ToolCompositeExecution

V8 Message Definiton

METADATA

Attribute	Value
Topic	3480-mlink-custom
MLink Token	ClientTrading
Product	SRTrade
accessType	SELECT
MLink Endpoint	MLink-Order

Table Definition

Field	Type	Key	Default Value	Comment
fillNumber	CHAR(19)	PRI	'0000-0000-0000-0000'	SpiderRock execution number globally unique over trailing 10 days
tradeDate	DATE		'1900-01-01'	trade date
accnt	VARCHAR(16)	SEC	''	SpiderRock Accnt Code
clientFirm	VARCHAR(16)	SEC	''	SpiderRock ClientFirm Code
secKey_at	enum - AssetType		'None'	Security Key can be partially filled in look at secType
secKey_ts	enum - TickerSrc		'None'	Security Key can be partially filled in look at secType
secKey_tk	VARCHAR(12)		''	Security Key can be partially filled in look at secType
secKey_yr	SMALLINT UNSIGNED		0	Security Key can be partially filled in look at secType
secKey_mn	TINYINT UNSIGNED		0	Security Key can be partially filled in look at secType
secKey_dy	TINYINT UNSIGNED		0	Security Key can be partially filled in look at secType
secKey_xx	DOUBLE		0	Security Key can be partially filled in look at secType
secKey_cp	enum - CallPut		'Call'	Security Key can be partially filled in look at secType
secType	enum - SpdrKeyType		'None'	Security Type Stock Future Option
side	enum - BuySell		'None'	order execution side
version	TINYINT UNSIGNED		0	record version number starts at zero and goes up every time an execution record is republished eg bust 1m marks 10m marks etc
parentNumber	CHAR(19)		'0000-0000-0000-0000'	SpiderRock parent number
baseParentNumber	CHAR(19)		'0000-0000-0000-0000'	SpiderRock base parent number
spdrSource	enum - SpdrSource		'None'	SpiderRock parent order source code broker pkey
groupingCode	CHAR(19)		'0000-0000-0000-0000'	SpiderRock parent broker number broker pkey
riskGroupId	CHAR(19)		'0000-0000-0000-0000'	riskGroupId parent order group ID for this execution report
altOrderId	VARCHAR(24)		''	alternate order ID usually clOrdId from client
srcRoutingCode	TINYTEXT		''	inbound FIX routing code if any
userName	VARCHAR(24)		''	SpiderRock user name associated with the parent order
server	VARCHAR(20)		''	SpiderRock execution engine that handled the parent order
ticker_at	enum - AssetType		'None'	SpiderRock underlier ticker key synthetic for futures
ticker_ts	enum - TickerSrc		'None'	SpiderRock underlier ticker key synthetic for futures
ticker_tk	VARCHAR(12)		''	SpiderRock underlier ticker key synthetic for futures
sector	VARCHAR(16)		''	user supplied sector code from SymbolControl record
clientTags	TINYTEXT		''
indNum	INT		0	ind code 00
subNum	INT		0	sub code 0000
grpNum	INT		0	grp code 000000
nbrNum	INT		0	nbr code 00000000
expCode	enum - ExpCode		'None'	expiration tenor code
skewCode	enum - SkewCode		'None'	strike skew code parent order arrival
widthCode	enum - WidthCode		'None'	market width code
priceFormat	enum - PriceFormat		'None'	SpiderRock price display format code
uPriceFormat	enum - PriceFormat		'None'	SpiderRock underlier price display code
years	FLOAT		0	years to expiration parent order arrival
underlierType	enum - UnderlierType		'None'	underlier type affects greek calcs
minTickSize	FLOAT		0	NLV value of a single tick change in display premium pointValue tickValue tickSize
pointValue	FLOAT		0	NLV value of a point
pointCurrency	enum - Currency		'None'
underliersPerCn	INT		0	underliers per contract futures and options
parentShape	enum - SpdrOrderShape		'None'	parent order shape Single MLeg etc
parentLimitType	enum - SpdrLimitType		'None'	parent order limit type Vol VolX PrcDe PrcDeX etc
parentLimitClass	enum - SpdrLimitClass		'Simple'	parent order limit class makeLimitClass if fill was from making takeLimitClass if fill was from taking
parentOrderHandling	enum - ParentOrderHandling		'None'	base parent order algo take style algo
parentBalanceHandling	enum - ParentBalanceHandling		'None'	base parent order balance handling make style algo
parentOrderSize	INT		0	parent order size
parentDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	Datetime of parent order arrival
parentUMark	DOUBLE		0	underlier mid mark parent order arrival options only
parentBid	DOUBLE		0	market bid parent order arrival
parentAsk	DOUBLE		0	market ask parent order arrival
parentFairPrc	FLOAT		0	SpiderRock fair price parent order arrival
parentFairWidth	FLOAT		0	SpiderRock fair width parent order arrival
parentLimitPrc	DOUBLE		0	parent order limit price parent order arrival
parentLimitRefUPrc	DOUBLE		0	limit reference underlier price parent order arrival options only
parentSSaleFlag	enum - ShortSaleFlag		'None'	parent order short sale flag can be Auto
parentPositionType	enum - PositionType		'None'	parent order position type can be Auto
parentStrategy	VARCHAR(36)		''	parent strategy usually client supplied
parentAutoHedge	enum - AutoHedge		'None'	SpiderRock autohedge algorithm if any
childDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	child order send datetime if any
childClOrdId	VARCHAR(24)		''	child order clOrdId resulting in fill if any
childRoutingCode	TINYTEXT		''	SpiderRock child order routing code if any
childSize	INT		0	child order size
childPrice	DOUBLE		0	child order price
childExch	VARCHAR(6)		''	child order exchange code SpiderRock
childExDest	VARCHAR(16)		''	child order exchange code downstream
childUPrc	DOUBLE		0	underlier market price child order send time
childBid	DOUBLE		0	market bid child order send time
childAsk	DOUBLE		0	market ask child order send time
childFairPrc	FLOAT		0	SpiderRock fair price child order send time
childFairWidth	FLOAT		0	SpiderRock fair width child order send time
childVol	FLOAT		0	child order volatilty options only
childProb	FLOAT		0	child order probability Tx
childLimitPrc	DOUBLE		0	parent order limit price child order send time
childLimitRefUPrc	DOUBLE		0	limit reference underlier price child order send time options only
childAlgoHandler	enum - ChildHandler		'None'	algo that generated the child order responsible for this fill
childOrderHandling	VARCHAR(24)		''	algo handler detail string
childCreateReason	enum - ChildCreateReason		'None'	child order create code
childCancelReason	enum - ChildCancelReason		'None'	child order cancel code if any
childMktStance	enum - MktStance		'None'	child order was expected to be marketable child send time
childCxlAttempted	enum - YesNo		'None'	cancel attempt was made on the child order prior to receiving this fill
childSSaleFlag	enum - ShortSaleFlag		'None'	child order short sale flag
childPositionType	enum - PositionType		'None'	child order position type
childFirmType	enum - FirmType		'None'	chld order firm type Customer ProCust Firm MM etc
childCapacity	enum - OrderCapacity		'None'	child order capacity
fillExch	VARCHAR(12)		''	ExDest code from child order execution report lastMkt
fillPrice	DOUBLE		0	fill price
fillDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	Datetime of fill arrival
fillSize	INT		0	fill quantity
fillPointValue	INT		0	fill size x pointValue
fillVol	FLOAT		0	fill volatilty options only
fillProb	FLOAT		0	fill order probability Tx
fillLimitPrc	DOUBLE		0	parent order limit price fill arrival time
fillLimitRefUPrc	DOUBLE		0	limit reference underlier price fill arrival time options only
fillUPrc	DOUBLE		0	fill underlier midmarket
fillBeta	FLOAT		0	SpiderRock estimate of beta to SPX
fillTv	FLOAT		0	theo vol user supplied
fillTp	FLOAT		0	theo price
fillBid	DOUBLE		0	option market bid fill arrival
fillAsk	DOUBLE		0	option market ask fill arrival
fillFairPrc	FLOAT		0	SpiderRock fair price fill arrival
fillFairWidth	FLOAT		0	SpiderRock fair width fill arrival
fillBrkrRate	FLOAT		0	billing brokerage rate tier 1
fillRoutingRate	FLOAT		0	billing routing rate tier 1
fillOrigExecID	VARCHAR(20)		''	original execution ID string child order
fillLastExecID	VARCHAR(20)		''	most recent execution ID same as origExecID unless CANCELCORRECTION has been processed
fillExecStatus	enum - ExecStatus		'None'	SpiderRock execution status FillBustCorrectRejectSysRej
fillRemoteText	VARCHAR(64)		''	text comment from endpoint if any
fillTransactDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	transaction datetime as reported by exchange or down stream broker
fillLiquidityTag	VARCHAR(2)		''	SpiderRock normalized exch liquidity tag
fillExchFee	FLOAT		0	SpiderRock exchange fee estimate
fillDe	FLOAT		0
fillGa	FLOAT		0
fillVe	FLOAT		0
execRole	enum - ExecRole		'None'	SpiderRock relationship to this execution record Direct Drop etc
execBrkrCode	VARCHAR(16)		''	exec broker acronym usually an MPID
execBrkrAccnt	VARCHAR(16)		''	account at executing broker if any
execBrkrClFirm	VARCHAR(16)		''	clientfirm at executing broker if any
execBrkrUserName	VARCHAR(16)		''	user executing broker if any
clearingFlipType	enum - FlipType		'None'	type of clearing corp delivery
clearingFlipFirm	VARCHAR(6)		''	deliverTo clearing member eg OCC NSCC MPID or InstitutionID
clearingFlipAccnt	VARCHAR(10)		''	deliverTo client account eg OCC AID or a DVP FBO code
clearingAgent	VARCHAR(10)		''	deliverTo agent eg DVP Agent Bank ID
clearingTaxID	VARCHAR(10)		''	deliverTo taxID eg DVP TaxID
billingSecType	enum - BillingSecType		'None'	SpiderRock billing security type
billingCategory	enum - BillingCategory		'None'	SpiderRock billing category
priAggGroup	VARCHAR(16)		''	primary aggregation group
secAggGroup	VARCHAR(16)		''	secondary aggregation group
trdDelta	FLOAT		0	trade delta
trdDDelta	FLOAT		0	trade delta
trdGamma	FLOAT		0	trade gamma
trdDGamma	FLOAT		0	trade dollar gamma
trdVega	FLOAT		0	trade vega
trdWtVega	FLOAT		0	trade wtVega vega vol sqrtmax01 years 4
trdTheta	FLOAT		0	trade theta
trdBeta	FLOAT		0	trade beta
trdDBeta	FLOAT		0	trade beta
trdNotionalValue	FLOAT		0	cn pointValue uPrc
trdMarketValue	FLOAT		0	cn pointValue fillPrice
marginUDnVDn	FLOAT		0	Aggregate RiskSlide uPrc dn vol dn
marginUDnVUp	FLOAT		0	Aggregate RiskSlide uPrc dn vol up
marginUUpVDn	FLOAT		0	Aggregate RiskSlide uPrc up vol dn
marginUUpVUp	FLOAT		0	Aggregate RiskSlide uPrc up vol up
trdFairEdge	FLOAT		0	SR trade edge fill price to SR fair price
trdFairEdgeUnit	FLOAT		0	SR trade edge normalized to 100 underlier
trdTheoEdge	FLOAT		0	theo edge user supplied theo volprc to SpiderRock surface price if any
trdTheoEdgeUnit	FLOAT		0	theo edge normalized to 100 underlier
clArrivePnL	FLOAT		0	arrival PnL client arrival mark to fill mark from clArriveMark on parent order if any
arrivePnL	FLOAT		0	arrival PnL parent arrival mark to fill mark
arriveDnPnL	FLOAT		0	arrival Dn PnL arrivalPnL uDriftArrivalPnL
uDriftArrivePnL	FLOAT		0	underlier delta drift PnL arrival uMark to fill uMark
childLimitSlip	FLOAT		0	Fill Slippage ChildLimitPrice to FillPrice
halfWidthPnL	FLOAT		0	estimated halfwidth PnL
dayDnPnL	FLOAT		0	delta neutral PnL to EOD
dayM1PnL	FLOAT		0	delta neutral PnL Fill 1M
dayM10PnL	FLOAT		0	delta neutral PnL Fill 10M
uDriftDayPnL	FLOAT		0	underlier delta drift PnL to EOD
uDriftM1PnL	FLOAT		0	underlier delta drift PnL Fill 1M
uDriftM10PnL	FLOAT		0	underlier delta drift PnL Fill 10M
dayPnL	FLOAT		0	actual PnL to EOD fillMark to liveMark
m1Mark	DOUBLE		0	T1min
m1UPrc	DOUBLE		0	T1min
m10Mark	DOUBLE		0	T10min
m10UPrc	DOUBLE		0	T10min
liveMark	DOUBLE		0	Live Record Query
liveUPrc	DOUBLE		0	Live Record Query
trdMarkError	VARCHAR(8)		''	trade mark error code
dayMarkError	VARCHAR(8)		''	day mark error code
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	SR system timestamp

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`.`MsgToolCompositeExecution`
WHERE 
    /* Replace with a CHAR(19) */
    `fillNumber` = 'Example_fillNumber';

Doc Columns Query

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