SRPairLeggerLegState

V8 Message Definiton

METADATA

Attribute	Value
Topic	5355-strategy-legger
MLink Token	Internal
Product	SRTrade
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
orderNumber	BIGINT	PRI	0	PairLegger order number
side	enum - BuySell	PRI	'None'
spdrSource	enum - SpdrSource		'None'
accnt	VARCHAR(16)		''	SR trading account
clientFirm	VARCHAR(16)		''	SR client firm
secKey_at	enum - AssetType		'None'	leg Security can be a stock future optExpiry or option must be the same for all legs cp can be call put or both if secType optExpiry
secKey_ts	enum - TickerSrc		'None'	leg Security can be a stock future optExpiry or option must be the same for all legs cp can be call put or both if secType optExpiry
secKey_tk	VARCHAR(12)		''	leg Security can be a stock future optExpiry or option must be the same for all legs cp can be call put or both if secType optExpiry
secKey_yr	SMALLINT UNSIGNED		0	leg Security can be a stock future optExpiry or option must be the same for all legs cp can be call put or both if secType optExpiry
secKey_mn	TINYINT UNSIGNED		0	leg Security can be a stock future optExpiry or option must be the same for all legs cp can be call put or both if secType optExpiry
secKey_dy	TINYINT UNSIGNED		0	leg Security can be a stock future optExpiry or option must be the same for all legs cp can be call put or both if secType optExpiry
secKey_xx	DOUBLE		0	leg Security can be a stock future optExpiry or option must be the same for all legs cp can be call put or both if secType optExpiry
secKey_cp	enum - CallPut		'Call'	leg Security can be a stock future optExpiry or option must be the same for all legs cp can be call put or both if secType optExpiry
secType	enum - LeggerSecType		'None'	note stockstock stockfuture futurefuture optExpiryoptExpiry or optionoption are allowed
ratio	SMALLINT UNSIGNED		0	leg ratio note can be in shares contracts vega wvega tvega or wtvega terms optExpiry must be in one of the xVega choices
ratioType	enum - LegRatioType		'None'
legPriority	enum - LegPriority		'None'	Lead legs fill first note if there are no lead legs the first leg in the list will be treated as the lead leg
legLimitType	enum - LeggerLimitType		'None'	leg limit type stock Price future Price optExpiry AtmVol only option Price or StrikeVol
posType	enum - PositionType		'None'	note must be Auto for optExpiry not required for stock
ssaleFlag	enum - ShortSaleFlag		'None'	only for stock legs and autohedging
hedgeInstrument	enum - HedgeInst		'None'
hedgeSecKey_at	enum - AssetType		'None'	autohedge instrument can be a TickerKey stock or ExpiryKey future required for Stock and Future
hedgeSecKey_ts	enum - TickerSrc		'None'	autohedge instrument can be a TickerKey stock or ExpiryKey future required for Stock and Future
hedgeSecKey_tk	VARCHAR(12)		''	autohedge instrument can be a TickerKey stock or ExpiryKey future required for Stock and Future
hedgeSecKey_yr	SMALLINT UNSIGNED		0	autohedge instrument can be a TickerKey stock or ExpiryKey future required for Stock and Future
hedgeSecKey_mn	TINYINT UNSIGNED		0	autohedge instrument can be a TickerKey stock or ExpiryKey future required for Stock and Future
hedgeSecKey_dy	TINYINT UNSIGNED		0	autohedge instrument can be a TickerKey stock or ExpiryKey future required for Stock and Future
orderSize	INT		0	working size from parentBrkrStateorderSize sum of all individual orders in cnshare terms
orderActiveSize	INT		0	order active size from parentBrkrStateorderActiveSize sum of all individual orders in cnshare terms
numActiveBrkrs	SMALLINT UNSIGNED		0	number of parent order legs with legactiveSize legcumFillQty
numAvailLegBrkrs	SMALLINT UNSIGNED		0	number of parent order legs created
cumFillQty	DOUBLE		0	in LeggerLimitType terms
avgFillPrc	DOUBLE		0
activeSprdSize	DOUBLE		0	active size sum of all individual orders in ratio type terms
legStatus	TINYTEXT		''
targetState	enum - LeggerTargetState		'None'
targetSprdSize	FLOAT		0
targetLimitPrice	FLOAT		0
bestBidPrc	FLOAT		0	leg best bid price in terms of limit type
bestAskPrc	FLOAT		0	leg best ask price
bestBidSize	FLOAT		0	leg best bid size in terms of ratio type
bestAskSize	FLOAT		0	leg best ask size
numNewOrders	INT		0	number of parent orders published
numLimitUpdates	INT		0	number of parent limit messages published
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
orderNumber	1
side	2

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRTrade`.`MsgSRPairLeggerLegState` (
    `orderNumber` BIGINT NOT NULL DEFAULT 0 COMMENT 'PairLegger order number',
    `side` ENUM('None','Buy','Sell') NOT NULL DEFAULT 'None',
    `spdrSource` ENUM('None','SpdrTicket','SpdrSingle','SRSE','FIX','HedgeTool','TradeHedge','OpenHedge','AutoHedge','Orphan','RiskManager','OrderManager','ManagedOrder','RFQRespSrvr','Legger','SRSEDrop','FixDrop','TicketDrop','SysTest','RFRResponse','AllocOmni','AllocClient','CertGateway','MLegResponse','LeggerX','DropManager','AutoHedgeSrvr','AuctionStrategySrvr','AllocBlockFace','AllocBlockCust','IceChatGateway','EXS2SRC','MLinkResponse','AutoResponderVD','AutoResponderRC','AutoResponderSN','AutoResponderBX','MLink','SymChatGateway') NOT NULL DEFAULT 'None',
    `accnt` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'SR trading account',
    `clientFirm` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'SR client firm',
    `secKey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'leg Security (can be a stock, future, optExpiry, or option) [must be the same for all legs] [cp can be call, put, or both if secType = optExpiry]',
    `secKey_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'leg Security (can be a stock, future, optExpiry, or option) [must be the same for all legs] [cp can be call, put, or both if secType = optExpiry]',
    `secKey_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'leg Security (can be a stock, future, optExpiry, or option) [must be the same for all legs] [cp can be call, put, or both if secType = optExpiry]',
    `secKey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'leg Security (can be a stock, future, optExpiry, or option) [must be the same for all legs] [cp can be call, put, or both if secType = optExpiry]',
    `secKey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'leg Security (can be a stock, future, optExpiry, or option) [must be the same for all legs] [cp can be call, put, or both if secType = optExpiry]',
    `secKey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'leg Security (can be a stock, future, optExpiry, or option) [must be the same for all legs] [cp can be call, put, or both if secType = optExpiry]',
    `secKey_xx` DOUBLE NOT NULL DEFAULT 0 COMMENT 'leg Security (can be a stock, future, optExpiry, or option) [must be the same for all legs] [cp can be call, put, or both if secType = optExpiry]',
    `secKey_cp` ENUM('Call','Put','Pair') NOT NULL DEFAULT 'Call' COMMENT 'leg Security (can be a stock, future, optExpiry, or option) [must be the same for all legs] [cp can be call, put, or both if secType = optExpiry]',
    `secType` ENUM('None','Stock','Future','OptExpiry','Option') NOT NULL DEFAULT 'None' COMMENT 'note: stock/stock, stock/future, future/future, optExpiry/optExpiry or option/option are allowed',
    `ratio` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'leg ratio (note: can be in shares, contracts, vega, wvega, tvega, or wtvega terms) (optExpiry must be in one of the xVega choices)',
    `ratioType` ENUM('None','Qty','Vega','WVega','TVega','WtVega') NOT NULL DEFAULT 'None',
    `legPriority` ENUM('None','Lead') NOT NULL DEFAULT 'None' COMMENT 'Lead leg(s) fill first (note: if there are no lead legs the first leg in the list will be treated as the lead leg)',
    `legLimitType` ENUM('None','Prc','StrikeVol','AtmVol') NOT NULL DEFAULT 'None' COMMENT 'leg limit type (stock: Price, future: Price, optExpiry: AtmVol only, option: Price or StrikeVol)',
    `posType` ENUM('None','Opening','Closing','Auto') NOT NULL DEFAULT 'None' COMMENT 'note: must be Auto for optExpiry (not required for stock)',
    `ssaleFlag` ENUM('None','Long','Short','Exempt','Auto','Open','Close','Cover','NA') NOT NULL DEFAULT 'None' COMMENT 'only for stock legs (and autohedging)',
    `hedgeInstrument` ENUM('None','Default','FrontMonth','Stock','Future') NOT NULL DEFAULT 'None',
    `hedgeSecKey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'autohedge instrument (can be a TickerKey (stock) or ExpiryKey (future)) [required for Stock and Future]',
    `hedgeSecKey_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None' COMMENT 'autohedge instrument (can be a TickerKey (stock) or ExpiryKey (future)) [required for Stock and Future]',
    `hedgeSecKey_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'autohedge instrument (can be a TickerKey (stock) or ExpiryKey (future)) [required for Stock and Future]',
    `hedgeSecKey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'autohedge instrument (can be a TickerKey (stock) or ExpiryKey (future)) [required for Stock and Future]',
    `hedgeSecKey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'autohedge instrument (can be a TickerKey (stock) or ExpiryKey (future)) [required for Stock and Future]',
    `hedgeSecKey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'autohedge instrument (can be a TickerKey (stock) or ExpiryKey (future)) [required for Stock and Future]',
    `orderSize` INT NOT NULL DEFAULT 0 COMMENT 'working size (from parentBrkrState.orderSize) (sum of all individual orders; in cn/share terms)',
    `orderActiveSize` INT NOT NULL DEFAULT 0 COMMENT 'order active size (from parentBrkrState.orderActiveSize) (sum of all individual orders; in cn/share terms)',
    `numActiveBrkrs` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'number of parent order legs with leg.activeSize > leg.cumFillQty',
    `numAvailLegBrkrs` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'number of parent order legs created',
    `cumFillQty` DOUBLE NOT NULL DEFAULT 0 COMMENT 'in LeggerLimitType terms',
    `avgFillPrc` DOUBLE NOT NULL DEFAULT 0,
    `activeSprdSize` DOUBLE NOT NULL DEFAULT 0 COMMENT 'active size (sum of all individual orders; in ratio type terms)',
    `legStatus` TINYTEXT NOT NULL DEFAULT '',
    `targetState` ENUM('None','Take','Post') NOT NULL DEFAULT 'None',
    `targetSprdSize` FLOAT NOT NULL DEFAULT 0,
    `targetLimitPrice` FLOAT NOT NULL DEFAULT 0,
    `bestBidPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'leg best bid price (in terms of limit type)',
    `bestAskPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'leg best ask price',
    `bestBidSize` FLOAT NOT NULL DEFAULT 0 COMMENT 'leg best bid size (in terms of ratio type)',
    `bestAskSize` FLOAT NOT NULL DEFAULT 0 COMMENT 'leg best ask size',
    `numNewOrders` INT NOT NULL DEFAULT 0 COMMENT 'number of parent orders published',
    `numLimitUpdates` INT NOT NULL DEFAULT 0 COMMENT 'number of parent limit messages published',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    PRIMARY KEY USING HASH (`orderNumber`,`side`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='';

SELECT TABLE EXAMPLE QUERY

SELECT
    `orderNumber`,
    `side`,
    `spdrSource`,
    `accnt`,
    `clientFirm`,
    `secKey_at`,
    `secKey_ts`,
    `secKey_tk`,
    `secKey_yr`,
    `secKey_mn`,
    `secKey_dy`,
    `secKey_xx`,
    `secKey_cp`,
    `secType`,
    `ratio`,
    `ratioType`,
    `legPriority`,
    `legLimitType`,
    `posType`,
    `ssaleFlag`,
    `hedgeInstrument`,
    `hedgeSecKey_at`,
    `hedgeSecKey_ts`,
    `hedgeSecKey_tk`,
    `hedgeSecKey_yr`,
    `hedgeSecKey_mn`,
    `hedgeSecKey_dy`,
    `orderSize`,
    `orderActiveSize`,
    `numActiveBrkrs`,
    `numAvailLegBrkrs`,
    `cumFillQty`,
    `avgFillPrc`,
    `activeSprdSize`,
    `legStatus`,
    `targetState`,
    `targetSprdSize`,
    `targetLimitPrice`,
    `bestBidPrc`,
    `bestAskPrc`,
    `bestBidSize`,
    `bestAskSize`,
    `numNewOrders`,
    `numLimitUpdates`,
    `timestamp`
FROM `SRTrade`.`MsgSRPairLeggerLegState`
WHERE 
    /* Replace with a BIGINT */ 
    `orderNumber` = 1234567890
  AND
    /* Replace with a ENUM('None','Buy','Sell') */ 
    `side` = 'None';

Doc Columns Query

SELECT * FROM SRTrade.doccolumns WHERE TABLE_NAME='SRPairLeggerLegState' ORDER BY ordinal_position ASC;