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 simulaneously. 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.

Staged/Wait Start order management Most order types may be queued in SpiderRock systems until released by the client. These order types can be used to integrate client risk/approval systems with orders generated by trading groups. Alternatively, they can be used to integrate trader approval of orders generated by automated strategies.

Note: Orders can be both staged in and released 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 fields, SpiderRock uses custom FIX fields (5,000+) for SpiderRock specific parameters.

Tag	Field Name	Req'd	Type	Comments
	Standard Header	Y		MsgType = D
11	ClOrdId	Y	string	Client order ID (24 character max)
1	Account	Y	string	SR account acronym. Must be configured prior to testing or trading
100	ExDestination	N	string	SR Destination Code (see appendix) Required for DMA style orders
40	OrdType	N	char	1 = Market 2 = Limit 5 = Market on Close B = Limit on 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.
44	Price	N	float	Required for limit order types
59	TimeInForce	N	string	0 = Day 2 = Opening 3 = Immediate or Cancel (IOC) 6 = Good Till Date/Time (or Duration) 7 = Closing
207	SecurityExchange	N	string	Market used to identify a security's issuing authority (see Appendix A for those accepted by SpiderRock) For Futures products: the issuing authority must be supplied For Equities and Equity Options in which the issuing authority SecurityExchange<207> is not explicitly supplied, NMS is assumed.
461	CFICode	N	string	ES = Equity Common Shares [CS] F = Future [FUT] OC = Option - Call [OPT] OP = Option - Put [OPT]
201	PutOrCall	N	int	Alternative to CFICode<461> 0 = Put 1 = Call
167	SecurityType	N	string	Alternative to CFICode<461> CS = Equity default FUT = Future/Future Options OPT = Equity Option
55	Symbol	Y	string	Exchange symbol May incorporate symbol suffix (e.g. VIA.A) For OPRA options, SpiderRock accepts an OSI code in this field For standardized futures products, maturity information can be included in this field, e.g. GCZ22
65	SymbolSfx	B	string	Symbol suffix
22	IDSource	N	string	8 = Exchange Symbol is accepted when used in conjunction with SecurityID<48> to communicate the Exchange Symbol.
48	SecurityID	N	string	Exchange symbol, when IDSource = 8 and Symbol<55> is blank.
541	MaturityDate	N	string	For Futures and Options YYYYMMDD
200	MaturityMonthYear	N	string	Alternative to MaturityDate<541> YYYYMM
205	MaturityDay	N	int	Alternative to MaturityDate<541> 1-31
202	StrikePrice	N	float	Option strike price
54	Side	Y	char	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).
77	OpenClose	N	char	For Options: O = Open C = Close A = Auto (SR determines whether child orders should be marked open or closed by looking up account/aggregate group position when child orders are created).
204	CustomerOrFirm	N	char	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
528	OrderCapacity	N	char	A = Agency G = Prop I = Individual P = Principal R = Riskless W = AgentOtherMember Will default to SR account configuration if not specified
60	TransactTime	Y	utcDttm	Time this order request was initiated/released. Formatted as: YYYYMMDD-HH:MM:SS.fff Note: this order must arrive at SpiderRpcl within 15 seconds of the TransactTime to be considered a valid order.
38	OrderQty	Y	int	Executable quantity
	Standard Trailer	Y

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	Comments
	Standard Header	Y		MsgType = D
	Basic NewOrderSingle Fields			See "NewOrderSingle" above
100	ExDestination	Y	string	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	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 as market orders 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	Comments
	Standard Header	Y		MsgType = D
	Basic NewOrderSingle Fields			See "NewOrderSingle" above
	Algorithmic NewOrderSingle Fields			See "NewOrderSingle" above
5090	SRStartType	Y	int	2 = Staged (wait start)
	Standard Trailer	Y

Example - MarketOnOpen/MarketOnClose

MarketOnOpen/MarketOnClose 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	Comments
	Standard Header	Y		MsgType = D
	Basic NewOrderSingle Fields			See "NewOrderSingle" above
59	TimeInForce	Y	char	2 = At the openning 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	Comments
	Standard Header	Y		MsgType = D
	Basic NewOrderSingle Fields			See "NewOrderSingle" above
5036	SRUsername	N	string	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	Duration in seconds
5094	SROrderHandling	Y	int	Primary order handling algorithm 1 = ActiveTaker 2 = PostOnly 3 = DMA 4 = MktOnOpn 5 = MktOnCls 11 = CrossResponse 12 = AuctionResponse
5096	SRBalanceHandling	N	int	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	0 = Immediate 1 = WaitTrigger (wait for RiskGroup/Sweep trigger) 2 = Staged (wait for order to be modified/released)
5089	SRMarketSession		char	1 = Regular Market 2 = Pre-Market 3 = Post-Market 4 = Regular and Pre-Market 5 = Regular and Post-Market 6 = All Day
5084	SRTimeInForce	N	string	Day = Order remains working until the end of the day's primary trading session. EXT = Extended Day - Order remains working through the day's intended trading session until the next top of day rotation. WK = Week - Order remains working for the remainder of the week's normal trading sessions. EWK = Extended Week - Order remains working for the week's remaining extended trading sessions until the next Friday/EndOfWeek rotation. IOC = Immediate or Cancel - Order expires after one attempt at execution OR after one second. GTD = Good Till Duration - Order remains working through the day's extended trading session until the next top of day rotation OR when SRGoodTillDttm time is reached OR after working for SROrderDuration seconds.
5086	SROrderDuration	N	int	Order with SrTimeInForce = GTD expires after working for this number of seconds.
5088	SRGoodTillDttm	N	utcDttm	Order with SrTimeInForce = GTD expires at this time.
5028	SRAltRouteCode	N	string	Alternate child order routing code (assigned by SR)
5034	SRStrategy	N	string	Client strategy label. Displayed on SR Order Manager
5082	SRExchanges	N	string	Comma separated exchange list; default = all available exchanges
5046	SRMaxExposureSize	N	int	Maximum simultaneous public exposure size across all exchanges
5048	SRNumMakeExchanges	N	int	Number of public exposure exchanges
5050	SRPublicSize	N	char	0 = None 1 = Randomize 2 = MktSize 3 = FullSize 4 = MktSizeA 5 = MktSizeB 6 = MktSizeC 7 = FullSizeR
5052	SRCanCxlOverlap	N	char	Y = Yes
5080	SRMaxChildOrders	N	int	Upper bound for the number of child orders generated for this parent order
5054	SRProgressRule	N	int	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	SRTwapSliceCnt	N	int	Number of TWAP slices (default = 1)
5104	SRTakeReachRule	N	int	0 = Immediate 1 = Delayed 2 = Passive
5098	SROrderLimitType	N	int	0 = Market 1 = MarketArrival 2 = Prc 3 = PrcDe 4 = PrcDeX 5 = PrcDeT 6 = PrcDeP 7 = PrcDeXT 8 = PrcDeXP 9 = Vol 10 = VolX 11 = VolF 12 = VolFX 13 = VolPrc 14 = RelMid 15 = RelJoin 16 = RelCross 17 = SmrtFast 18 = SmrtNorm 19 = RelTurn
5106	SROrderPrcLimit	N	float	Applies if SROrderLimitType<5098> = Prc
5126	SROrderPrcOffset	N	float	Default=0
5132	SRTakeAlphaFactor	N	float
5134	SRMakeAlphaFactor	N	float
5136	SRTakeProbability	N	float
5138	SRMakeProbability	N	float
5253	SRMax AccDayDDeltaLn	N	float	max accnt day $delta long Should be a positive number; Defaults to no limit
5254	SRMax AccDayDDeltaSh	N	float	max accnt day $delta short Should be a positive number; Defaults to no limit
5259	SRMax SymDayDDeltaLn	N	float	max acct+symbol day $delta long Should be a positive number; Defaults to no limit
5260	SRMax SymDayDDeltaSh	N	float	max acct+symbol day $delta short Should be a positive number; Defaults to no limit
5058	SRVwap Participation	N	float	Target vwap participation rate (target % of trade activity)
5290	SRUserData1	N	string	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	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	Comments
5170	SRPositionType	N	int	Primary position type (single leg orders)
5060	SRAuctionResponder	N	string	If set, parent order can be an auction responder
5108	SROrderRefUPrc	N	float	The stock reference price, a contribution to the order premium.
5110	SROrderRefDelta	N	float
5112	SROrderRefGamma	N	float
5192	SROrderRefRMetric1	N	float	User supplied custom risk metric
5194	SROrderRefRMetric2	N	float	User supplied RMetric2 value
5196	SROrderRefRMetric3	N	float	User supplied RMetric3 value
5198	SROrderRefRMetric4	N	float	User supplied RMetric4 value
5116	SROrderVolLimit	N	float	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	Must be positive
5120	SRSDivOverride	N	float
5122	SRDDivOverride	N	string	Discrete dividends override Format:[years: amount, years:amount, ...]
5124	SROverrideCode	N	char	SDiv/DDiv override rule (applies if LimitType = Vol) S = SDivOnly D = DDivOnly B = Both
5228	SRMakeSurfWidthOffset	N	float
5229	SRTakeSurfWidthOffset	N	float
5140	SRTakeSurfPrcOffset	N	float
5142	SRTakeSurfVolOffset	N	float
5144	SRMakeSurfPrcOffset	N	float
5146	SRMakeSurfVolOffset	N	float
5072	SRCxlUPrcRange	N	bool	Cancel order if/when outside stock price range
5074	SRMinUBid	N	float	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	Option price floor for orders tied to stock
5251	SRMax AccDayWtVegaLn	N	float	max accnt day wvega (time weighted) long. Should be a positive number; Defaults to no limit
5252	SRMax AccDayWtVegaSh	N	float	max accnt day wvega (time weighted) short. Should be a positive number; Defaults to no limit
5255	SRMax ExpDayWtVegaLn	N	float	max accnt+expiration day wvega (time weighted) long. Should be a positive number; Defaults to no limit
5256	SRMax ExpDayWtVegaSh	N	float	max accnt+expiration day wvega (time weighted) short. Should be a positive number; Defaults to no limit
5257	SRMax SymDayWtVegaLn	N	float	max acct+symbol day vega long. Should be a positive number; Defaults to no limit
5258	SRMax SymDayWtVegaSh	N	float	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	Comments
5152	SRAutoHedge	N	char	N = NoHedge default F = AutoCrx S= AutoTrn M = AutoMid A = SpdrAuto 1 = Spdr10S 3 = Spdr30S 9 = Spdr90S 5 = Spdr5M H = Spdr30M 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.

Tag	Field Name	Req'd	Type	Comments
	Standard Header	Y		MsgType = G
11	ClOrdId	Y	string	Client order ID of the cancel request (24 character max)
41	OrigClOrdID	Y	string	ClOrdID<11> of the previous order (NOT the initial order of the day) when canceling an order. (24 character max)
	Modifiable New Order Single Fields (See list above)
	Standard Trailer	Y

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 fields, SpiderRock uses custom FIX fields (5,000+) for SpiderRock specific parameters.

Tag	Field Name	Req'd	Type	Comments
	Standard Header	Y		MsgType = AB
11	ClOrdId	Y	string	Client order ID (24 character max)
1	Account	Y	string	SR account acronym Must be configured prior to testing or trading
38	OrderQty	Y	int	Executable quantity
54	Side	N	char	1 = Buy
100	ExDestination	N	string	SR Destination Code (see appendix) - Required for DMA style orders
40	OrdType	N	char	1 = Market 2 = Limit - Required for DMA and Smart/Sweep style orders
44	Price	N	float	Required for limit order types
59	TimeInForce	N	string	0 = Day 3 = Immediate or Cancel (IOC)
60	TransactTime	Y	utcDttm	Time this order request was initiated/released. Formatted as: YYYYMMDD-HH:MM:SS.fff Note: this order must arrive at SpiderRpcl within 15 seconds of the TransactTime to be considered a valid order.
	Algorithmic Multileg Fields			See "Multileg Algorithm" below
555	NoLegs	Y	int	Number of legs
→ 654	LegRefId	Y	string	Used to identify a specific leg
→ 616	LegSecurityExchange	N	string	Alternative to CFICode<461> If used, specify for Futures and Options If not specified, Equity is assumed FUT -- Future/Future Options OPT -- Equity Option CS (default) -- Equity
→ 608	LegCFICode	N	string	ES= Equity Common Shares F = Future [FUT] OC = Option - Call [OPT] OP = Option - Put [OPT]
→ 609	LegSecurityType	N	string	Alternative to LegCFICode<608> CS = Equity default FUT = Future/Future Options OPT = Equity Option
→ 600	LegSymbol	Y	string	Leg Exchange symbol May incorporate symbol suffix, e.g. VIA.A For OPRA options, SpiderRock accepts an OSI code in this field. For standardized futures products, maturity information can be included in this field, e.g. GCZ22.
→ 601	LegSymbolSfx	N	string	Leg Symbol Suffix
→ 611	LegMaturityDate	N	string	For Futures and Options. Formatted as: YYYYMMDD
→ 612	LegStrikePrice	N	float	Option strike price
→ 624	LegSide	Y	char	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).
→ 623	LegRatioQty	Y	int	The ratio of quantity for this individual leg relative to the entire multileg security
→ 564	LegPositionEffect	N	char	For Options O = Open C = Close A = Auto (SR determines whether child orders should be marked open or closed by looking up account/aggregate group position when child orders are created).
	Standard Trailer	Y

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	Comments
	Standard Header	Y		MsgType = AB
	Basic NewOrderMultileg Fields			See "NewOrderMultileg" above
100	ExDestination	Y	string	SR Destination Code (see appendix) - Required for DMA style orders
	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	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	Comments
	Standard Header	Y		MsgType = AB
	Any Combination of Basic or Complex NewOrderMultiLeg Fields
5090	SRStartType	Y	int	2 = Staged
	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	Comments
	Standard Header	Y		MsgType = AB
	Basic NewOrderMultileg Fields (See NewOrderMultileg above)
5036	SRUsername	N	string	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	Default = 0
5094	SROrderHandling	Y	int	Primary order handling algorithm 8 = Legger 9 = Seeker 10 = SeekerLegger 20 = CobMaker
5096	SRBalanceHandling	N	int	0 = None (non-marketable balance will not be posted) 4 = PostLimit
5090	SRStartType	N	int	0 = Immediate 1 = WaitTrigger (wait for RiskGroup/Sweep trigger) 2 = Staged (wait for order to be modified/released)
5089	SRMarketSession		char	1 = Regular Market 2 = Pre-Market 3 = Post-Market 4 = Regular and Pre-Market 5 = Regular and Post-Market 6 = All Day
5084	SRTimeInForce		string	Day = Day -- Order remains working until the end of the day's primary trading session. EXT = Extended Day - Order remains working through the day's extended trading session until the next top of day rotation. - WK = Week - Order remains working for the remainder of the week's normal trading sessions. EWK = Extended Week - Order remains working for the week's remaining extended trading sessions until the next Friday/EndOfWeek rotation. IOC = Immediate or Cancel - Order expires after one attempt at execution OR after one second. GTD = Good Till Duration - Order remains working through the day's extended trading session until the next top of day rotation OR when SRGoodTillDttm time is reached OR after working for SROrderDuration seconds.
5089	SRMarketSession		char	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	Order with SrTimeInForce = GTD expires after working for this number of seconds 0/missing = ignore
5088	SRGoodTillDttm		utcDttm	Order with SrTimeInForce = GTD expires at this time working for this number of seconds
5028	SRAltRouteCode		string	Alternate child order routing code (assigned by SR)
5034	SRStrategy	N	string	Client strategy label. Displayed on SR Order Manager
5082	SRExchanges		string	Comma separated exchange list; default = all available exchanges
5046	SRMaxExposureSize		int	Maximum simultaneous public exposure size across all exchanges
5048	SRNumMakeExchanges		int	Number of public exposure exchanges
5050	SRPublicSize	N	char	0 = None 1 = Randomize 2 = MktSize 3 = FullSize 4 = MktSizeA 5 = MktSizeB 6 = MktSizeC 7 = FullSizeR
5080	SRMaxChildOrders		int	Upper bound for the number of child orders generated for this parent order
5054	SRProgressRule		int	0 = Immediate (default) 1 = Twap 3 = TwapReset 5 = FastReset 6 = SlowReset 7 = TwapAlpha 11 = SpdrPulse
5056	SRTwapSliceCnt		int	Number of TWAP slices (default = 1)
5104	SRTakeReachRule		int	0 = Immediate 1 = Delayed 2 = Passive
5098	SROrderLimitType		string	0 = Market 1 = MarketArrival 2 = Prc 3 = PrcDe 4 = PrcDeX 6 = PrcDeP 8 = PrcDeXP 14 = RelMid 15 = RelJoin 16 = RelCross
5100	SRTakeLimitClass		char	Simple=0 Surface=1 Probability=2 SurfProb=3
5102	SRMakeLimitClass		char	Simple=0 Surface=1 Probability=2 SurfProb=3
5106	SROrderPrcLimit		float	Applies if LimitType = Prc[]
5109	SROrderRefUAsk		price
5110	SROrderRefDelta		float	Default=option.delta
5112	SROrderRefGamma		float	Default=option.gamma
5114	SROrderRefTheta		float
5116	SROrderVolLimit	N	float	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	Default=0
5128	SRTakeAlphaType		char	1 = Static 2 = Hawk 3 = Eagle 4 = Falcon 5 = Relative
5130	SRMakeAlphaType		char	1 = Static 2 = Hawk 3 = Eagle 4 = Falcon 5 = Relative
5132	SRTakeAlphaFactor		float
5134	SRMakeAlphaFactor		float
5136	SRTakeProbability		float
5138	SRMakeProbability		float
5202	SRLeadSide		char	SROrderHandling=Legger Only 1 = Buy 2 = Sell
5204	SRMaxCompletionSlippage		float	SROrderHandling=Legger Only
5206	SROrderRefPremium		float	Reference premium (multileg orders only)
5290	SRUserData1	N	string	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	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	Comments
	Basic NewOrderMultileg Fields (See NewOrderMultileg above)
5094	SROrderHandling	Y	int	Primary order handling algorithm 8 = Legger
5096	SRBalanceHandling	N	int	0 = None (non-marketable balance will not be posted) 4 = PostLimit
5202	SRLeadSide		char	Legger Only 1 = Buy 2 = Sell
5204	SRMaxCompletionSlippage		float	Legger Only
	Standard Trailer	Y

MultilegCancelReplace (Client to SpiderRock)

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

An MultilegCancelReplace<AD> 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.

Tag	Field Name	Req'd	Type	Comments
	Standard Header	Y		MsgType = AC
11	ClOrdId	Y	string	Client order ID of the cancel request (24 character max)
41	OrigClOrdID	Y	string	ClOrdID<11> of the previous order (NOT the initial order of the day) when canceling an order. (24 character max)
	Modifiable NewOrderMultileg Fields (See list above)
	Standard Trailer	Y

ExecutionReport (SpiderRock to Client)

SpiderRock natively follows FIX 4.4 rules for ExecutionReport handling but can switch to FIX 4.2 on request.

Tag	Field Name	Req'd	Type	Comments
37	OrderID	Y	string	Unique ID for order chain assigned by SpiderRock
198	SecondaryOrderID	N	string	Value from executing venue
11	ClOrdID	Y	string	Value from client request
41	OrigClOrdID	N	string	Conditionally required for response to a Cancel or Cancel/Replace request - (ExecType=PendingCancel, Replaced, or Canceled)
76	ExecBroker	N	string	Value from executing venue
5036	SRUsername	N	string	Used for customer service and futures compliance
5012	SRAltAccnt	N	string
5410	SRExtTraderId	N	string
5350	SRExecBrokerMPID	N	string	Executing broker MPID
17	ExecID	Y	string	Unique ID assigned by SpiderRock
20	ExecTransType	Y	int
19	ExecRefID	N	string
150	ExecType	Y	char
60	TransactTime	Y	utcDttm	Time the transaction represented by this ExecutionReport occurred
39	OrdStatus	Y	char
103	OrdRejReason	N	int	For optional use with ExecType = 8 (Rejected)
378	ExecRes tatementReason	N	int	If replaced in the SpiderRock System using another order entry method
1	Account	Y	string	Assigned by SpiderRock
54	Side	Y	char	Value from executing venue - Value may differ from client's order if execution order is sold short.
38	OrderQty	Y	int
40	OrdType	Y	char	Order type of this execution
77	OpenClose	N	char	Value from client's order
44	Price	N	float	Value from client's order
528	OrderCapacity	N	char	Value from order to venue
32	LastShares	Y	int
31	LastPx	Y	float
30	LastMkt	N	string	Value from executing venue
29	LastCapacity	N	string	Value from executing venue
151	LeavesQty	Y	int	0 if order is not active, not (OrderQty-Cum)
14	CumQty	Y	int
6	AvgPx	Y	float	Execution price
58	Text	N	string
5605	SRRejectCode	N	int	See Appendix C for a list of SR reject codes
442	MultiLegReportingType	N	char	Used to indicate what an Execution Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.). 1 = SINGLE_SECURITY 2 = INDIVIDUAL_LEG 3 = MULTI_LEG_SECURITY
654	LegRefID	N	string	Used to identify a specific leg for multileg order execution reports
439	ClearingFirm	N	string	Value from client's order, or SpiderRock account config
440	ClearingAccount	N	string	Value from client's order, or SpiderRock account config
	Symbology
22	IdSource	N	int	Value from client's order
48	SecurityId	N	string	Value from client's order
167	SecurityType	N	string	Value from client's order
55	Symbol	Y	string	Value from client's order
65	SymbolSfx	N	string	Value from client's order
207	SecurityExchange	Y	string	Exchange
461	CFICode	N	string	Value from client's order
201	PutOrCall	N	int	Value from client's order
541	MaturityDate	N	string	Value from client's order YYYYMMDD
200	MaturityMonthYear	N	string	Value from client's order YYYYMM
205	MaturityDay	N	int	Value from client's order 1-31
202	StrikePrice	N	price	Value from client's order
	Billing Parameters
5648	SRBillingCategory	N	string	A = Alpha A50 = AlphaTop50 TM = TiedMaker TT = TiedTaker S = SOR D = DMA AT = AwayTrade F = Facilitate AF = AlphaFacilitate AR = AuctionResponse BA = BlockAuction BR = BlockResponse E = Extern SO = SymOverride NB = NonBillable SS = SpdrSweep IS = IsoSweep
5613	SRBillingRate	N	float	Tier 1 billing rate
5610	SRLiquidityTag	N	string	From SpiderRock normalized venue liquidity tag
5614	SRExchFeeEst	N	float	From exchange published Fee Schedules
5611	SRExchLiqTag	N	string	Exchange supplied liquidity code
	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	Comments
	Standard Header	Y		MsgType = F
11	ClOrdId	Y	string	Client order ID of the cancel request (24 character max)
41	OrigClOrdID	Y	string	ClOrdID<11> of the previous order (NOT the initial order of the day) when canceling an order (24 character max)
37	OrderID	N	string	SR assigned OrderID (from an ExecutionReport message) - Note: one of OrigClOrdID or OrderID must be supplied.
55	Symbol	N	string
65	SymbolSfx	N	string
167	SecurityType	N	string	Must be specified if a Future or Option - If a Future: Symbol<55>, SecurityType<167>, and MaturityMonthYear<200> are required - If an Option: Symbol<55>, SecurityType<167>, MaturityMonthYear<200>, PutOrCall<201>, and StrikePrice<202> are required
200	MaturityMonthYear	N	string	For Futures and Options
205	MaturityDay	N	int	For Futures and Options
201	PutOrCall	N	int	For Options
202	StrikePrice	N	float	For Options
54	Side	N	char	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)
60	TransactTime	Y	utcDttm	Time this order request was initiated/released. Formatted as: YYYYMMDD-HH:MM:SS.fff Note: this order must arrive at SpiderRpcl within 15 seconds of the TransactTime to be considered a valid order.
38	OrderQty	N	int	Executable quantity
58	Text	N	string	User supplied text such as a cancel reason
	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	Comments
	Standard Header	Y		MsgType = 8
37	OrderID	Y	string	Unique ID for order chain assigned by SpiderRock
11	ClOrdID	Y	string	Value from client request
41	OrigClOrdID	Y	string	Conditionally required for response to a Cancel or Cancel/Replace request (ExecType=PendingCancel, Replaced, or Canceled)
434	CxlRej ResponseTo	Y	char	Valid values: 1 = OrderCancelRequest <F> 2 = OrderCancel/Replace Request <G>
102	CxlRejReason	N	int
39	OrdStatus	Y	char	OrdStatus value after this cancel reject is applied
58	Text	N	string
	Standard Trailer	Y