SRPairLeggerOrder

V8 Message Definiton

METADATA

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

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'
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 StrikeVol
leggerAlgo	enum - LeggerAlgo		'None'
legRatioType	enum - LegRatioType		'None'	vega ve qty pv wVega vol ve qty pv tVega ve Max4 years 01 qty pv wtVega vol ve Max4 years 01 qty pv
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 more than 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
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 note if there are no lead legs the first leg in the list will be treated as the lead leg
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

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRTrade`.`MsgSRPairLeggerOrder`
WHERE 
    /* Replace with a CHAR(19) */
    `orderNumber` = 'Example_orderNumber';

Doc Columns Query

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