SRRiskExecution

V8 Message Definiton

SpdrRiskExecution records are published every time a SpdrParentExecution record is published

METADATA

Attribute	Value
Topic	2270-execution-engine
MLink Token	ClientTrading
Product	SRTrade
accessType	SELECT
MLink Endpoint	MLink-Order

Table Definition

Field	Type	Key	Default Value	Comment
fillNumber	BIGINT	PRI	0	SpiderRock execution number globally unique over trailing 10 days
sysRealm	enum - SysRealm		'None'
sysEnvironment	enum - SysEnvironment		'None'	original source sys environment Stable Current etc
runStatus	enum - RunStatus		'None'	original source run status ProdBeta
version	TINYINT UNSIGNED		0	record version numberstarts at zero and goes up every time an execution record is republished eg bust 1m marks 10m marks etc
execStatus	enum - ExecStatus		'None'	SpiderRock execution status FillBustCorrectRejectSysRej
execShape	enum - ExecShape		'None'
packageId	BIGINT		0	SR package Id
parentNumber	CHAR(19)		'0000-0000-0000-0000'	SR parent number
parentVersion	SMALLINT		0	SPDR order instance number 1 original order 2 1st cancelreplace etc
baseParentNumber	CHAR(19)		'0000-0000-0000-0000'	SPDR order number initial number in cancelreplace sequence also source parent for dynamically generated orderseg autohedges
clOrdId	CHAR(19)		'0000-0000-0000-0000'	SR child order clOrdID resulting in fill
riskGroupId	CHAR(19)		'0000-0000-0000-0000'	riskGroupId parent order group ID for this execution report
parentShape	enum - SpdrOrderShape		'None'	shape of originating parent order
secKey_at	enum - AssetType		'None'	execution security key
secKey_ts	enum - TickerSrc		'None'	execution security key
secKey_tk	VARCHAR(12)		''	execution security key
secKey_yr	SMALLINT UNSIGNED		0	execution security key
secKey_mn	TINYINT UNSIGNED		0	execution security key
secKey_dy	TINYINT UNSIGNED		0	execution security key
secKey_xx	DOUBLE		0	execution security key
secKey_cp	enum - CallPut		'Call'	execution security key
secType	enum - SpdrKeyType		'None'	execution security type Stock Future Option
ticker_at	enum - AssetType		'None'	base stock key used for symbol risk aggregation
ticker_ts	enum - TickerSrc		'None'	base stock key used for symbol risk aggregation
ticker_tk	VARCHAR(12)		''	base stock key used for symbol risk aggregation
accnt	VARCHAR(16)	SEC	''	SpiderRock trading accnt broker pkey
clientFirm	VARCHAR(16)	SEC	''	SR client firm
spdrSource	enum - SpdrSource		'None'	SpiderRock parent order source code broker pkey
groupingCode	CHAR(19)		'0000-0000-0000-0000'	SpiderRock parent broker number broker pkey
engineName	VARCHAR(32)		''	SpiderRock execution engine that handled the parent order
execRole	enum - ExecRole		'None'	SpiderRock relationship to this execution record
childOrderHandling	VARCHAR(24)		''	child order handling string from the algo that generated the child order responsible for this fill
childAlgoHandler	enum - ChildHandler		'None'	algo handler for this child order
childSSaleFlag	enum - ShortSaleFlag		'None'	short sale flag
userName	VARCHAR(24)		''	user name associated with the parent order
orderSide	enum - BuySell		'None'	order side
spdrOrderStatus	enum - SpdrOrderStatus		'PendNew'
spdrCloseReason	enum - SpdrCloseReason		'None'
cumFillQuantity	INT		0	cumulative fills this parent number only
avgFillPrice	DOUBLE		0
cumLegFillQuantity	INT		0	cumulative fills spread only
avgLegFillPrice	DOUBLE		0
leavesQty	INT		0
priceType	enum - PriceType		'None'
firmType	enum - FirmType		'None'	child order firm type Customer ProCust Firm MM etc
priAggGroup	VARCHAR(16)		''	primary aggregation group
secAggGroup	VARCHAR(16)		''	secondary aggregation group
fillTransactDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	transaction datetime as reported by exchange or down stream broker
fillDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	Datetime of fill arrival SRDateTime
fillExch	VARCHAR(12)		''	ExDest code from child order execution report
fillExecId	TINYTEXT		''	street side execution Id
fillExecRefId	TINYTEXT		''	street side execution ref Id only used when busting an execution
fillLegRefId	BIGINT		0	legRefId for multileg fills
fillLegRatio	INT		0	legRatio if spread order
fillExchFee	FLOAT		0	SpiderRock estimate of the exchange fee based on liquidity tags best effort
fillMarket	VARCHAR(8)		''	usually from execReportlastMkt as reported by child order venue
fillPrice	DOUBLE		0	fill price
fillQuantity	INT		0	fill quantity
fillBid	DOUBLE		0	market bid fill arrival
fillAsk	DOUBLE		0	market ask fill arrival
fillMark	DOUBLE		0	midmarket or SR surface price if option fill arrival
fillUBid	DOUBLE		0	underlier market bid fill arrival
fillUAsk	DOUBLE		0	underlier market bid fill arrival
fillVol	FLOAT		0	fill volatility fillLimitRefUPrc
fillVe	FLOAT		0	fill vega
fillGa	FLOAT		0	fill gamma
fillDe	FLOAT		0	fill delta
fillTh	FLOAT		0	fill theta
fillBeta	FLOAT		0	SpiderRock estimate of beta to SPX
riskVega	FLOAT		0	risk vega
riskWtVega	FLOAT		0	risk gamma
riskNValue	FLOAT		0	risk delta
riskDelta	FLOAT		0	risk delta
riskDVanna	FLOAT		0	risk vanna signed delta change per 1 vol point
riskDDelta	FLOAT		0	risk ddelta
riskRm1	FLOAT		0	user defined from parent order used to manage order groups
riskRm2	FLOAT		0	user defined from parent order used to manage order groups
riskRm3	FLOAT		0	user defined from parent order used to manage order groups
riskRm4	FLOAT		0	user defined from parent order used to manage order groups
riskRm5	FLOAT		0	user defined from parent order used to manage order groups
riskRm6	FLOAT		0	user defined from parent order used to manage order groups
riskRm7	FLOAT		0	user defined from parent order used to manage order groups
marginUDnVDn	FLOAT		0	underlier down vol down
marginUDnVUp	FLOAT		0	underlier down vol up
marginUUpVDn	FLOAT		0	underlier up vol down
marginUUpVUp	FLOAT		0	underlier up vol up
riskU50Dn	FLOAT		0	underlier dn 50 shock slide
riskU50Up	FLOAT		0	underlier up 50 shock slide
years	FLOAT		0	years to expiration
underliersPerCn	INT		0	option delivery underliers per contract
underlierType	enum - UnderlierType		'None'	type of underlier affects greek calculations
tickValue	FLOAT		0	NLV value of a single tick change in display premium pointValue tickValue tickSize
pointValue	FLOAT		0	NLV value of a single point change in display premium pointValue tickValue tickSize
pointCurrency	enum - Currency		'None'
uPrcRatio	FLOAT		0	UPrcRatio SymbolRatio from product definition
minTickSize	FLOAT		0	minimum market price variation dnTickSize if on a boundary
priceFormat	enum - PriceFormat		'None'	SpiderRock price display format code
uPriceFormat	enum - PriceFormat		'None'	SpiderRock underlier price display format code
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	timestamp of this record not necessarily the timestamp of the fill itself

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
fillNumber	1

SECONDARY INDEX (AccntIndex) (Not Unique)

Field	Sequence
accnt	1

SECONDARY INDEX (ClientFirmIndex) (Not Unique)

Field	Sequence
clientFirm	1

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRTrade`.`MsgSRRiskExecution`
WHERE 
    /* Replace with a BIGINT */ 
    `fillNumber` = 1234567890;

Doc Columns Query

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