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Version: 8.6.9.2

ClientTrading

#Message NameDescription
2358AtsDegrossAuctionSchedulePublished by the degrossing execution engine at start of day; each row's state updates as the

sequence runs. Clients consume this — the sequence is never hard-coded client-side.

Sequence: Trial 9:55 CST, then Real auctions 10:00 / 10:05 / 10:10 / 10:15 CST, 3 expiries each.
2357AtsDegrossAvailabilityPublished by the degrossing execution engine once a minute from open + 5 minutes until the final

auction of the day, smeared to a fixed publish rate. Every candidate ticker is published with a

status: Available, Suspended, DayClosed, or the reason it is not offered — so a client can always

see why a position is not degrossable.

Strike is a TICKER-level fact shared by all three expiries, chosen from flex instruments that

actually exist (nearest the underlier), and frozen at the ticker's first publish of the day.

The per-expiry block (3 entries) carries the SR-controlled economics; block index = expiry slot =

SpdrParentOrder groupingCode (1/2/3). Auction sequence state lives on AtsDegrossAuctionSchedule

(2358). Publish-only: no archive directives and .Archive() is never called — published messages

are captured automatically.

A ticker is only published when it has a current-day stock book quote or print; names with no

today market are not advertised at all.

Retired field numbers (NEVER reuse): 112 (per-slot strike; strike is row-level at 103),

101 (row-level srRate; the rate is per expiry at 120).

Replaces AtsDegrossRevConSpreads (2355).
2359AtsDegrossFlexRequestPublished by the degrossing execution engine after the close, one record per instrument we want

to exist for the next trading day and do not already see as a FlexOptionDefinition (4435).

Keyed by the OptionKey we want, so requested-versus-existing is a straight key comparison.

The request set is "desired strike x 3 auction expiries x call and put, minus what already

exists", which covers both triggers without special cases: a strike that drifted past the

selection band yields six requests at a new strike, and a calendar roll yields two at the

existing strike for the newly appeared expiry.
2360AtsDegrossMarketSummaryPublished by the degrossing execution engine at each auction close. This is the PUBLIC

post-auction disclosure — venue totals only, never per-client figures (per-order results are

AtsDegrossRevConResult (2356)). The WTS merges these onto LiveGridDegrossMarket (6973) rows.

Prices are PACKAGE space, like 2356/4030 — the book matches there; consumers rebase +strike for

trader R/C display. Publish-only: no archive directives and .Archive() is never called.
5240AtsDegrossRevConGatewayRecords inserted, updated, or replaced into this table are validated by the SRSE gateway and

converted to SpdrParentOrder (4095) records via ToSpdrParentOrder (parentOrderHandling=DegrossAuction,

orderLimitType=RcPrem). The 4095 is the only EE order ingress; this table is never consumed by the EE.

Each record is one order line: a single ticker/expiry RevCon package (1 call + 1 put + 100 shares per unit).

Strike and expiry are SR-controlled: resolved from the AtsDegrossAvailability (2357) expiry slot

addressed by groupingCode; never a client input.
2356AtsDegrossRevConResultPublished by the degrossing execution engine: Received on order arrival, then per-auction

results after each event in the day's sequence (Trial 9:55 CST, Real 10:00/10:05/10:10/10:15;

see AtsDegrossAuctionSchedule (2358)), Final after the order's last event. The WTS merges

per-(ticker, expiry) results into LiveGridBasketDegrossDetail (6912) rows; per-auction rollups

drive the Basket Manager summary boxes.
2355AtsDegrossRevConSpreadsDeleted once the EE publisher and WTS join cut over; do not add consumers. The number is

reusable a few weeks after deletion.
5290AutoHedgeSymbolAutoHedgeSymbol records are published by autohedge servers and contain all valid hedge target symbols. Execution engines reject auto-hedge requests for hedgeSecKeys that are not in this set.
2495AutoResponderVegaDir
2270ExternAggGroupReport
2480NoticeCancel
2475NoticeExecReport
2497NoticeMarkupVegaDir
2470NoticeResponse
2496ResponderMarkupVegaDir
4655RiskGroupCounter
3985SpdrAccntCancelRecords inserted into this table will result in the cancellation of all active/cancelable orders for the indicated SpiderRock trading accnt.
4145SpdrAlertRecord
3750SpdrAllocUnitStatus
3695SpdrAllocationNotice
3700SpdrAllocationNoticeStatus
5295SpdrAutoHedgeControlSpdrAutoHedgeControl contains autohedge / risk group control details. Can be uploaded from SRSE, created from ExecutionEngines, or created by SR tools.

BridgeFromV7:SpdrRiskGroupControl
5300SpdrAutoHedgeStateSpdrAutoHedgeState records are published by autohedge servers and describe the current state of an autohedge controller that is managing RiskGroup autohedge orders.
1450SpdrAwayExecutionSpdrAwayExecution records are published by ToolServers, SRSE, and FIX drop recv gateways. They are consumed by AwayExecutionMarkupServer which, in turn, publishes corresponding SpdrParentExecution records, including M1 and M10 updates.
3990SpdrBrokerCancelRecords inserted into this table causes the corresponding parent broker to cancel the current underlying parent order if active and cancellable.
3920SpdrClientFirmRiskMgmtSpdrClientFirmRiskMgmt records are created/published by SpiderRock Execution Engines and show exchange level risk management child order rejects.
1460SpdrDropExecution
1465SpdrDropExecutionAck
1470SpdrExchRiskDrop
3925SpdrExchRiskMgmtSpdrExchRiskMgmt records are created/published by SpiderRock Execution Engines and show exchange level risk management child order rejects.
3835SpdrExchRiskResetSpdrExchRiskReset records are created/published by SpiderRock Execution Engines and show exchange level risk management child order rejects.
3710SpdrExecutionAllocation
5281SpdrHedgeAggregation
5280SpdrHedgePolicyState
4025SpdrMLegBrkrEventSpdrMLegBrkrEvent records are published when a new or clx/replace parent order arrives causes a broker to beging working and again when a parent order terminates and the underlying broker stops working. The initial version contains state and market data from just after the initial risk check and first attempt at generating child orders.
4030SpdrMLegBrkrStateSpdrMLegBrkrState records are published by execution engines and describe the current state of a broker that is managing a SpiderRock parent order. These records include a description of the active child orders managed by the broker. Records are updated whenever a child order changes and also at other times but are not completely live and may not always reflect current market data or limit levels for working orders.
3725SpdrParentAllocation
3730SpdrParentAllocationStatus
4065SpdrParentBrkrEventSpdrParentBrkrEvent records are published when a new or cxl/replace parent order arrives causes a broker to begin working and again when a parent order terminates and the underlying broker stops working. The initial version contains state and market data from just after the initial risk check and first attempt at generating child orders.
4070SpdrParentBrkrStateSpdrParentBrkrState records are created/published by SpiderRock Execution Engines. Each record describes the current state of one (or more) parent orders. If a parent order is canceled/replaced then entire chain is represented by a single broker state record.
4075SpdrParentBrokerSummarySpdrParentBrokerSummary records are created at the end of a trading period and contain a summary of trading activity for the period; Summary of Stk/Fut/Opt/MLeg Brkr State records.
4080SpdrParentCancelRecords inserted into this table causes the corresponding parent order to be cancelled if it is active and cancellable.

Either put in a custom datasource or deprecate from SRSE (Natively not allowed to be modified via SRSE)
4085SpdrParentExecutionSpdrParentExecution records are published every time a parent order execution is received. They also update as additional post execution mark information is available at F+1m and F+10m.
4086SpdrParentExecutionV2SpdrParentExecution records are published every time a parent order execution is received. They also update as additional post execution mark information is available at F+1m and F+10m.
4090SpdrParentLimitSpdrParentLimit records are supplied by clients (via SRSE) for use with parent orders having orderLimitType=Aux. This table can be updated either before or after a parent order begins working and will influence the limit(s) used when working child orders. Updates to this table do not constitute cancel/replace operations for the parent order.
4095SpdrParentOrderSpdrParentOrder records are visible in SRSE immediately after receipt. Parent orders received via FIX, SRSE or SpiderRock GUI tools, or 3rd party vendor systems are all visible in this table.

Parent orders can be for stocks, futures, options or spreads. And they can be one-sided (agency) or two-sided (facilitation) orders. Parent order records should be immutable and not update.

SpdrParentOrder records are published to the SpiderRock elatic cluster on arrival.
4100SpdrParentReportSpdrParentReport records contain the current state of a parent order and update as/when the order state changes.

SpdrParentReport records are published to the SpiderRock elastic cluster when they reach a terminal state (closed, rejected, filled, etc.)
4195SpdrParentReviewRequestSpdrParentReviewRequest records created when a parent order is submitted with StageType=StageReview. These records indicate that an external review of the parent order has been requested.
4200SpdrParentReviewResponseSpdrParentReviewResponse records are created when a parent order review request is completed
4105SpdrReleaseWaitTriggerSpdrReleaseWaitTrigger records are used to trigger the release of parent orders submitted with startType=WaitTrigger. Note that all parent orders in a risk group will be triggered together.
2325SpdrRiskExecutionSpdrRiskExecution records are published every time a SpdrParentExecution record is published
3740SpdrRiskGroupAllocation
3745SpdrRiskGroupAllocationStatus
1467SpdrRiskGroupCancelRecords inserted into this table causes the corresponding parent broker to cancel the current underlying parent order if active and cancellable.
4570SpdrRiskGroupControl
4110SpdrRouteCancelRecords inserted into this table will result in the cancellation of all active/cancelable orders for the indicated SpiderRock routing code
4115SpdrSecKeyCancelRecords inserted into this table causes the corresponding parent broker to cancel the current underlying parent order if active and cancellable.
3987SpdrStrategyCancelRecords inserted into this table causes all orders for a given strategy to be cancelled
4135SpdrStripeTriggerSpdrStripeTrigger records are used to allocate sweep risk and trigger cross stripe release of parent orders submitted with startType=WaitTrigger. These records are published by a SR Strategy Server if/when a SpdrReleaseWaitTrigger message is received.
2330SpdrSweepDetailSpdrSweepDetail records are published by execution engines when sweep trigger groups are processed
2335SpdrSweepExchDetailSpdrSweepExchDetail records are published by execution engines when sweep trigger groups are processed
4140SpdrUserCancelRecords inserted into this table cancels all parent orders associated with userName/clientFirm
3480ToolCompositeExecution