SRParentBrkrState

V8 Message Definiton

SpdrParentBrkrState records are created/published by SpiderRock Execution Engines. Each record describes the current state of one (or more) parent orders. If a parent order is canceled/replaced then entire chain is represented by a single broker state record.

METADATA

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

Table Definition

Field	Type	Key	Default Value	Comment
accnt	VARCHAR(16)	PRI, SEC	''
secKey_at	enum - AssetType	PRI	'None'
secKey_ts	enum - TickerSrc	PRI	'None'
secKey_tk	VARCHAR(12)	PRI	''
secKey_yr	SMALLINT UNSIGNED	PRI	0
secKey_mn	TINYINT UNSIGNED	PRI	0
secKey_dy	TINYINT UNSIGNED	PRI	0
secKey_xx	DOUBLE	PRI	0
secKey_cp	enum - CallPut	PRI	'Call'
secType	enum - SpdrKeyType	PRI	'None'
spdrSource	enum - SpdrSource	PRI	'None'
groupingCode	CHAR(19)	PRI	'0000-0000-0000-0000'
orderSide	enum - BuySell	PRI	'None'
clientFirm	VARCHAR(16)	PRI, SEC	''	SR client firm
userName	VARCHAR(24)	SEC	''	SR user name string
parentNumber	CHAR(19)		'0000-0000-0000-0000'	SR parent number
baseParentNumber	CHAR(19)		'0000-0000-0000-0000'
modifyNumber	CHAR(19)		'0000-0000-0000-0000'	most recent parent number affecting this order AddReplace or Modify
noticeNumber	CHAR(19)		'0000-0000-0000-0000'	SR noticeNumber required when parentOrderHandling AtsResponse AuctionResponse
riskGroupId	CHAR(19)		'0000-0000-0000-0000'	all orders with the same riskGroupId share a common set of risk countersGrp risk limits apply to these shared counters
triggerGroupId	BIGINT		0
completionType	enum - CompletionType		'None'	None DAC POC TAS TACO BTIC
completionState	enum - CompletionState		'None'	None Pending Complete
avgCompletionPrice	DOUBLE		0	completion trade price final trade price also avg completion price
completionSecKey_at	enum - AssetType		'None'	final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecKey_ts	enum - TickerSrc		'None'	final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecKey_tk	VARCHAR(12)		''	final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecKey_yr	SMALLINT UNSIGNED		0	final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecKey_mn	TINYINT UNSIGNED		0	final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecKey_dy	TINYINT UNSIGNED		0	final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecKey_xx	DOUBLE		0	final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecKey_cp	enum - CallPut		'Call'	final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecType	enum - SpdrKeyType		'None'	usually Future or Option None if not yet valid
strategy	VARCHAR(36)		''	parent order strategy string can be user supplied
strategyAccnt	VARCHAR(16)		''	SR strategy account option if exists will be validated
execBrkrCode	VARCHAR(16)		''	execBrkrCode attached to parent order if any
altOrderId	TINYTEXT		''	alternate order ID usually clOrdId from client
packageId	BIGINT		0	groups related orderbrokers together eg Legger wMLeg Parent
altAccnt	TINYTEXT		''	alternate client assigned long account string optional
altUserName	VARCHAR(24)		''	alternate client assigned user name optional
stageType	enum - SpdrStageType		'None'	parent is a staged order ToolVisible
visibleInSV	enum - YesNo		'None'	allow order to be visible in SV do not use for high volume of orders
isFlagged	enum - YesNo		'None'	broker state records is flagged for action user alert only
ticker_at	enum - AssetType		'None'	underlier ticker
ticker_ts	enum - TickerSrc		'None'	underlier ticker
ticker_tk	VARCHAR(12)		''	underlier ticker
uPrc	DOUBLE		0	underlier price usually midmarket
uPrcOrder	DOUBLE		0	underlier price at the time of last parent order arrival
nbboBid	DOUBLE		0	current option nbbo bid at time of record publish
nbboAsk	DOUBLE		0	current option nbbo ask at time of record publish
nbboBidSz	INT		0	current option nbbo cum bid size at time of record publish
nbboAskSz	INT		0	current option nbbo cum ask size at time of record publish
surfacePrc	FLOAT		0	SR surface price record publish
surfaceVol	FLOAT		0	SR surface volatility record publish
orderRefSDiv	FLOAT		0
pricerStyle	enum - PricerStyle		'None'
spdrBrokerStatus	enum - SpdrBrokerStatus		'None'
spdrOrderStatus	enum - SpdrOrderStatus		'PendNew'	status of the most recent parent order handled by this broker
spdrCloseReason	enum - SpdrCloseReason		'None'	close reason of most recent parent order
spdrRejectReason	enum - SpdrRejectReason		'None'	reject reason if any of most recent parent order
spdrRejectLevel	enum - SpdrRiskLevel		'None'	reject level if any of most recent parent order
activeHoldState	enum - ActiveHoldState		'None'
activeHoldReason	TINYTEXT		''
swapProvider	enum - SwapProvider		'None'	swap provider propagated from SpdrParentOrderuseSwapProvider None if not a swap order
isPermanentlyClosed	enum - YesNo		'None'	indicates that this broker is permanently closed cannot be cxlreplaced or reopened autohedge orders only
numExternRiskHold	INT		0	num external risk management rejects received
lastExternRiskText	TINYTEXT		''	last external exch risk management reject
lastExternRiskReject	DATETIME(6)		'1900-01-01 00:00:00.000000'
spdrComment	TINYTEXT		''
orderSize	INT		0	order size of most recent parent order
orderActiveSize	INT		0	total activated size total size released for execution 1 all available size
activeDuration	INT		0	optional number of seconds
updateDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'
goodTillDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	order expiration datetime most recent parent order in cxlreplace chain
leavesQuantity	INT		0	current child order leaves quantity quantity actively working in the marketall child orders
avgFillPrice	DOUBLE		0	average fill price
avgFillUPrice	DOUBLE		0	average fill underlier price
cumFillQuantity	INT		0	cumulative fill quantity
avgFillVol	FLOAT		0	average fill volatility
cumFillVega	FLOAT		0	cumulative fill vega
cumFillTheta	FLOAT		0	cumulative fill theta
cumFillDDelta	FLOAT		0	cumulative fill Delta
cumExchFee	FLOAT		0	cumulative fill exch fee
cumM10Pnl	FLOAT		0
cumArrivalPnl	FLOAT		0
lastFillDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'
locateFirm	VARCHAR(6)		''	firm granting the locate also locate firm used on street FIX orders
riskLimitSize	INT		0	risk limit size maximum size to nearest risk limit
riskLimitDesc	enum - SpdrRisk		'None'	reason for size reduction
riskLimitLevel	enum - SpdrRiskLevel		'None'	risk limit level responsible for reduction
riskLimitDetail	TINYTEXT		''	risk limit detail
limitPrice	DOUBLE		0	simple limit
limitRefUPrc	DOUBLE		0
limitErr	enum - LimitError		'None'
limitErrDesc	TINYTEXT		''
bestLimitOffset	FLOAT		0	possible price improvement gap between best price and initlimit price FaceMatrix orders
makeProbLimit	FLOAT		0
makeSurfOffset	FLOAT		0
makeLimitPrice	DOUBLE		0	make limit
makeLimitErr	enum - LimitError		'None'
takeProbLimit	FLOAT		0
takeSurfOffset	FLOAT		0
takeLimitPrice	DOUBLE		0	take limit
takeLimitErr	enum - LimitError		'None'
autoHedge	enum - AutoHedge		'None'
hedgeInstrument	enum - HedgeInst		'None'	autohedge instrument from parent order
hedgeSecKey_at	enum - AssetType		'None'	autohedge sec key if any
hedgeSecKey_ts	enum - TickerSrc		'None'	autohedge sec key if any
hedgeSecKey_tk	VARCHAR(12)		''	autohedge sec key if any
hedgeSecKey_yr	SMALLINT UNSIGNED		0	autohedge sec key if any
hedgeSecKey_mn	TINYINT UNSIGNED		0	autohedge sec key if any
hedgeSecKey_dy	TINYINT UNSIGNED		0	autohedge sec key if any
hedgeSecType	enum - SpdrKeyType		'None'	autohedge sec type Stock or Future
hedgeBetaRatio	FLOAT		0	autohedge ratio from parent order if supplied or computed by SR
hedgeScope	enum - HedgeScope		'None'	hedge group scope RiskGroup or Accnt
hedgeSession	enum - MarketSession		'None'	market session for the autohedge order
externHedgeExDest	VARCHAR(16)		''	external broker exDest only used if orderHandlingExtern Should match FixRoutingTabledestination type eg Nighthawk
externHedgeParams	TINYTEXT		''	external algo namesparameters usually just an algo name usually copied from the FixRoutingTableexternParams
hedgeFillUMarkLmtPrc	enum - YesNo		'None'	set a price limit on the autohedge order based on the most recent option fillUMark
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
futureSpreadDescription	TINYTEXT		''	servercomposed humanreadable spread description for future spreads populated by ToolServerV2
maxProgress	enum - MaxProgress		'None'	maximum point of progress for most recent parent order
maxProgressDetail	TINYTEXT		''	additional detail on point of maximum progress
maxProgressTime	DATETIME(6)		'1900-01-01 00:00:00.000000'	time of last max progress advance
brokerState	enum - BrokerState		'None'	broker monitor state
brokerCounter	INT		0	number of times order checked by broker monitor note most checks result in no action
makeState	enum - AlgoState		'None'	enum current state of nonmarketable order handler maker
makeCounter	INT		0	number of times order checked by post handler note most checks result in no action
takeState	enum - AlgoState		'None'	enum current state of marketable order handler taker
takeCounter	INT		0	number of times order checked by take handler note most checks result in no action
mktRespState	enum - MktRespState		'None'	enum current state of response handler if any
mktRespCounter	INT		0	number of times order checked by market response handler note most checks result in no action
mktCrossState	enum - MktCrossState		'None'	enum current state of mkt cross handler if any
mktCrossCounter	INT		0	number of times order checked by market cross handler note most checks result in no action
progressRuleDetail	TINYTEXT		''	TwapVwap progress detail
lastChildEvent	enum - ChildEvent		'None'	enum last event code from brokerchild order handlers
lastChildRejectDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	last child order reject dttm if any
lastChildRejectText	TINYTEXT		''	last child order reject reasontext if any
spdrMktState	enum - SpdrMarketState		'None'	enum market state
cpx1	FLOAT		0	child price level 1
csz1	INT		0	cumulative size represented at this price
cex1	BIGINT		0	bit mask of all exchanges where we are at this price
cnt1	TINYINT UNSIGNED		0	number of child orders at price level 1
cpx2	FLOAT		0	child price level 2
csz2	INT		0	cumulative size represented at this price
cex2	BIGINT		0	bit mask of all exchanges where we are at this price
cnt2	TINYINT UNSIGNED		0	number of child orders at price level 2
cMore	TINYINT UNSIGNED		0	number of additional child orders at inferior prices if any
cnVol	FLOAT		0
cnYrs	FLOAT		0
cnUPrc	FLOAT		0
cnDe	FLOAT		0	delta per contract
cnDd	FLOAT		0	delta per contract
cnVe	FLOAT		0	vega per contract
cnGa	FLOAT		0
cnTh	FLOAT		0
cnPr	FLOAT		0	premium per contract
ddMult	FLOAT		0
priceFormat	enum - PriceFormat		'None'	option price format code
uPriceFormat	enum - PriceFormat		'None'	underlier price format code
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'
theoVol	FLOAT		0
theoPrc	FLOAT		0
numNewOrders	INT		0	number of child orders generated by this broker all parent orders
numParentLimits	SMALLINT UNSIGNED		0	number of parent limit messages received for this broker
brokerVwapMark	FLOAT		0	trade weighted average price duration of parent order
brokerVwapUMark	FLOAT		0	optiontrade weighted average underlier price duration of parent order
brokerQwapMark	FLOAT		0	average quote midmarket duration of parent order
brokerQwapUMark	FLOAT		0	average underlier quote midmarket duration of parent order
vwapPnL	FLOAT		0	dir qty brokerVwapMark avgFillPrice
vwapDnPnL	FLOAT		0	vwapPnL uDriftVwapPnL
uDriftVwapPnL	FLOAT		0	dir de qty brokerVwapUMark avgFillUPrice
qwapPnL	FLOAT		0	dir qty brokerQwapMark avgFillPrice
qwapDnPnL	FLOAT		0	qwapPnL uDriftQwapPnL
uDriftQwapPnL	FLOAT		0	dir de qty brokerQwapUMark avgFillUPrice
numImprvChld	INT		0	number of child orders that improved an existing market
activeSeconds	FLOAT		0	number of seconds that the parent order was active
withSeconds	FLOAT		0	number of seconds with one or more working child orders that are with of nbbo
aloneSeconds	FLOAT		0	number of seconds with one or more working child orders that make up 100 of nbbo
workingSeconds	FLOAT		0	number of child order seconds can be greater than activeSeconds if working on more than one exchange
numRiskCancels	INT		0	number of child orders cancels for risk reasons
riskHoldSeconds	FLOAT		0	number of seconds with parent order active but on risk hold zero child order risk size
riskThrtlSeconds	FLOAT		0	number of seconds with parent order active but in risk throttle condition temporary hold after fastmass risk cancel
numMakeThrottleSkips	INT		0	number of childs orders not send to market dues to outbound lines being in a queuedthrottled state
sumMakeThrottleDelay	FLOAT		0	cumulative seconds of queue skip delay seconds that a child order was not in the market dues to outbound lines being in a queuedthrottled state
uPrcDrift	FLOAT		0	underlier drift since parent order start
sVolDrift	FLOAT		0	surface vol drift since parent order start
updateSrc	enum - UpdateSource		'None'
numUpdates	INT		0	number of record updates cumulative for the day
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	SR system timestamp

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
accnt	1
secKey_tk	2
secKey_yr	3
secKey_mn	4
secKey_dy	5
secKey_xx	6
secKey_cp	7
secKey_at	8
secKey_ts	9
secType	10
spdrSource	11
groupingCode	12
orderSide	13
clientFirm	14

SECONDARY INDEX (AccntIndex) (Not Unique)

Field	Sequence
accnt	1

SECONDARY INDEX (ClientFirmIndex) (Not Unique)

Field	Sequence
clientFirm	1

SECONDARY INDEX (UserNameIndex) (Not Unique)

Field	Sequence
userName	1

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRTrade`.`MsgSRParentBrkrState`
WHERE 
    /* Replace with a VARCHAR(16) */ 
    `accnt` = 'Example_accnt'
  AND
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */ 
    `secKey_at` = 'None'
  AND
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX') */ 
    `secKey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `secKey_tk` = 'Example_secKey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `secKey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `secKey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `secKey_dy` = 1
  AND
    /* Replace with a DOUBLE */ 
    `secKey_xx` = 4.56
  AND
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `secKey_cp` = 'Call'
  AND
    /* Replace with a ENUM('None','Stock','Future','Option','MLeg') */ 
    `secType` = 'None'
  AND
    /* Replace with a 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') */ 
    `spdrSource` = 'None'
  AND
    /* Replace with a CHAR(19) */
    `groupingCode` = 'Example_groupingCode'
  AND
    /* Replace with a ENUM('None','Buy','Sell') */ 
    `orderSide` = 'None'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

Doc Columns Query

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