SRPairLeggerState

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	CHAR(19)	PRI	'0000-0000-0000-0000'	pair legger order number should be an SR Guid
spdrSource	enum - SpdrSource		'None'
accnt	VARCHAR(16)		''	SR trading account
clientFirm	VARCHAR(16)		''	SR client firm
pairCtrlState	enum - PairCtrlState		'None'
pairState	enum - PairState		'None'
strategy	VARCHAR(36)		''	clientsupplied strategy string visible on SpiderRock GUI tools and other order reports
userName	VARCHAR(24)		''	name of the user entering the order
orderSize	INT		0	pair size number of complete spreads
leggerLimit	DOUBLE		0	pair limit
leggerLimitType	enum - LeggerLimitType		'None'	pair limit type stock Price future Price optExpiry AtmVol only option Price or StrikeVol
leggerAlgo	enum - LeggerAlgo		'None'
legRatioType	enum - LegRatioType		'None'
numAtmStrikes	SMALLINT UNSIGNED		0	number of OptExpiry atm strikes max 6
legExposurePct	FLOAT		0	percentage of legger order size than can be exposed on a single leg without completing related legs
legCompletionSlippage	DOUBLE		0	maximum leg slippage to complete an open pair order in leggerLimitType units
marketSession	enum - MarketSession		'None'
orderDuration	INT		0	optional number of seconds
goodTillDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	optional default 20990101
maxMktPctMove	DOUBLE		0	optional if any leg stock price future price or option underlier price moves move that maxMktPctMove from values at order activation then the entire order will be automatically put on hold
autoHedge	enum - AutoHedge		'None'	only for optExpiryoptExpiry and optionoption pairs
hedgeSession	enum - MarketSession		'None'
userData1	TINYTEXT		''	client supplied data field passes through to parent and child executions and reports as well as FIX drops
userData2	TINYTEXT		''	client supplied data field passes through to parent and child executions and reports as well as FIX drops
childData	TINYTEXT		''	client supplied data field passes through to down stream child orders
pairStatus	enum - PairStatus		'None'
pairDetail	TINYTEXT		''
cumSquareFillQty	INT		0
cumPartialFillQty	INT		0
avgSquareFillPrc	DOUBLE		0
pairBidPx	DOUBLE		0	synthetic pair bid from individual leg markets
pairAskPx	DOUBLE		0	synthetic pair ask from individual leg markets
pairBidSz	DOUBLE		0
pairAskSz	DOUBLE		0
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'
LegsList	JSON		'JSON_ARRAY()'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
orderNumber	1

JSON Block (LegsList)

Field	Type	Comment
secKey	enum - secKey	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	note stockstock stockfuture futurefuture optExpiryoptExpiry or optionoption are allowed
ratio	enum - ratio	leg ratio note can be in shares contracts vega wvega tvega or wtvega terms optExpiry must be in one of the xVega choices
legPriority	enum - LegPriority	Lead legs fill first
posType	enum - PositionType	note must be Auto for optExpiry not required for stock
ssaleFlag	enum - ShortSaleFlag	only for stock legs and autohedging
hedgeInstrument	enum - HedgeInst
hedgeSecKey	enum - hedgeSecKey	autohedge instrument can be a TickerKey stock or ExpiryKey future required for Stock and Future
orderSize	enum - orderSize	working size from parentBrkrStateorderSize sum of all individual orders in cnshare terms
orderActiveSize	enum - orderActiveSize	order active size from parentBrkrStateorderActiveSize sum of all individual orders in cnshare terms
numActiveBrkrs	enum - numActiveBrkrs	number of parent order legs with legactiveSize legcumFillQty
numAvailLegBrkrs	enum - numAvailLegBrkrs	number of parent order legs created
cumFillQty	enum - cumFillQty	in LeggerLimitType terms
avgFillPrc	enum - avgFillPrc
activeSprdSize	enum - activeSprdSize	active size sum of all individual orders in ratio type terms
legStatus	enum - legStatus
targetState	enum - LeggerTargetState
targetSprdSize	enum - targetSprdSize
targetLimitPrice	enum - targetLimitPrice
bestBidPrc	enum - bestBidPrc	leg best bid price in terms of limit type
bestAskPrc	enum - bestAskPrc	leg best ask price
bestBidSize	enum - bestBidSize	leg best bid size in terms of ratio type
bestAskSize	enum - bestAskSize	leg best ask size
numNewOrders	enum - numNewOrders	number of parent orders published
numLimitUpdates	enum - numLimitUpdates	number of parent limit messages published

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRTrade`.`MsgSRPairLeggerState` (
    `orderNumber` CHAR(19) NOT NULL DEFAULT '0000-0000-0000-0000' COMMENT 'pair legger order number (should be an SR Guid)',
    `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','RiskDrop','PolicyOpn','PolicyTrd','PolicyExe') NOT NULL DEFAULT 'None',
    `accnt` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'SR trading account',
    `clientFirm` VARCHAR(16) NOT NULL DEFAULT '' COMMENT 'SR client firm',
    `pairCtrlState` ENUM('None','Preview','AddUpdate','Hold','Cancel') NOT NULL DEFAULT 'None',
    `pairState` ENUM('None','Preview','Working','PendWork','Closed','PendClose','Suspended','Rejected') NOT NULL DEFAULT 'None',
    `strategy` VARCHAR(36) NOT NULL DEFAULT '' COMMENT 'client-supplied strategy string; visible on SpiderRock GUI tools and other order reports.',
    `userName` VARCHAR(24) NOT NULL DEFAULT '' COMMENT 'name of the user entering the order',
    `orderSize` INT NOT NULL DEFAULT 0 COMMENT 'pair size (number of complete spreads)',
    `leggerLimit` DOUBLE NOT NULL DEFAULT 0 COMMENT 'pair limit',
    `leggerLimitType` ENUM('None','Prc','StrikeVol','AtmVol') NOT NULL DEFAULT 'None' COMMENT 'pair limit type (stock: Price, future: Price, optExpiry: AtmVol only, option: Price or StrikeVol)',
    `leggerAlgo` ENUM('None','LegHidden','LegOutLoud') NOT NULL DEFAULT 'None',
    `legRatioType` ENUM('None','Qty','Vega','WVega','TVega','WtVega') NOT NULL DEFAULT 'None',
    `numAtmStrikes` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'number of OptExpiry atm strikes [max 6]',
    `legExposurePct` FLOAT NOT NULL DEFAULT 0 COMMENT 'percentage of legger order size than can be exposed on a single leg without completing related legs',
    `legCompletionSlippage` DOUBLE NOT NULL DEFAULT 0 COMMENT 'maximum leg slippage to complete an open pair order (in leggerLimitType units)',
    `marketSession` ENUM('None','PreMkt','RegMkt','PostMkt','PreRegMkt','RegPostMkt','AllDay') NOT NULL DEFAULT 'None',
    `orderDuration` INT NOT NULL DEFAULT 0 COMMENT '[optional] (number of seconds)',
    `goodTillDttm` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT '[optional] (default: 2099-01-01)',
    `maxMktPctMove` DOUBLE NOT NULL DEFAULT 0 COMMENT '[optional] if any leg stock price, future price, or option underlier price moves move that maxMktPctMove from values at order activation then the entire order will be automatically put on hold',
    `autoHedge` ENUM('None','Static','AutoMid','AutoCrx','AutoTrn','SpdrAuto','Spdr10S','Spdr30S','Spdr90S','Spdr5M','Spdr30M','SpdrDay','SmartFast','SmartNorm','FastCrx','FastDark','SlowDark','AlphaVwap1pct','AlphaVwap2pct','AlphaVwap5pct','AlphaVwap25pct','Custom','AwayAlgo','EuMsAlgo','Policy') NOT NULL DEFAULT 'None' COMMENT 'only for optExpiry/optExpiry and option/option pairs',
    `hedgeSession` ENUM('None','PreMkt','RegMkt','PostMkt','PreRegMkt','RegPostMkt','AllDay') NOT NULL DEFAULT 'None',
    `userData1` TINYTEXT NOT NULL DEFAULT '' COMMENT 'client supplied data field; passes through to parent and child executions and reports as well as FIX drops',
    `userData2` TINYTEXT NOT NULL DEFAULT '' COMMENT 'client supplied data field; passes through to parent and child executions and reports as well as FIX drops',
    `childData` TINYTEXT NOT NULL DEFAULT '' COMMENT 'client supplied data field; passes through to down stream child orders',
    `pairStatus` ENUM('None','PreviewCreated','LeggerCreated','LeggerUpdated','Exception','UpdtError','LegBrkrClosed','LegBrkrReject','LegBrkrTimeout','LeggerCancel','LeggerFilled','LeggerExpired','LeggerReject','PreviewReject') NOT NULL DEFAULT 'None',
    `pairDetail` TINYTEXT NOT NULL DEFAULT '',
    `cumSquareFillQty` INT NOT NULL DEFAULT 0,
    `cumPartialFillQty` INT NOT NULL DEFAULT 0,
    `avgSquareFillPrc` DOUBLE NOT NULL DEFAULT 0,
    `pairBidPx` DOUBLE NOT NULL DEFAULT 0 COMMENT 'synthetic pair bid (from individual leg markets)',
    `pairAskPx` DOUBLE NOT NULL DEFAULT 0 COMMENT 'synthetic pair ask (from individual leg markets)',
    `pairBidSz` DOUBLE NOT NULL DEFAULT 0,
    `pairAskSz` DOUBLE NOT NULL DEFAULT 0,
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    `LegsList` JSON NOT NULL DEFAULT JSON_ARRAY() CHECK(JSON_VALID(LegsList)),
    CONSTRAINT nonnegative_orderNumber CHECK(ASCII(orderNumber) < 56),
    PRIMARY KEY USING HASH (`orderNumber`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='';

SELECT TABLE EXAMPLE QUERY

SELECT
    `orderNumber`,
    `spdrSource`,
    `accnt`,
    `clientFirm`,
    `pairCtrlState`,
    `pairState`,
    `strategy`,
    `userName`,
    `orderSize`,
    `leggerLimit`,
    `leggerLimitType`,
    `leggerAlgo`,
    `legRatioType`,
    `numAtmStrikes`,
    `legExposurePct`,
    `legCompletionSlippage`,
    `marketSession`,
    `orderDuration`,
    `goodTillDttm`,
    `maxMktPctMove`,
    `autoHedge`,
    `hedgeSession`,
    `userData1`,
    `userData2`,
    `childData`,
    `pairStatus`,
    `pairDetail`,
    `cumSquareFillQty`,
    `cumPartialFillQty`,
    `avgSquareFillPrc`,
    `pairBidPx`,
    `pairAskPx`,
    `pairBidSz`,
    `pairAskSz`,
    `timestamp`,
    `LegsList`
FROM `SRTrade`.`MsgSRPairLeggerState`
WHERE 
    /* Replace with a CHAR(19) */
    `orderNumber` = 'Example_orderNumber';

Doc Columns Query

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