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Version: 8.6.3.4

Internal

#Message NameDescription
1805AccountConfig
5120AccountConfigGateway
5130AutoHedgeControlGatewaySpdrAutoHedgeControl contains autohedge / risk group control details. Can be uploaded from SRSE, created from ExecutionEngines, or created by SR tools.
5135AwayStockLocateGatewayRecords inserted into this table represent locates that clients have received away from SpiderRock. After validation, any away locate inserted into this table is turned into a ClientStockLocate record
1845ClientFirmAwayBrkr
2540CurrencyConversion
5140ExternAggGroupGatewayThis table allows clients to enter start-of-day positions, and quantity bot/sld today for each market. AggGroup is a code issued by SpiderRock to indentify the aggregation group that the reported positions and trades belong to. This will usually be your SpiderRock assigned ClientFirm code unless your firm has more than one aggregation unit. Note that start-of-day positions can be truncated if the truncation will not affect order marking. Contact SpiderRock support for details if this is what you intend.
5145FutAwayTktGatewayFutAwayTktGateway inserts are validated and convered to away SpdrParentExecution records and published. If successfully published they will be visible in the SpdrParentExecution table and on SpiderRock GUI tools.

Replaces are allowed but they are functionally identical to updates in that only the fillPrice and fillQuantity fields are actually changed.
5150FutOrderGatewayRecords inserted, updated, or replaced into the FutureOrderGateway table are validated and then converted to SpdrParentOrder records and forwarded to the appropriate execution engine for futher processing. Parent orders can be inserted as either active/ready or in a wait start mode that requires subsequent release.

See the SpiderRock Execution Engine concept guide for more details.
4350IndustryDefinitionThis table contains the definitions of ind (00), sub (0000), grp (000000), and nbr (00000000) numeric codes are used in the SpiderRock platform.
1021LiveImpliedQuoteNGCalcSource=Tick records are computed and published each time an option NBBO price changes. CalcSource=Loop records are computed in a 2-3 minute background loop.

Note that the underlier price (uPrc) will be the same for all options an underlier when CalcSource=Loop. This is not true for CalcSource=Tick where uPrc will be the underlier price that prevailed when the option price changed.

If you are consuming multicast data and only want records with consistent uPrc values for all options you should ignore Tick records. Alternatively, you can use an independent underlier price source (our StockBookQuote feed or some other) and 'adjust' the values in this table to the new underlier value.

If you are selecting records from SRSE you should note that OptionImpliedQuoteAdj table is a proxy implementation of this table that automatically applies the appropriate underlier adjustments as records are being returned.
5155MLegOrderGatewayRecords inserted, updated, or replaced into the MLegOrderGateway table are validated and then converted to SpdrParentOrder records and forwarded to the appropriate execution engine for futher processing. Parent orders can be inserted as either active/ready or in a wait start mode that requires subsequent release.

See the SpiderRock Execution Engine concept guide for more details.
3355MLinkCacheRequest
5710MarketFeedStatus
5900NetPulse
5160OptAwayTktGatewayOptAwayTktGateway inserts are validated and convered to away SpdrParentExecution records and published. If successfully published they will be visible in the SpdrParentExecution table and on SpiderRock GUI tools.

Replaces are allowed but they are functionally identical to updates in that only the fillPrice and fillQuantity fields are actually changed.
5165OptOrderGatewayRecords inserted, updated, or replaced into the OptionOrderGateway table are validated and then converted to SpdrParentOrder records and forwarded to the appropriate execution engine for futher processing. Parent orders can be inserted as either active/ready or in a wait start mode that requires subsequent release.

See the SpiderRock Execution Engine concept guide for more details.
6820OptionAtmMinuteBarData
5030OptionCalculatorThis table allows custom option pricing based on either user or SR supplied input values.
2765OptionExchOrder
2770OptionExchPrint
5035OptionImpliedPairThis table contains current live NBBO prices and implied volatilites as well as greeks and SpiderRock surface volatilities/prices for all call/put pairs in the market.
5045OptionImpliedVolThis table contains option implied volatilities computed using fast/accurate calcuation methods while the SELECT is processing. Note that if you need even faster queries that cover a large number of strikes you may be better off using the OptionImpliedQuoteAdj table as it is pre-computed.
5046OptionImpliedVolV4This table contains option implied volatilities computed using fast/accurate calcuation methods while the SELECT is processing. Note that if you need even faster queries that cover a large number of strikes you may be better off using the OptionImpliedQuoteAdj table as it is pre-computed.
2810OptionPrintMarkupOptionPrintMarkup records contain every option print along with quote, surface details at print time
5180ParentOrderGatewayRecords inserted, updated, or replaced into the ParentOrderGateway table are validated and then converted to SpdrParentOrder records and forwarded to the appropriate execution engine for futher processing. Parent orders can be inserted as either active/ready or in a wait start mode that requires subsequent release.

See the SpiderRock Execution Engine concept guide for more details.
5185ParentOrderGatewayExtRecords inserted, updated, or replaced into the ParentOrderGatewayExt table are validated and then converted to SpdrParentOrder records and forwarded to the appropriate execution engine for futher processing. Parent orders can be inserted as either active/ready or in a wait start mode that requires subsequent release.

See the SpiderRock Execution Engine concept guide for more details.
5190SecDefRequestGateway
1535SpdrChildExecutionSpdrChildExecution records are published when a child order fill is received. These records update if busted or corrected by a downstream venue.

SpdrChildExecution records are published to the SpiderRock elastic cluster as they arrive.
2050SpdrChildExecutionSummarySpdrChildExecutionSummary records are created at the end of a trading period and contain a summary of trading activity for the period; Aggregation of SpdrParentExecution x SpdrChildOrder (inner join) by clOrdId
1540SpdrChildOrderSpdrChildOrder records are published when SpiderRock sends orders to downstream exchanges or venues. These records update as the state of the child order updates.

SpdrChildOrder records are published to the SpiderRock elastic cluster when they have reached a terminal state.
2055SpdrChildOrderSummarySpdrChildOrderSummary records are created at the end of a trading period and contain a summary of trading activity for the period; Summary of SpdrChildOrder records
1545SpdrChildReject
1550SpdrChildTriggerSpdrChildTrigger records are used to trigger distributed release of (SGW) staged child orders. These message at published by execution engines and consumed by street gateways
4000SpdrFixParentCancelRecords inserted into this table causes the corresponding parent order to be cancelled if it is active and cancellable.
4005SpdrFixParentExecution
4010SpdrFixParentRejectRecord indicates that either a SpdrParentOrder (Add or Replace) or FixParentCancel request failed
5355SpdrPairLeggerOrder
5370SpdrPairLeggerState
4060SpdrParentBrkrDetailSpdrParentBrkrDetail records are created/published by SpiderRock Execution Engines. Each record describes the current active detail of a single parent broker.
1555SpdrStreetExecutionSpdrStreetExecution records are published by SpdrStreetGateways when child order fills are received. These records update if busted or corrected by a downstream venue.
3155SpreadCloseMarkSpreadCloseMark records are created immediately after the market close (clsMarkState=SRClose), when exchanges publish official marks (clsMarkState=ExchClose), and again during top of day rotation (clsMarkState=Final). These records contain closing quotes and prices as well as markup details for all exchange spreads

SpreadCloseMark records are published to the SpiderRock elastic cluster when clsMarkState=Final

BaseObj:Spread
2920SpreadExchPrint
2925SpreadMarketSummaryThese records represent live market summary snapshots for each active spread market
3160SpreadOpenMarkSpreadOpenMark records are created during the end-of-day rotation for each ticker and intended for use the following trading day.

BaseObj:Spread
5220StkAwayTktGatewayStkAwayTktGateway inserts are validated and convered to away SpdrParentExecution records and published. If successfully published they will be visible in the SpdrParentExecution table and on SpiderRock GUI tools.

Replaces are allowed but they are functionally identical to updates in that only the fillPrice and fillQuantity fields are actually changed.
5225StkOrderGatewayRecords inserted, updated, or replaced into the StockOrderGateway table are validated and then converted to SpdrParentOrder records and forwarded to the appropriate execution engine for futher processing. Parent orders can be inserted as either active/ready or in a wait start mode that requires subsequent release.

See the SpiderRock Execution Engine concept guide for more details.
2150StockEarningsCalendar_ExternStockEarningsCalendar records contain a historical (prior 12) earnings dates and future (next 12) projected dates.
5230StockLocateRequestGatewayRecords inserted into this gateway become locate requests and are visible in the StockLocateRequest table.
1965TheoModelConfig
4380TickerDefinitionExtTickerDefinitionExt (external) records exist for all SpiderRock tickers including equity tickers (stocks and ETFs) as well as index tickers and synthetic tickers for future chains and option multihedge baskets.
5750ULinkContextEvent
5235ULinkContextGateway