Internal
| # | Message Name | Description |
|---|---|---|
| 1805 | AccountConfig | |
| 5120 | AccountConfigGateway | |
| 5130 | AutoHedgeControlGateway | SpdrAutoHedgeControl contains autohedge / risk group control details. Can be uploaded from SRSE, created from ExecutionEngines, or created by SR tools. |
| 5135 | AwayStockLocateGateway | Records 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 |
| 1845 | ClientFirmAwayBrkr | |
| 2540 | CurrencyConversion | |
| 5140 | ExternAggGroupGateway | This 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. |
| 5145 | FutAwayTktGateway | FutAwayTktGateway 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. |
| 5150 | FutOrderGateway | Records 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. |
| 4350 | IndustryDefinition | This table contains the definitions of ind (00), sub (0000), grp (000000), and nbr (00000000) numeric codes are used in the SpiderRock platform. |
| 1021 | LiveImpliedQuoteNG | CalcSource=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. |
| 5155 | MLegOrderGateway | Records 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. |
| 3355 | MLinkCacheRequest | |
| 5710 | MarketFeedStatus | |
| 5900 | NetPulse | |
| 5160 | OptAwayTktGateway | OptAwayTktGateway 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. |
| 5165 | OptOrderGateway | Records 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. |
| 6820 | OptionAtmMinuteBarData | |
| 5030 | OptionCalculator | This table allows custom option pricing based on either user or SR supplied input values. |
| 2765 | OptionExchOrder | |
| 2770 | OptionExchPrint | |
| 5035 | OptionImpliedPair | This 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. |
| 5045 | OptionImpliedVol | This 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. |
| 5046 | OptionImpliedVolV4 | This 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. |
| 2810 | OptionPrintMarkup | OptionPrintMarkup records contain every option print along with quote, surface details at print time |
| 5180 | ParentOrderGateway | Records 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. |
| 5185 | ParentOrderGatewayExt | Records 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. |
| 5190 | SecDefRequestGateway | |
| 1535 | SpdrChildExecution | SpdrChildExecution 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. |
| 2050 | SpdrChildExecutionSummary | SpdrChildExecutionSummary 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 |
| 1540 | SpdrChildOrder | SpdrChildOrder 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. |
| 2055 | SpdrChildOrderSummary | SpdrChildOrderSummary records are created at the end of a trading period and contain a summary of trading activity for the period; Summary of SpdrChildOrder records |
| 1545 | SpdrChildReject | |
| 1550 | SpdrChildTrigger | SpdrChildTrigger records are used to trigger distributed release of (SGW) staged child orders. These message at published by execution engines and consumed by street gateways |
| 4000 | SpdrFixParentCancel | Records inserted into this table causes the corresponding parent order to be cancelled if it is active and cancellable. |
| 4005 | SpdrFixParentExecution | |
| 4010 | SpdrFixParentReject | Record indicates that either a SpdrParentOrder (Add or Replace) or FixParentCancel request failed |
| 5355 | SpdrPairLeggerOrder | |
| 5370 | SpdrPairLeggerState | |
| 4060 | SpdrParentBrkrDetail | SpdrParentBrkrDetail records are created/published by SpiderRock Execution Engines. Each record describes the current active detail of a single parent broker. |
| 1555 | SpdrStreetExecution | SpdrStreetExecution records are published by SpdrStreetGateways when child order fills are received. These records update if busted or corrected by a downstream venue. |
| 3155 | SpreadCloseMark | SpreadCloseMark 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 |
| 2920 | SpreadExchPrint | |
| 2925 | SpreadMarketSummary | These records represent live market summary snapshots for each active spread market |
| 3160 | SpreadOpenMark | SpreadOpenMark records are created during the end-of-day rotation for each ticker and intended for use the following trading day. BaseObj:Spread |
| 5220 | StkAwayTktGateway | StkAwayTktGateway 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. |
| 5225 | StkOrderGateway | Records 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. |
| 2150 | StockEarningsCalendar_Extern | StockEarningsCalendar records contain a historical (prior 12) earnings dates and future (next 12) projected dates. |
| 5230 | StockLocateRequestGateway | Records inserted into this gateway become locate requests and are visible in the StockLocateRequest table. |
| 1965 | TheoModelConfig | |
| 4380 | TickerDefinitionExt | TickerDefinitionExt (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. |
| 5750 | ULinkContextEvent | |
| 5235 | ULinkContextGateway |