnly B = Both
5126	SROrderPrcOffset	price
5128	SRTakeAlphaType	string	Valid values: 0 = None 1 = Static 2 = Hawk 3 = Eagle 4 = Falcon 5 = Relative
5130	SRMakeAlphaType	string	Valid values: 0 = None 1 = Static 2 = Hawk 3 = Eagle 4 = Falcon 5 = Relative
5132	SRTakeAlphaFactor	float
5134	SRMakeAlphaFactor	float
5136	SRTakeProbability	float
5138	SRMakeProbability	float
5140	SRTakeSurfPrcOffset	float
5142	SRTakeSurfVolOffset	float
5144	SRMakeSurfPrcOffset	float
5146	SRMakeSurfVolOffset	float
5148	SROrderRefEventMult	float
5150	SROrderRefEventDttm	datetime
5152	SRAutoHedge	string	Valid values: N = NoHedge 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 V2 = AlphaVwap2pct V5 = AlphaVwap5pct V25 = AlphaVwap25pct T = Static 21 = Custom 22 = AwayAlgo
5154	SRHedgeInstrument	string	Valid values: 0 = Default 1 = FrontMonth 2 = FutUnderlier 3 = Stock 4 = Future 5 = DirectStock 6 = DirectFuture 7 = GroupStock 8 = GroupFuture 9 = StkUnderlier
5156	SRHedgeFKey	string
5158	SRHedgeRatio	float
5160	SRHedgeSession	string	Valid values: 1 = RegMkt 2 = PreMkt 3 = PostMkt 4 = PreRegMkt 5 = RegPostMkt 6 = AllDay
5162	SRExternHedgeExDest	string
5164	SRExternHedgeParams	string
5166	SRFirmType	string	Valid values: C = Customer F = Firm MM = MarketMaker PC = ProCustomer BD = BrokerDealer AwayMM = AwayMM JBO = FirmJBO BDC = BrkrDlrCust
5167	SRFutCustType	string	Valid values: I = Individual PR = Proprietary OM = OtherMember NM = NonMember
5168	SROrderCapacity	string	Valid values: A = Agency P = Principal I = Individual PR = Proprietary AOM = AgentOtherMember
5169	SRFutClearingRange	string	Valid values: 0 = Customer 1 = Firm
5170	SRPositionType	string	Valid values: 1 = NA 2 = Short 3 = Long 4 = Exempt 5 = Open 6 = Close 7 = Auto
5172	SRShortSaleFlag	string	Valid values: 1 = Long 2 = Short 3 = Exempt 4 = Auto 5 = Open 6 = Close 8 = Cover 7 = NA
5173	SRArrivalSSaleFlag	string	Valid values: 1 = Long 2 = Short 3 = Exempt 4 = Auto 5 = Open 6 = Close 8 = Cover 7 = NA
5174	SRNoCrossGroup	string
5175	SRArrivalFirmPos	int
5176	SRExchTraderId	string
5177	SRExchBadgeId	string
5178	SRLargeTraderId	string
5180	SRTradingLocation	string
5182	SRRefRMetric1Src	string	Valid values: 1 = User 2 = Vega 3 = WVega 4 = WTVega 5 = TVega 6 = Theta 7 = DTheta 8 = Gamma 9 = DGamma 10 = DDeltaIvS
5184	SRRefRMetric2Src	string	Valid values: 1 = User 2 = Vega 3 = WVega 4 = WTVega 5 = TVega 6 = Theta 7 = DTheta 8 = Gamma 9 = DGamma 10 = DDeltaIvS
5186	SRRefRMetric3Src	string	Valid values: 1 = User 2 = Vega 3 = WVega 4 = WTVega 5 = TVega 6 = Theta 7 = DTheta 8 = Gamma 9 = DGamma 10 = DDeltaIvS
5188	SRRefRMetric4Src	string	Valid values: 1 = User 2 = Vega 3 = WVega 4 = WTVega 5 = TVega 6 = Theta 7 = DTheta 8 = Gamma 9 = DGamma 10 = DDeltaIvS
5190	SRRefRMetric5Src	string	Valid values: 1 = User 2 = Vega 3 = WVega 4 = WTVega 5 = TVega 6 = Theta 7 = DTheta 8 = Gamma 9 = DGamma 10 = DDeltaIvS
5192	SROrderRefRMetric1	float
5194	SROrderRefRMetric2	float
5196	SROrderRefRMetric3	float
5198	SROrderRefRMetric4	float
5200	SROrderRefRMetric5	float
5202	SRLeadSide	string	Valid values: B = Buy S = Sell
5204	SRMaxCompletionSlippage	price
5206	SROrderRefPremium	float
5208	SRCrossNoticeId	hexlong
5210	SRTheoVol	float
5212	SROrderRefRMetric6	float
5213	SRRefRMetric6Src	string	Valid values: 1 = User 2 = Vega 3 = WVega 4 = WTVega 5 = TVega 6 = Theta 7 = DTheta 8 = Gamma 9 = DGamma 10 = DDeltaIvS
5214	SRMaxExpDayRMetric6Ln	float
5215	SRMaxExpDayRMetric6Sh	float
5220	SRLocatePool	string
5221	SRLocateFirm	string
5222	SRLocateQuan	int
5223	SRLocateID	string
5224	SRFirmPosition	int
5228	SRMakeSurfWidthOffset	float
5229	SRTakeSurfWidthOffset	float
5230	SRStockLegGiveup	string
5232	SRRiskResetType	string	Valid values: 1 = RoutingCode 2 = Accnt 3 = ClientFirm 4 = Symbol
5233	SRRiskResetValue	string
5235	SRRefRMetric7Src	string	Valid values: 1 = User 2 = Vega 3 = WVega 4 = WTVega 5 = TVega 6 = Theta 7 = DTheta 8 = Gamma 9 = DGamma 10 = DDeltaIvS
5236	SROrderRefRMetric7	float
5237	SRMaxSymDayRMetric7Ln	float
5238	SRMaxSymDayRMetric7Sh	float
5239	SRSymDayRMetric7Offset	float
5240	SRRequestType	string	Valid values: 1 = RFQ 2 = BlockAuction
5241	SRRequestState	string	Valid values: 1 = Start 2 = Update
5242	SRQtyConditions	string	Valid values: 0 = None 1 = UpToQty 2 = QtyOrMore
5244	SRMinResponseQty	int
5246	SRIndicatedPrice	price
5247	SRPriceType	string	Valid values: 1 = Static 2 = DeltaAdjusted
5248	SRNbboCapMod	string	Valid values: 0 = None 1 = NoCap 2 = Nbbo 3 = Penny 4 = FivePennies 5 = TenPennies
5250	SRRiskGroupId	hexlong
5255	SRMaxExpDayWtVegaLn	float
5256	SRMaxExpDayWtVegaSh	float
5257	SRMaxSymDayWtVegaLn	float
5258	SRMaxSymDayWtVegaSh	float
5259	SRMaxSymDayDDeltaLn	float
5260	SRMaxSymDayDDeltaSh	float
5261	SRMaxGrpDayDDeltaLn	float
5262	SRMaxGrpDayDDeltaSh	float
5264	SRMaxGrpDayVegaLn	float
5265	SRMaxGrpDayVegaSh	float
5266	SRMaxGrpDayVegaAbs	float
5267	SRGrpDayVegaRatio	float
5272	SRMaxGrpDayRMetric1Ln	float
5273	SRMaxGrpDayRMetric1Sh	float
5274	SRMaxGrpDayRMetric1Abs	float
5275	SRGrpDayRMetric1Ratio	float
5276	SRMaxGrpDayRMetric2Ln	float
5277	SRMaxGrpDayRMetric2Sh	float
5278	SRMaxGrpDayRMetric3Ln	float
5279	SRMaxGrpDayRMetric3Sh	float
5280	SRMaxGrpDayRMetric4Ln	float
5281	SRMaxGrpDayRMetric4Sh	float
5282	SRMaxGrpDayRMetric5Ln	float
5283	SRMaxGrpDayRMetric5Sh	float
5284	SRMaxGrpDayContractsLn	int
5285	SRMaxGrpDayContractsSh	int
5286	SRMaxGrpDayContractsAbs	int
5287	SRMaxSymDayVegaLn	float
5288	SRMaxSymDayVegaSh	float
5290	SRUserData1	string
5291	SRUserData2	string
5292	SRDropData1	string
5293	SRDropData2	string
5295	SRChildData	string
5296	SRChildOrderPrice	float
5297	SRChildOrderSize	int
5298	SRChildOrderId	string
5300	SRLegId	long
5301	SRLegAltId	string
5302	SRLegIndex	long
5303	SRLegSide	string	Valid values: B = Buy S = Sell
5304	SRLegSecKey	string
5305	SRLegSecType	string
5306	SRLegPosEffect	string	Valid values: O = OPEN C = CLOSE A = AUTO
5307	SRLegShortSaleFlag	string	Valid values: 1 = Long 2 = Short 3 = Exempt 4 = Auto 5 = Open 6 = Close 8 = Cover 7 = NA
5310	SRLegPosEffectFace	string	Valid values: O = OPEN C = CLOSE A = AUTO
5311	SRLegShortSaleFlagFace	string	Valid values: 1 = Long 2 = Short 3 = Exempt 4 = Auto 5 = Open 6 = Close 8 = Cover 7 = NA
5314	SRLegProductGroup	string
5315	SRLegIdReview	string
5316	SRLegAltIdReview	string
5320	SRAccEmaCxlDDeltaLn	float
5321	SRAccEmaCxlDDeltaSh	float
5322	SRAccEmaCxlWtVegaLn	float
5323	SRAccEmaCxlWtVegaSh	float
5340	SROrderShape	string	0 = Single 1 = Cross 2 = MLeg 3 = MLegCross
5341	SRHasStockLeg	string
5342	SRExecShape	string
5343	SRWaitTriggerId	long
5344	SRWaitTriggerCount	int
5345	SRWaitTriggerStripe	string
5346	SRWaitTriggerTimestamp	long
5347	SRQueueTriggerTimestamp	long
5350	SRExecBrokerMPID	string
5351	SRExecBrokerCode	string
5352	SRExecBrokerAccnt	string
5353	SRExecBrokerClFirm	string
5355	SRTradingSession	string	Valid values: 0 = RegularMarket 1 = PreMarket 2 = PostMarket 3 = PostMarketETF 4 = All 5 = Auto 6 = NextDay
5357	SRSpdrOrderType	string	Valid values: 1 = Market 2 = Limit 3 = MktOnOpen 4 = LmtOnOpen 5 = MktOnClose 6 = LmtOnClose 7 = PegMid 8 = PegPri 9 = PegMkt 10 = PegMidOrLimit 11 = PegPriOrLimit 12 = PegMktOrLimit
5358	SRParentOrderSize	long
5360	SRExDestination	string
5363	SRMMPrefCode	string
5364	SRMMClrAccnt	string
5368	SRFaceParticipation	string
5370	SRCrossHandlingDetail	string
5371	SRBestPrice	price
5372	SRCrossHandling	string
5373	SRClearingFlipFirm	string
5374	SRClearingFlipAccount	string
5375	SRClearingFlipType	string
5376	SRClOrdId	string
5377	SRStreetClOrdId	string
5378	SRSideClOrdId	string
5379	SRStreetBrokerMPID	string
5380	SRPersistent	string	Valid values: Y = True N = False
5381	SRCrossAttribute	string
5382	SRHeld	string	Valid values: Y = True N = False
5384	SRDirected	string	Valid values: Y = True N = False
5386	SRLastCapacity	string	Valid values: 1 = AGENT 2 = CROSS_AS_AGENT 3 = CROSS_AS_PRINCIPAL 4 = PRINCIPAL
5387	SRQueuePriority	int
5388	SRExecBrokerOnBehalfOf	string
5392	SRTickSrcTimestamp	long
5393	SRTickNetTimestamp	long
5394	SRTickEngTimestamp	long
5395	SRTickSgwTimestamp	long
5396	SRSendTimestamp	long
5398	SROrderCreateReason	string	Valid values: 0 = None 1 = CheckAddExch 2 = DarkCross 3 = DmaExtern 4 = DmaSmart 5 = MakeJoin 6 = MakeNbboImpr 7 = MakePostLimit 8 = MakeSelfImpr 9 = MarketAuction 10 = MatrixImpr 11 = MatrixJoin 12 = MatrixLvlSweep 13 = MatrixMaxSweep 14 = MLegSeeker 15 = OptAuctionResp 16 = OptFaceHandler 17 = RelWaitTrigger 18 = SprdDma 19 = SprdFace 20 = SprdSeeker 21 = TakeBrkr 22 = TakeExch 23 = TakeNbbo 24 = RFQRequest 25 = MLegResponse 26 = BrkrCross 27 = PostFlash 28 = MakeOff 29 = MakeFlashImprv 30 = AwayExtern 31 = MatrixCross 32 = ExchPing 33 = BrkrReview 34 = AuctionResponse 35 = SweepTake 36 = TestChild
5399	SROrderCancelReason	int
5400	SRContractMultiplier	float
5401	SRDisplayPrice	string
5402	SRPriceFormat	string
5403	SRNativePrice	price
5405	SRDisplayFactor	price
5406	SRSecurityGroup	string
5407	SRProductGroup	string
5408	SRProductClass	string
5409	SRNativeLastPrice	price
5410	SRExtTraderId	string
5411	SRExecUsername	string
5412	SRExecFirmID	string
5413	SRPrimaryExch	string
5417	SRRoutingInstruction	string	Valid values: ALO = AddLiqOnly DNR = DoNotRoute ISO = IntermarketSweep MQ = MassQuote
5420	SRInternalMPID	string
5421	SRClientMPID	string
5430	SRAuctionId	string
5431	SRAuctionType	string
5435	SRHasAutoHedge	string	Valid values: Y = Yes N = No
5436	SRHedgeUnits	float
5437	SRHedgeSecKey	string
5450	SRContingentAction	string	Valid values: C = ContingentTrigger W = WaitTrigger
5451	SRContingentTick2Action	float
5452	SRContingentLatency	float
5453	SRContingentCxlDttm	datetime
5454	SRSymEmaCxlDDeltaLn	float
5455	SRSymEmaCxlDDeltaSh	float
5456	SRSymEmaCxlWtVegaLn	float
5457	SRSymEmaCxlWtVegaSh	float
5458	SRMaxExpDayDDeltaLn	float
5459	SRMaxExpDayDDeltaSh	float
5460	SRContingency	string	Valid values: L = CxlPrtLo H = CxlPrtHi 1 = TakeProbM1 2 = TakeProbM2 3 = TakeProbM3
5461	SRContingentSecKey	string
5462	SRContingentLevel	price
5465	SRRouteType	string	Valid values: 1 = LiveOrder 2 = Allocation 3 = StageReview 4 = RiskReset
5468	SROutgoingSeqCheckPt	int
5470	SRBaseActiveQuantity	long
5471	SRBaseCumFillQuantity	long
5473	SRBaseMaxOpenChildCnt	long
5474	SRLegBaseActiveQuantity	long
5475	SRLegBaseCumFillQuantity	long
5476	SRSideEffect	string	Valid values: BO = BuyOpening BC = BuyClosing SO = SellOpening SS = SellClosing
5477	SRSideEffectCum	long
5478	SRSideEffectAvgPx	float
5480	SRReviewResult	string	Valid values: 0 = None 1 = Release 2 = RejectParent 3 = CancelParent 4 = CancelReview 5 = CancelReplaceReview
5500	SRFixRouteDn	string
5501	SRFixRouteUp	string
5502	SRSessionClientFirm	string
5510	SRUdpPort	int
5520	SROrderClass	string	Valid values: P = Parent C = Child R = RiskDrop
5530	SREnableCrossNotices	string	Valid values: Y = Yes N = No
5532	SREnableDarkQuoteRequests	string	Valid values: Y = Yes N = No
5534	SREnableMassQuoteRequests	string	Valid values: Y = Yes N = No
5535	SRRouteControl	string	Valid values: 0 = None 1 = Unused 2 = Enabled 3 = Disabled 4 = SafeMode
5601	SRBaseClOrdID	long
5602	SRFillNumber	hexlong
5605	SRRejectCode	string
5606	SRChildRejectReason	string	Valid values: 1 = UnknownSym 2 = MarketClosed 3 = LimitExceeded 4 = TooLateToCxl 5 = UnknownOrder 6 = DupeOrder 7 = BrokerOption 8 = SystemErr 9 = SRRiskLmt 10 = OtherError 11 = SecurityClosed
5607	SRStreetExecID	string
5608	SRStreetExecRefID	string
5610	SRLiquidityTag	string
5611	SRExchLiqTag	string
5612	SRExchangeFillDetails	string
5618	SRBillingRate	float
5619	SRExchFeeEst	float
5625	SRChildPositionType	string	Valid values: 1 = NA 2 = Short 3 = Long 4 = Exempt 5 = Open 6 = Close 7 = Auto
5627	SRChildShortSaleFlag	string	Valid values: 1 = Long 2 = Short 3 = Exempt 4 = Auto 5 = Open 6 = Close 8 = Cover 7 = NA
5631	SRStreetRoute	string
5647	SRBillingSecType	string	Valid values: E = Equity F = Future EO = EqtOption FO = FutOption
5648	SRBillingCategory	string	Valid values: A = Alpha A50 = AlphaTop50 TM = TiedMaker TT = TiedTaker S = SOR D = DMA AR = AuctionResponse BA = BlockAuction BR = BlockResponse F = Facilitate AF = AlphaFacilitate AT = AwayTrade SO = SymOverride E = Extern NB = NonBillable IS = IsoSweep SS = SpdrSweep SK = Seeker LEG = Legger AD = Drop AA = AwayAlgo G = GTH AG = AlphaGTH
5661	SRContraDetail	string
5662	SRContraCapacity	string	Valid values: 0 = Customer 1 = Firm 2 = BrokerDealer 4 = MarketMaker 5 = AwayMarketMaker 8 = ProCustomer J = FirmJBO 3 = BrkrDlrCust
5663	SRReportDetail	string
5665	SRPeggedLimit	string	Valid values: Y = Yes N = No
5667	SRCrossBroken	string	Valid values: Y = Yes N = No
5670	SRNbboBidPx	float
5671	SRNbboAskPx	float
5672	SRNbboBidSz	int
5673	SRNbboAskSz	int
5680	SRExchBidPx	float
5681	SRExchAskPx	float
5682	SRExchBidSz	int
5683	SRExchAskSz	int
5690	SRUBidPx	float
5691	SRUAskPx	float
5692	SRUBidSz	int
5693	SRUAskSz	int
5694	SRUBidCxlPx	float
5695	SRUAskCxlPx	float
5999	SRChildOrderHandling	string