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Version: 8.6.3.4

V7 to V8 Migration

This page summarizes the new features and changes in SpiderRock Connect (V8) compared to our current production system (V7).

SRSE API Changes​

  • Clients integrating with SRSE should review the important schema differences between V7 and V8 (including table and field changes, deprecated or modified messages, and updated enum values) so that queries, APIs, and downstream systems remain compatible. For reference:

  • Additionally, all SRSE instances will now be exclusively run on MariaDB databases. Clients accessing a public SRSE will round-robin their access amongst a pool of SRSE instances, allowing real-time redundancy.

  • SpiderRock Connect now offers the MLink API, which provides access to live data objects via both REST queries and WebSocket streaming. For further details, see the MLink documentation.

New WebApp Tools​

SpiderRock is in the process of migrating our Citrix-based tools to WebApps.

  • The first of these is the Trade App, a live order and execution management tool that will allow clients to view market data and interact with the SpiderRock ATS, as well as interact with any public market.
  • The Control Viewer from V7 has been replaced by a new Web-based Portal.
  • All new WebApps will require two-factor authentication to login. Clients must contact the Client Support Desk to obtain a token for their initial login.

SpiderRock ATS​

  • SpiderRock ATS is a new options alternative trading system that matches indications of interest from liquidity seekers and responders in both Flash and Block Auctions. Participation is available to broker-dealers and qualified institutional clients of SpiderRock EXS. If you would like to participate, contact the Client Support Desk to confirm eligibility. For further information, see the SpiderRock ATS documentation.

Client Firm Structure​

  • We have introduced a two-level client firm hierarchy in V8. Each firm has a core client firm at the top level, which can have any number of sub-client firms beneath it. Core client firms can also be sponsored by a firm other than SpiderRock EXS. If you are migrating from V7, your existing client firm maps to a core client firm in V8. Please confirm your configuration with the Client Support Desk.

Execution Risk Control Changes​

  • We have updated our MAR limits (Market Access Rule / SEC 15c3-5) in V8 to better reflect our clients' activity. Symbol-specific limits can now be added at the MAR level.
  • Dollar delta in V8 is defined as a 100% change in the underlier, consistent with V7. Note that an earlier V8 definition used a 1% change in the underlier — that definition is no longer in effect.
  • For further information, see Execution Risk Controls.

User Access Control Upgrades​

  • The list of available User Types has been simplified. A number of more granular Access Control Settings have been added to control user access going forward. Please review your firm's current user list and coordinate with the Client Support Desk to configure the appropriate access control settings per user.

New Data Centers​

  • SpiderRock Connect (V8) will operate out of the NY5 and DC3 data centers, in contrast to V7, which operated out of the NY4 and CH2 data centers. While the two environments are physically separate, critical messages are bridged between them to ensure real-time risk updates. This allows clients to trade in both systems concurrently and manage their migration to V8 at their own pace.
  • Firms that currently maintain direct connectivity into our V7 environment should work with the Client Support Desk and the Networking team to ensure that their connectivity can be extended to V8.

Redesigned Network Access Layer​

  • We have implemented a network proxy layer between all externally-sourced connections and the MLink, SRSE, FIX, and WebApp infrastructures. This provides increased service redundancy and enhanced protection against unexpected or potentially harmful activity. This change is transparent to clients and requires no action on their part.

New Strategy Accounts​

  • Previously in V7, a client would send a SpdrParentOrder containing their account with an attached strategy menu to SpiderRock's execution engines to initiate a trade. The resulting SpdrParentExecution received by the client would contain their account and tagged strategy, but the strategy details could not be viewed in the risk records.

  • V8 introduces Strategy Accounts, a new feature which allows clients to include an additional account alongside their main SpiderRock account in a SpdrParentOrder to track their strategies and risk exposure. The Strategy Account will be displayed in both the SpdrParentExecution and risk records alongside the trading account, making it much easier for clients to monitor their strategies.

Note:

The strategy account cannot be used to execute trades independently. A client must still submit their trading account to initiate any trades. The Strategy Account is an optional feature designed primarily for risk tracking.

T-5 Snapshot Reasoning​

SpiderRock Connect has standardized on a T-5 snapshot (5 minutes prior to close) for all end-of-day data, including surface records and close marks. This decision was made because:

  • When we originally backfilled our historical surface data from the option NBBO data, we performed surface fits using both 5-minute-to-close data (used for pairset and optionIntradayHist) and 1-minute-to-close optionCloseMark data. We found that the surface fits computed from 5-minute-to-close data produced significantly better results than those computed from 1-minute-to-close data over 10 years of historical option data. As a result, the full historical data product (surface records and close marks) was transitioned to the T-5 snapshot.
  • We subsequently aligned our production platform snapshot to T-5, both to standardize our records across products and to improve the overall quality of our EOD option marks.