SRParentBrkrEvent

V8 Message Definiton

SpdrParentBrkrEvent records are published when a new or cxl/replace parent order arrives causes a broker to begin working and again when a parent order terminates and the underlying broker stops working. The initial version contains state and market data from just after the initial risk check and first attempt at generating child orders.

METADATA

Attribute	Value
Topic	3985-parent-orders
MLink Token	ClientTrading
Product	SRTrade
accessType	SELECT
MLink Endpoint	MLink-Order

Table Definition

Field	Type	Key	Default Value	Comment
parentNumber	CHAR(19)	PRI	'0000-0000-0000-0000'
recType	enum - EventRecType	PRI	'New'	type of record NewModifyReplaceCloseReject
secKey_at	enum - AssetType		'None'
secKey_ts	enum - TickerSrc		'None'
secKey_tk	VARCHAR(12)		''
secKey_yr	SMALLINT UNSIGNED		0
secKey_mn	TINYINT UNSIGNED		0
secKey_dy	TINYINT UNSIGNED		0
secKey_xx	DOUBLE		0
secKey_cp	enum - CallPut		'Call'
secType	enum - SpdrKeyType		'None'
accnt	VARCHAR(16)		''
spdrSource	enum - SpdrSource		'None'
groupingCode	CHAR(19)		'0000-0000-0000-0000'
orderSide	enum - BuySell		'None'
clientFirm	VARCHAR(16)		''	SR client firm code
altAccnt	TINYTEXT		''	alternate client assigned long account string optional
altUserName	VARCHAR(24)		''	alternate client assigned user name optional
eventNumber	SMALLINT UNSIGNED		0
stageType	enum - SpdrStageType		'None'	parent is a staged order ToolVisible
stageReview	enum - StageReview		'None'
baseParentNumber	CHAR(19)		'0000-0000-0000-0000'	SPDR order number initial number in cancelreplace sequence also source parent for dynamically generated orderseg autohedges
prevParentNumber	BIGINT		0	SPDR order number order being cancelledreplaced zero if none
engineName	TINYTEXT		''	server stripe
ticker_at	enum - AssetType		'None'	SpiderRock underlier stock key
ticker_ts	enum - TickerSrc		'None'	SpiderRock underlier stock key
ticker_tk	VARCHAR(12)		''	SpiderRock underlier stock key
spdrBrokerStatus	enum - SpdrBrokerStatus		'None'
strategyAccnt	VARCHAR(16)		''	SR strategy account option if exists will be validated
spdrOrderStatus	enum - SpdrOrderStatus		'PendNew'	parent order status
spdrCloseReason	enum - SpdrCloseReason		'None'	parent order close reason if closed
spdrRejectReason	enum - SpdrRejectReason		'None'	parent order reject reason if any
spdrComment	TINYTEXT		''	additional detail closereject reason last child order error
bidPrc	DOUBLE		0	bid nbbo price record publish
askPrc	DOUBLE		0	ask nbbo price record publish
bidIVol	FLOAT		0	bid nbbo ivol record publish
askIVol	FLOAT		0	ask nbbo ivol record publish
bidSize	INT		0	bid size nbbo cum record publish
askSize	INT		0	ask size nbbo cum record publish
uBid	DOUBLE		0	underlier bid price record publish options only
uAsk	DOUBLE		0	underlier ask price record publish options only
surfacePrc	FLOAT		0	SR surface price record publish
surfaceVol	FLOAT		0	SR surface volatility record publish
surfaceYrs	FLOAT		0	SR surface calc value record publish
surfaceSDiv	FLOAT		0	SR surface calc value record publish
surfaceRate	FLOAT		0	SR surface calc value record publish
surfaceUPrc	FLOAT		0	SR surface calc value record publish
surfaceDe	FLOAT		0	SR surface calc value record publish
surfaceGa	FLOAT		0	SR surface calc value record publish
surfaceTh	FLOAT		0	SR surface calc value record publish
surfaceVe	FLOAT		0	SR surface calc value record publish
surfaceRo	FLOAT		0	SR surface calc value record publish
surfacePh	FLOAT		0	SR surface calc value record publish
arriveNbboSize	INT		0	size of the single largest exchange parent order arrival
arriveNbboExch	enum - OptExch		'None'	exchange representing largest size order arrival
arriveCumSize	INT		0	cum size of all exchanges at NBBO price parent order arrival
arriveNumExch	TINYINT UNSIGNED		0	num exchanges making up cum size parent order arrival
arriveLimitSize	INT		0	immediately marketable size up to limit price on parent order arrival
arriveLimitPrc	DOUBLE		0	expected average fill price if all immediately marketable size executed as advertized
avgFillPrc	DOUBLE		0	average fill price of all fills attributed parent order
cumFillQuan	INT		0	cumulative fill quantity attributed to parent order
numChildOrders	SMALLINT UNSIGNED		0	total number of child orders generated by this parent broker parent number
numDayChildOrders	SMALLINT UNSIGNED		0	total number of child orders generated by this parent broker all day base parent number
openOrderSize	INT		0	open order size
actionOrderSize	INT		0	order size available for immediate action note not all algo combinations allow immediate action
riskLimitSize	INT		0	risk limit size distance to most restrictive risk limit associated with this parent order
riskLimitDesc	enum - SpdrRisk		'None'	reason for size reduction identifies the most restrictive risk limit
riskLimitLevel	enum - SpdrRiskLevel		'None'	risk limit level responsible for reduction
riskLimitDetail	TINYTEXT		''	risk limit level responsible for reduction
limitRefUPrc	DOUBLE		0	effective reference underlier price record publish usually either mid or bidask depending on limit type
limitPrice	DOUBLE		0	parent simple prc limit if any
limitVol	FLOAT		0	parent simple vol limit if any
makeLimitPrice	DOUBLE		0	effective order limit price record publish
makeLimitErr	enum - LimitError		'None'	limit price error code if any
makeLimitErrDesc	TINYTEXT		''	additional limit price error descriptive text
takeLimitPrice	DOUBLE		0	effective order limit price record publish
takeLimitErr	enum - LimitError		'None'	limit price error code if any
takeLimitErrDesc	TINYTEXT		''	additional limit price error descriptive text
brokerState	enum - BrokerState		'None'	broker monitor state
makeState	enum - AlgoState		'None'	enum current state of nonmarketable order handler maker
takeState	enum - AlgoState		'None'	enum current state of marketable order handler taker
mktCrossState	enum - MktCrossState		'None'	enum current state of mkt cross handler if any
lastChildEvent	enum - ChildEvent		'None'	most recent child handling event
spdrMktState	enum - SpdrMarketState		'None'	market state code
numOrders	INT		0	number active child orders record send
leavesQty	INT		0	number of active child order contracts sum of all active child orders record send
childOrderLeaves	INT		0	number of open child orders record send
arrivalSDiv	FLOAT		0	effective sdiv rate parent order arrival fixed for life of parent order
arrivalRate	FLOAT		0	effective interest rate parent order arrival fixed for life of parent order
arrivalDDiv	FLOAT		0	effective cumulative discrete dividend parent order arrival fixed for life of parent order
hedgeSecKey_at	enum - AssetType		'None'	autohedge sec key
hedgeSecKey_ts	enum - TickerSrc		'None'	autohedge sec key
hedgeSecKey_tk	VARCHAR(12)		''	autohedge sec key
hedgeSecKey_yr	SMALLINT UNSIGNED		0	autohedge sec key
hedgeSecKey_mn	TINYINT UNSIGNED		0	autohedge sec key
hedgeSecKey_dy	TINYINT UNSIGNED		0	autohedge sec key
hedgeSecType	enum - SpdrKeyType		'None'	autohedge sec type
theoOpx	FLOAT		0	option theo prc from theoVol
theoVol	FLOAT		0	option theo vol from theoModelif any
childOrderMask	BIGINT		0	bitmask of all exchange for which a child order was generated
priceFormat	enum - PriceFormat		'None'	price display format code
uPriceFormat	enum - PriceFormat		'None'	underlier price display format code
userName	VARCHAR(24)		''	user associated with the most recent parent order
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	timestamp of last modification

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
parentNumber	1
recType	2

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRTrade`.`MsgSRParentBrkrEvent`
WHERE 
    /* Replace with a CHAR(19) */
    `parentNumber` = 'Example_parentNumber'
  AND
    /* Replace with a ENUM('New','Modify','Replace','Close','Reject') */ 
    `recType` = 'New';

Doc Columns Query

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