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Version: Upcoming

SRParentExecution

V8 Message Definiton

SpdrParentExecution records are published every time a parent order execution is received. They also update as additional post execution mark information is available at F+1m and F+10m.

METADATA

AttributeValue
Topic3985-parent-orders
MLink TokenClientTrading
ProductSRTrade
accessTypeSELECT
MLink EndpointMLink-Order

Table Definition

FieldTypeKeyDefault ValueComment
fillNumberBIGINTPRI0SpiderRock execution number globally unique over trailing 10 days
sysRealmenum - SysRealm'None'
sysEnvironmentenum - SysEnvironment'None'
runStatusenum - RunStatus'None'
versionTINYINT UNSIGNED0record version numberstarts at zero and goes up every time an execution record is republished eg bust 1m marks 10m marks etc
execStatusenum - ExecStatus'None'SpiderRock execution status FillBustCorrectRejectSysRej
execShapeenum - ExecShape'None'
packageIdBIGINT0SR package Id
parentNumberCHAR(19)'0000-0000-0000-0000'SR parent number
parentVersionSMALLINT0SPDR order instance number 1 original order 2 1st cancelreplace etc
baseParentNumberCHAR(19)'0000-0000-0000-0000'SPDR order number initial number in cancelreplace sequence also source parent for dynamically generated orderseg autohedges
clOrdIdCHAR(19)'0000-0000-0000-0000'SR child order clOrdID resulting in fill
reviewClOrdIdVARCHAR(24)''review session clOrdId usually from inbound review FIX sessionS
altFillIdBIGINT0alternate fill ID usually from AwayTktGatewaypkeyclientFillID
altOrderIdVARCHAR(24)''alternate order ID usually clOrdId from client
altCrossIdVARCHAR(24)''
altLegRefIdVARCHAR(24)''
altAccntVARCHAR(32)''alternate client assigned long account string optional used to map between client and SR account strings
altUserNameVARCHAR(24)''alternate client assigned user name optional used to map between client and SR account strings
srcRoutingCodeTINYTEXT''inbound FIX routing code if any
riskGroupIdCHAR(19)'0000-0000-0000-0000'riskGroupId parent order group ID for this execution report
triggerGroupIdBIGINT0WaitTrigger group Id
triggerTimestampBIGINT0WaitTrigger trigger timestamp nanoseconds since epoch
streetClOrdIdVARCHAR(24)''street side clOrdId clOrdId or equivalent of the street side order SRstreet gateway generated
streetOrderIdVARCHAR(24)''street side orderId orderId or equivalent of the street side order from street side execReport
sideClOrdIdCHAR(19)'0000-0000-0000-0000'Cross Side ClOrdId From ChildOrdercustClOrdId or ChildOrderFaceSideListalloclOrdID
parentShapeenum - SpdrOrderShape'None'shape of originating parent order
secKey_atenum - AssetType'None'execution security key
secKey_tsenum - TickerSrc'None'execution security key
secKey_tkVARCHAR(12)''execution security key
secKey_yrSMALLINT UNSIGNED0execution security key
secKey_mnTINYINT UNSIGNED0execution security key
secKey_dyTINYINT UNSIGNED0execution security key
secKey_xxDOUBLE0execution security key
secKey_cpenum - CallPut'Call'execution security key
secTypeenum - SpdrKeyType'None'execution security type Stock Future Option
ticker_atenum - AssetType'None'base stock key used for symbol risk aggregation
ticker_tsenum - TickerSrc'None'base stock key used for symbol risk aggregation
ticker_tkVARCHAR(12)''base stock key used for symbol risk aggregation
accntVARCHAR(16)SEC''SpiderRock trading accnt broker pkey
clientFirmVARCHAR(16)SEC''SR client firm
strategyAccntVARCHAR(16)''SR strategy account optional copied from parent order
spdrSourceenum - SpdrSource'None'SpiderRock parent order source code broker pkey
groupingCodeCHAR(19)'0000-0000-0000-0000'SpiderRock parent broker number broker pkey
coreClientFirmVARCHAR(16)''
sponsorClientFirmVARCHAR(16)''
routingCodeTINYTEXT''SpiderRock market routing code
engineNameVARCHAR(32)''SpiderRock execution engine that handled the parent order
gatewayNameVARCHAR(20)''StreetGateway server than handled the child order if any
execRoleenum - ExecRole'None'SpiderRock relationship to this execution record
execBrkrCodeVARCHAR(16)''SR Assigned executing broker code
execBrkrMPIDVARCHAR(8)''FINRAAssigned exec broker MPID if any
altBrkrMPIDVARCHAR(8)''SPR31223 perclient override MPID from ExecBrokerDefinitionClientFirmList empty when no override
execBrkrAccntVARCHAR(16)''account at executing broker if any
execBrkrClFirmVARCHAR(16)''clientfirm at executing broker if any
execBrkrUserNameVARCHAR(16)''userName at execution broker if any
clearingFlipTypeenum - FlipType'None'Clearing Flip Type None ExecBroker CMTA Giveup DTCC QSR etc
clearingFlipFirmVARCHAR(6)''Clearing Flip Firm if any
clearingFlipAccntVARCHAR(10)''Clearing Flip Account if any
clearingAgentVARCHAR(10)''Clearing Agent if any
clearingTaxIDVARCHAR(10)''Clearing TaxID if any
clearingBrkrMPIDVARCHAR(8)''Clearing Broker MPID equity only
badgeVARCHAR(16)''
clearingFirmVARCHAR(4)''clearing firm
clearingAccntVARCHAR(12)''clearing firm account if any
origExecIDTINYTEXT''original execution ID string child order
lastExecIDTINYTEXT''most recent execution ID same as origExecID unless CANCELCORRECTION has been processed
remoteTextTINYTEXT''text comment from remote endpoint if any
orderSideenum - BuySell'None'order side
spdrOrderStatusenum - SpdrOrderStatus'PendNew'
spdrCloseReasonenum - SpdrCloseReason'None'
cumFillQuantityINT0cumulative fills this parent number only
avgFillPriceDOUBLE0
cumLegFillQuantityINT0cumulative fills spread only
avgLegFillPriceDOUBLE0
leavesQtyINT0
priceTypeenum - PriceType'None'
childShapeenum - SpdrOrderShape'None'
childSizeINT0child order size
childPriceDOUBLE0child order price
childDttmDATETIME(6)'1900-01-01 00:00:00.000000'child order generation datetime
childExchVARCHAR(6)''child order exchange
childExDestVARCHAR(16)''child order exchange destination code
childExecBrokerVARCHAR(8)''executing broker that child order was routed to
childIsDirectedenum - YesNo'None'child order isDirected flag
childIsoSweepenum - YesNo'None'child order ISO sweep flag
childOrderHandlingVARCHAR(24)''child order handling string from the algo that generated the child order responsible for this fill
childAlgoHandlerenum - ChildHandler'None'algo handler for this child order
childCreateReasonenum - ChildCreateReason'None'
childCancelReasonenum - ChildCancelReason'None'
childMakerTakerenum - MakerTaker'None'
childUBidDOUBLE0underlier market bid at child order send time
childUAskDOUBLE0underlier market ask at child order send time
childBidDOUBLE0market bid at the child order send time
childAskDOUBLE0market ask at the child order send time
childMarkDOUBLE0midmarket SR surface price if option child order send time
childFairWidthDOUBLE0model fair width child order create
childVolFLOAT0child order volatility childLimitRefUPrc
childProbFLOAT0SR probability for the child order child order send time
childLimitRefUPrcDOUBLE0limit reference underlier price child order send time
childLimitPrcDOUBLE0parent order limit price child order send time
childVolAtmFLOAT0atm volatility child order send time
childPosTypeenum - PositionType'None'child order position type
childFirmOptPositionINT0effective firm option position child order send time
childSSaleFlagenum - ShortSaleFlag'None'short sale flag
childFirmStkPositionINT0effective firm stock position child order send time
childFirmOpenOrdersINT0open sell orders counted in marking child order send time
childLocateQuanINT0available locate quantity if selling short child order send time
childLocateFirmVARCHAR(6)''firm granting the locate
childLocatePoolVARCHAR(16)''locate pool firm granting locate
childMktStanceenum - MktStance'None'child order was expected to be marketable child send time
childCxlAttemptedenum - YesNo'None'cancel attempt was made on the child order prior to receiving this fill
childCxlFillLatencyFLOAT0cancel attempt to fill report latency in ms
childMethodVARCHAR(8)''execution method string
childSourceVARCHAR(12)''execution source string
firmTypeenum - FirmType'None'child order firm type Customer ProCust Firm MM etc
priAggGroupVARCHAR(16)''primary aggregation group
secAggGroupVARCHAR(16)''secondary aggregation group
directedClientFirmVARCHAR(16)''
noticeCommissionFLOAT0
hasNoticeCommenum - YesNo'None'noticeCommision contains responder auction commission otherwise commission is as agreed elsewhere
custCommPayingenum - YesNo'None'client is commission paying to the responder
fillTransactDttmDATETIME(6)'1900-01-01 00:00:00.000000'transaction datetime as reported by exchange or down stream broker
fillTsDOUBLE0fill report ts seconds since startup 100 nanosec resolution
fillDttmDATETIME(6)'1900-01-01 00:00:00.000000'Datetime of fill arrival SRDateTime
fillExchVARCHAR(12)''ExDest code from child order execution report
fillExecIdTINYTEXT''street side execution Id
fillExecRefIdTINYTEXT''street side execution ref Id only used when busting an execution
fillLegRefIdBIGINT0legRefId for multileg fills
fillLegRatioINT0legRatio if spread order
fillExchFeeFLOAT0SpiderRock estimate of the exchange fee based on liquidity tags best effort
fillMarketVARCHAR(8)''usually from execReportlastMkt as reported by child order venue
fillPriceDOUBLE0fill price
fillQuantityINT0fill quantity
fillReportDetailTINYTEXT''extra detail if any from child execution
fillBidDOUBLE0market bid fill arrival
fillAskDOUBLE0market ask fill arrival
fillMarkDOUBLE0midmarket or SR surface price if option fill arrival
fillFairWidthDOUBLE0model fair width fill time
fillUMarkDOUBLE0underlier mark fill arrival
fillUBidDOUBLE0underlier market bid fill arrival
fillUAskDOUBLE0underlier market bid fill arrival
fillUBidSzINT0underlier bid size fill arrival
fillUAskSzINT0underlier ask size fill arrival
fillVolAtmFLOAT0atm volatility fill arrival
fillMark1MDOUBLE0midmarket or SR surface price if option fill arrival 1m
fillMark10MDOUBLE0midmarket or SR surface price if option fill arrival 10m
fillBid1MDOUBLE0market bid fill arrival 1m
fillAsk1MDOUBLE0market ask fill arrival 1m
fillBid10MDOUBLE0market bid fill arrival 10m
fillAsk10MDOUBLE0market ask fill arrival 10m
fillUMark1MDOUBLE0underlier mark fill arrival 1m
fillUMark10MDOUBLE0underlier mark fill arrival 10m
fillVolAtm1MFLOAT0atm volatility options only 1m
fillVolAtm10MFLOAT0atm volatility options only 10m
fillState1Menum - FillMarkState'None'
fillState10Menum - FillMarkState'None'
fillVolFLOAT0fill volatility fillLimitRefUPrc fillLimitRefSDiv
fillVolSFLOAT0fill volatility surfaceUPrc surfaceSDiv
fillProbFLOAT0T10m probability for the fill fill arrival send time
fillLimitRefUPrcDOUBLE0limit reference underlier price fill arrival time
fillLimitRefSDivDOUBLE0limit reference sdiv value fill arrival time
fillLimitPrcDOUBLE0parent order limit price fill arrival time
fillVeFLOAT0fill vega
fillGaFLOAT0fill gamma
fillDeFLOAT0fill delta
fillThFLOAT0fill theta
fillPrFLOAT0fill premium over parity
fillVeRatioFLOAT0fill ve fill atm ve
fillBetaFLOAT0SpiderRock estimate of beta to SPX
completionTypeenum - CompletionType'None'None DAC POC TAS TACO BTIC
completionStateenum - CompletionState'None'
completionPriceDOUBLE0completion trade price final trade price
completionSecKey_atenum - AssetType'None'final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecKey_tsenum - TickerSrc'None'final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecKey_tkVARCHAR(12)''final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecKey_yrSMALLINT UNSIGNED0final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecKey_mnTINYINT UNSIGNED0final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecKey_dyTINYINT UNSIGNED0final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecKey_xxDOUBLE0final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecKey_cpenum - CallPut'Call'final settlement secKey contract that DAC TAS TACO etc will convert to might not be valid until completed
completionSecTypeenum - SpdrKeyType'None'usually Future or Option None if not yet valid
riskVegaFLOAT0risk vega
riskWtVegaFLOAT0risk gamma
riskNValueFLOAT0risk delta
riskDeltaFLOAT0risk delta
riskDVannaFLOAT0risk vanna signed delta change per 1 vol point
riskDDeltaFLOAT0risk ddelta
riskRm1FLOAT0user defined from parent order used to manage order groups
riskRm2FLOAT0user defined from parent order used to manage order groups
riskRm3FLOAT0user defined from parent order used to manage order groups
riskRm4FLOAT0user defined from parent order used to manage order groups
riskRm5FLOAT0user defined from parent order used to manage order groups
riskRm6FLOAT0user defined from parent order used to manage order groups
riskRm7FLOAT0user defined from parent order used to manage order groups
marginUDnVDnFLOAT0underlier down vol down
marginUDnVUpFLOAT0underlier down vol up
marginUUpVDnFLOAT0underlier up vol down
marginUUpVUpFLOAT0underlier up vol up
riskU15DnFLOAT0underlier dn 15 shock slide
riskU15UpFLOAT0underlier up 15 shock slide
riskU50DnFLOAT0underlier dn 50 shock slide
riskU50UpFLOAT0underlier up 50 shock slide
fillBrkrRateFLOAT0billing brokerage rate tier 1
fillRoutingRateFLOAT0billing routing rate tier 1
mmPrefCodeVARCHAR(6)''market maker preference code if any
mmCreditFLOAT0expected market maker credit if any
riskCodeenum - RiskCode'None'SpiderRock Risk Code if any
billingSecTypeenum - BillingSecType'None'SpiderRock billing security type
billingCategoryenum - BillingCategory'None'SpiderRock billing category
spdrLiquidityTagVARCHAR(2)''SpiderRock normalized liquidity tag
exchLiquidityTagVARCHAR(4)''liquidity tag as reported by downstream venue if any
fillExchDetailTINYTEXT''other fix tags tagvaluetagvalue additional detail used for analysis
crossSideenum - CrossSide'None'indicates if this order was the initiator or responder of the cross fill None if not cross
isCrossBreakupFillenum - YesNo'None'cross order was broken up on exchange and this execution was filled by party not specified on the original cross order
lastCapacityenum - OrderCapacity'None'child order capacity
exchFirmTypeVARCHAR(6)''used to reflect field from a downstread execution back up to upstream fill report
extExecBrokerVARCHAR(16)''used to reflect field from a downstream destination back up to and upstream fill report
relationshipTypeenum - RelationshipType'None'type of SR client relationship
clArriveMarkFLOAT0client specified arrival mark passed through from parent order
parentDttmDATETIME(6)'1900-01-01 00:00:00.000000'parent order creation datetime
parentOrderSizeINT0parent order size
parentUBidDOUBLE0underlier market bid parent order arrival
parentUAskDOUBLE0underlier market ask parent order arrival
parentUMarkDOUBLE0underlier mid mark parent order arrival
parentBidDOUBLE0market bid parent order arrival
parentAskDOUBLE0market ask parent order arrival
parentMarkDOUBLE0midmarket or SR surface price parent order arrival
parentFairWidthDOUBLE0model fair width parent order arrival
parentSurfVolDOUBLE0SR surf vol parent order arrival
parentLimitVolFLOAT0parent order limit volatilty if any
parentLimitPrcDOUBLE0parent order limit price parent order arrival
parentLimitRefUPrcDOUBLE0limit reference underlier price parent order arrival
parentTheoVolFLOAT0client supplied theoretical volatility used for markup only copied from parent order
parentTheoPrcFLOAT0option price corresponding parentTheoVol
parentPosTypeenum - PositionType'None'parent order position type
parentSSaleFlagenum - ShortSaleFlag'None'short sale flag on parent order
noticeNumberCHAR(19)'0000-0000-0000-0000'RFR Auction noticeNumber if any
numMakeExchangesTINYINT UNSIGNED0number of exchanges 1 4 on which to publish public making orders Effective number might be less than requested number if sufficient exchanges are not available
publicSizeenum - PublicSizeHandling'None'public order size handling Noneuse default size handling usually limits public size to typical market size Randomizerandomize public size FullSizeexpose entire order size where possible
canOverlapCxlReplenum - YesNo'None'can execution engines overlap cancelreplace operations order can overfill if YES at most one active overlapping cxlreplace operation for each parent order
progressRuleenum - ProgressRule'None'Immediate all size immediately availableTWAP size released in time intervalsVWAP size released in volume intervals
exchMaskEnabledenum - YesNo'None'exchMask 0
timeInForceenum - TimeInForce'None'Parent order market session
parentOrderHandlingenum - ParentOrderHandling'None'PrimaryTake Algo Handler
parentBalanceHandlingenum - ParentBalanceHandling'None'Make Algo Handler
orderLimitTypeenum - SpdrLimitType'None'Primary Limit Type Prc Vol Rel Market Smrt etc
orderLimitClassenum - SpdrLimitClass'Simple'Simple LimitPrice Surface BESTLimitPrice SurfLimit Probability BESTLimitPrice ProbLimit
takeReachRuleenum - ReachRule'None'Immediate reach room immediately available Delayed available after 13 seconds Passive available if contra side aggresses WeakOnly only take if available size avgMarketSize ISOSweep Intermarket Sweep requires WaitTrigger
overrideCodeenum - OverrideCode'None'SDivDDiv override rule applies if LimitType Vol
alphaTypeenum - AlphaType'None'Affects limit probabilities applies if LimitClass Probability
parentStrategyVARCHAR(36)''client strategy usually client supplied
userNameVARCHAR(24)''user name associated with the parent order
autoHedgeenum - AutoHedge'None'autohedge algorithm if any
hedgeSecKey_atenum - AssetType'None'autohedge sec key if any
hedgeSecKey_tsenum - TickerSrc'None'autohedge sec key if any
hedgeSecKey_tkVARCHAR(12)''autohedge sec key if any
hedgeSecKey_yrSMALLINT UNSIGNED0autohedge sec key if any
hedgeSecKey_mnTINYINT UNSIGNED0autohedge sec key if any
hedgeSecKey_dyTINYINT UNSIGNED0autohedge sec key if any
hedgeSecTypeenum - SpdrKeyType'None'autohedge sec type if any
hedgeBetaRatioFLOAT0portion of executed delta to autohedge can be 10 Beta for beta hedging 40 to 40
hedgeScopeenum - HedgeScope'None'hedge group scope
userData1TINYTEXT''client supplied data field passes through to parent and child executions and reports as well as FIX drops
userData2TINYTEXT''client supplied data field passes through to parent and child executions and reports as well as FIX drops
pricingVersionenum - PricingVersion'None'
yearsFLOAT0years to expiration
underliersPerCnDOUBLE0option delivery underliers per contract
underlierTypeenum - UnderlierType'None'type of underlier affects greek calculations
tickValueFLOAT0NLV value of a single tick change in display premium pointValue tickValue tickSize
pointValueFLOAT0NLV value of a single point change in display premium pointValue tickValue tickSize
pointCurrencyenum - Currency'None'
isinVARCHAR(32)''ISO 6166 instrument identifier populated for securities with regional refdata empty otherwise
uPrcRatioFLOAT0UPrcRatio SymbolRatio from product definition
minTickSizeFLOAT0minimum market price variation dnTickSize if on a boundary
priceFormatenum - PriceFormat'None'SpiderRock price display format code
uPriceFormatenum - PriceFormat'None'SpiderRock underlier price display format code
priceNotionalDOUBLE0fillQuantity fillPrice Stk fillQuantity fillPrice contractMultipler Fut fillQuantity fillPrice underliers Per Contract pointValue Opt
uPrcNotionalDOUBLE0FillSize Underlying Price mid market Underliers Per Contract pointValue Opt only
strikeNotionalDOUBLE0FillSize Strike Price Underliers Per Contract pointValue Opt only
realmCurrencyenum - Currency'None'Base currency of realm execution recieved in
pointToRealmRateDOUBLE0FOREX rate from pointCurrency to realm base currency at time of execution
responseTypeVARCHAR(4)''usually an exch auction response type
nbboBidDOUBLE0nbbo bid child order send
nbboAskDOUBLE0nbbo ask child order send
childUPrcDOUBLE0underlier price when child order sent
exchBidSzINT0exch bid size child order send
exchAskSzINT0exch ask size child order send
liveUPrcDOUBLE0SpiderRock internal use only
liveMarkDOUBLE0SpiderRock internal use only
srcTimestampBIGINT0
sgwTimestampBIGINT0
engTimestampBIGINT0
uContingencyenum - Contingency'None'
uLevelDOUBLE0
cxlSourceenum - CancelSource'None'
cxlSrcOffsetBIGINT0childOrdercxlSrcTimestamp printEventsrcTimestamp
cxlEngOffsetBIGINT0childOrdercxlEngTimestamp printEventsrcTimestamp
cxlSndOffsetBIGINT0childOrdercxlSndTimestamp printEventsrcTimestamp
uSlipFLOAT0dir signde dContigency dContigency uPrc slip through cxl trigger or zero 0
opxSlipFLOAT0absde uSlip 05 ga uSlip uSlip 0
volSlipFLOAT0001 opxSlip ve
prtUBidFLOAT0note print data only available if print arrives EE before execution report
prtUAskFLOAT0
prtSizeINT0
prtTimestampBIGINT0printEventsrcTimestamp
prtSgwOffsetINT0childOrderswgTimestamp printEventsrcTimestamp
swapProviderenum - SwapProvider'None'swap provider used for this execution if any
timestampDATETIME(6)'1900-01-01 00:00:00.000000'timestamp of this record not necessarily the timstamp of the fill itself

PRIMARY KEY DEFINITION (Unique)

FieldSequence
fillNumber1

SECONDARY INDEX (AccntIndex) (Not Unique)

FieldSequence
accnt1

SECONDARY INDEX (ClientFirmIndex) (Not Unique)

FieldSequence
clientFirm1

SELECT TABLE EXAMPLE QUERY

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

Doc Columns Query

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