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Version: Upcoming

Platform Differences

SpiderRock Composite Europe (SCE) Ticker Source​

To address fragmented liquidity across European markets, SpiderRock has developed the SpiderRock Composite Europe (SCE) TickerSrc, which groups equity option listings by their shared underlying equity. For any equity sharing a common ISIN (International Securities Identification Number) and traded currency, the platform aggregates quotes from all supported exchanges into a single consolidated ticker tape under a regionally unique TickerKey (for example, BMW-SCE-EQT).

SpiderRock currently receives equity market data from Cboe Europe venues — BXE, CXE, and DXE — which collectively represent the largest sources of pan-European liquidity. These exchanges provide the best bid and offer (BBO) for equities across SpiderRock’s European offering.

While SpiderRock sources market data directly from these three venues, equity order execution is further enhanced through broker partners’ smart order routing, providing clients with access to all European equity venues for execution, even though SpiderRock’s direct market data feed is limited to Cboe BXE, CXE, and DXE.

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Note
At launch, the SCE TickerSrc will only apply to underlying equities. Options and other derivatives will continue to use their exchange-specific native tickers, though SpiderRock plans to extend the composite model to derivatives in the future.

Risk Controls​

In the European deployment of SpiderRock's platform, all standard risk controls remain available. However, there is one key implementation detail to be aware of when configuring ticker-level risk limits. For equity and index options, all ticker risk limits are counted at the underlying composite ticker. This means that all limits should be set on the underlying composite symbol, not the option root symbol.

While useful for order entry and market data at the exchange level, option roots do not account for the same underlying listed on other exchanges. This means they cannot consolidate exposure across exchanges in fragmented markets such as Europe, which is why the risk limits are set on the underlying composite symbol.

Types of Supported Algos​

The following algo types will be supported at launch:

  • ActiveTaker
  • ActiveMaker
Progression Algos
  • TwapAlpha
  • SpdrPulse
Mleg Orders
  • Seeker – supported only via Morgan Stanley.
  • Legger – available anywhere.
  • SeekerLegger – supported globally; however, the seeker component operates only via Morgan Stanley, while the legger component is available anywhere.
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Note
All equity hedging activity will be done via the Morgan Stanley algo offering. Clients should discuss what behavior they would like to achieve with Morgan Stanley.

Transition from Citrix-based Tools to Web Application GUI Tools​

With the eventual release of SPARC, all Citrix-based tools will be deprecated and replaced by the web application tools in the European environment. This transition is driven by infrastructure efficiency — deploying web applications through regional Amazon Web Services (AWS) is significantly more scalable and maintainable than operating a dedicated Citrix farm in Europe.

During the transition period, the Risk Viewer (RV) and Order Manager (OMv2) Citrix tools will continue to be supported in Europe for U.S. clients trading in European markets. Several adjustments have been made in the RV to support the European offering for U.S. clients.

  • The SymbolViewSummary and SymbolViewDetail now include a region selector, allowing users to toggle between U.S. and European views. Users can also select their preferred currency display in views such as Industry Risk, Account Risk, and Expiration Risk.
  • When a currency option is not available, values are displayed on a symbol-by-symbol basis. For European products, all dollar deltas and Greeks are shown in the product's local currency.

In OMv2, there are a few minor functional differences to note. Market data is not transmitted to the V8 European environment; therefore, any PnL metrics that rely on live market data will default to zero. These include:

  • liveMark
  • liveUPrc
  • dayPnL
  • dayDnPnL (Day Delta Neutral PnL)
  • uDriftDayPnL

Trade Tool Updates​

The Trade Tool will include several updates specific to the European environment. Data availability and structure will differ from the U.S. version — for example, certain tickers may not display data due to different option stripes and distinct symbology standards used across European exchanges. Additionally, when placing trades, users can select the new EUXmsAlgo within the AutoHedge function for regional hedging.

Because multiple exchanges operate across European markets, root selection will vary by country, and FLEX options will not be offered in Europe. The tool will also support multiple currencies, allowing users to view and manage trades in their appropriate regional denomination.

Historical Analytics​

Access to historical datasets in Europe will follow the same process used by U.S.-based clients. Access will be granted upon request, after which the relevant historical data files will be provided for download and analysis. Clients can view and work with these files in their environment using tools such as Python or R.

Certain differences apply to the European dataset compared to U.S. coverage:

  • Exchange auction data (auction prints and notices) will not be included.
  • Security IDs for stocks will not be provided in some datasets (e.g., OptionCloseMarks).
  • Market hours will mirror the European market hours.