SRParentExecutionV2

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

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
fillNumber	BIGINT	PRI	0	SpiderRock execution number globally unique over trailing 10 days
sysRealm	enum - SysRealm		'None'
sysEnvironment	enum - SysEnvironment		'None'
runStatus	enum - RunStatus		'None'
version	TINYINT UNSIGNED		0	record version numberstarts at zero and goes up every time an execution record is republished eg bust 1m marks 10m marks etc
routingCode	TINYTEXT		''	SpiderRock market routing code
execStatus	enum - ExecStatus		'None'	SpiderRock execution status FillBustCorrectRejectSysRej
execShape	enum - ExecShape		'None'
origExecID	TINYTEXT		''	original execution ID string child order
lastExecID	TINYTEXT		''	most recent execution ID same as origExecID unless CANCELCORRECTION has been processed
remoteText	TINYTEXT		''	text comment from remote endpoint if any
integrityError	TINYTEXT		''	line integrity error if any on this execution
parentNumber	CHAR(19)		'0000-0000-0000-0000'	SR parent number
parentVersion	SMALLINT		0	SPDR order instance number 1 original order 2 1st cancelreplace etc
baseParentNumber	CHAR(19)		'0000-0000-0000-0000'	SPDR order number initial number in cancelreplace sequence also source parent for dynamically generated orderseg autohedges
clOrdId	CHAR(19)		'0000-0000-0000-0000'	SR child order clOrdID resulting in fill
streetClOrdId	VARCHAR(24)		''	street side clOrdId clOrdId or equivalent of the street side order SRstreet gateway generated
streetOrderId	VARCHAR(24)		''	street side orderId orderId or equivalent of the street side order from street side execReport
crossClOrdId	CHAR(19)		'0000-0000-0000-0000'
faceSideClOrdId	CHAR(19)		'0000-0000-0000-0000'	Cross Side ClOrdId From ChildOrdercustClOrdId or ChildOrderFaceSideListalloclOrdID
reviewClOrdId	VARCHAR(24)		''	review session clOrdId usually from inbound review FIX session
altFillId	BIGINT		0	alternate fill ID usually from AwayTktGatewaypkeyclientFillID
altOrderId	VARCHAR(24)		''	alternate order ID usually clOrdId from client
altCrossId	VARCHAR(24)		''
altLegRefId	VARCHAR(24)		''
altAccnt	VARCHAR(32)		''	alternate client assigned long account string optional used to map between client and SR account strings
altUserName	VARCHAR(24)		''	alternate client assigned user name optional used to map between client and SR account strings
srcRoutingCode	TINYTEXT		''	inbound FIX routing code if any
riskGroupId	CHAR(19)		'0000-0000-0000-0000'	riskGroupId parent order group ID for this execution report
triggerGroupId	BIGINT		0	WaitTrigger group Id
triggerTimestamp	BIGINT		0	WaitTrigger trigger timestamp nanoseconds since epoch
packageId	BIGINT		0	SR package Id
parentShape	enum - SpdrOrderShape		'None'	shape of originating parent order
secKey_at	enum - AssetType		'None'	execution security key
secKey_ts	enum - TickerSrc		'None'	execution security key
secKey_tk	VARCHAR(12)		''	execution security key
secKey_yr	SMALLINT UNSIGNED		0	execution security key
secKey_mn	TINYINT UNSIGNED		0	execution security key
secKey_dy	TINYINT UNSIGNED		0	execution security key
secKey_xx	DOUBLE		0	execution security key
secKey_cp	enum - CallPut		'Call'	execution security key
secType	enum - SpdrKeyType		'None'	execution security type Stock Future Option
accnt	VARCHAR(16)	SEC	''	SpiderRock trading accnt broker pkey
clientFirm	VARCHAR(16)	SEC	''	SR client firm
orderSide	enum - BuySell		'None'	order side
spdrSource	enum - SpdrSource		'None'	SpiderRock parent order source code broker pkey
groupingCode	CHAR(19)		'0000-0000-0000-0000'	SpiderRock parent broker number broker pkey
engineName	VARCHAR(32)		''	SpiderRock execution engine that handled the parent order
gatewayName	VARCHAR(20)		''	StreetGateway server than handled the child order if any
ticker_at	enum - AssetType		'None'	base stock key used for symbol risk aggregation
ticker_ts	enum - TickerSrc		'None'	base stock key used for symbol risk aggregation
ticker_tk	VARCHAR(12)		''	base stock key used for symbol risk aggregation
execRole	enum - ExecRole		'None'	SpiderRock relationship to this execution record
execBrkrCode	VARCHAR(16)		''	SR Assigned executing broker code
execBrkrMPID	VARCHAR(8)		''	FINRAAssigned exec broker MPID if any
userName	VARCHAR(24)		''	user name associated with the parent order
strategyAccnt	VARCHAR(16)		''	SR strategy account optional copied from parent order
coreClientFirm	VARCHAR(16)		''
sponsorClientFirm	VARCHAR(16)		''
fillTransactDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	transaction datetime as reported by exchange or down stream broker
fillTs	DOUBLE		0	fill report ts seconds since startup 100 nanosec resolution
fillDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	Datetime of fill arrival SRDateTime
fillExch	VARCHAR(12)		''	ExDest code from child order execution report
fillExecId	TINYTEXT		''	street side execution Id
fillExecRefId	TINYTEXT		''	street side execution ref Id only used when busting an execution
fillLegRefId	BIGINT		0	legRefId for multileg fills
fillLegRatio	INT		0	legRatio if spread order
fillExchFee	FLOAT		0	SpiderRock estimate of the exchange fee based on liquidity tags best effort
fillMarket	VARCHAR(8)		''	usually from execReportlastMkt as reported by child order venue
fillPrice	DOUBLE		0	fill price
fillQuantity	INT		0	fill quantity
fillReportDetail	TINYTEXT		''	extra detail if any from child execution
fillFirmType	enum - FirmType		'None'	fill order firm type Customer ProCust Firm MM etc as reported by street
fillOrderCapacity	enum - OrderCapacity		'None'	fill order capacity as reported by street
fillBid	DOUBLE		0	market bid fill arrival
fillAsk	DOUBLE		0	market ask fill arrival
fillMark	DOUBLE		0	midmarket or SR surface price if option fill arrival
fillFairWidth	DOUBLE		0	model fair width fill time
fillUMark	DOUBLE		0	underlier mark fill arrival
fillUBid	DOUBLE		0	underlier market bid fill arrival
fillUAsk	DOUBLE		0	underlier market bid fill arrival
fillVolAtm	FLOAT		0	atm volatility fill arrival
fillMark1M	DOUBLE		0	midmarket or SR surface price if option fill arrival 1m
fillMark10M	DOUBLE		0	midmarket or SR surface price if option fill arrival 10m
fillBid1M	DOUBLE		0	market bid fill arrival 1m
fillAsk1M	DOUBLE		0	market ask fill arrival 1m
fillBid10M	DOUBLE		0	market bid fill arrival 10m
fillAsk10M	DOUBLE		0	market ask fill arrival 10m
fillUMark1M	DOUBLE		0	underlier mark fill arrival 1m
fillUMark10M	DOUBLE		0	underlier mark fill arrival 10m
fillVolAtm1M	FLOAT		0	atm volatility options only 1m
fillVolAtm10M	FLOAT		0	atm volatility options only 10m
fillState1M	enum - FillMarkState		'None'
fillState10M	enum - FillMarkState		'None'
fillVol	FLOAT		0	fill volatility fillLimitRefUPrc fillLimitRefSDiv
fillVolS	FLOAT		0	fill volatility surfaceUPrc surfaceSDiv
fillProb	FLOAT		0	T10m probability for the fill fill arrival send time
fillLimitRefUPrc	DOUBLE		0	limit reference underlier price fill arrival time
fillLimitRefSDiv	DOUBLE		0	limit reference sdiv value fill arrival time
fillLimitPrc	DOUBLE		0	parent order limit price fill arrival time
fillVe	FLOAT		0	fill vega
fillGa	FLOAT		0	fill gamma
fillDe	FLOAT		0	fill delta
fillTh	FLOAT		0	fill theta
fillPr	FLOAT		0	fill premium over parity
fillVeRatio	FLOAT		0	fill ve fill atm ve
fillBeta	FLOAT		0	SpiderRock estimate of beta to SPX
fillProcDetail	TINYTEXT		''	fill processing detail SR internal
priceType	enum - PriceType		'None'
execBrkrAccnt	VARCHAR(16)		''	account at executing broker if any
execBrkrClFirm	VARCHAR(16)		''	clientfirm at executing broker if any
execBrkrUserName	VARCHAR(16)		''	userName at execution broker if any
clearingFlipType	enum - FlipType		'None'	Clearing Flip Type None ExecBroker CMTA Giveup DTCC QSR etc
clearingFlipFirm	VARCHAR(6)		''	Clearing Flip Firm if any
clearingFlipAccnt	VARCHAR(10)		''	Clearing Flip Account if any
clearingAgent	VARCHAR(10)		''	Clearing Agent if any
clearingTaxID	VARCHAR(10)		''	Clearing TaxID if any
clearingBrkrMPID	VARCHAR(8)		''	Clearing Broker MPID equity only
badge	VARCHAR(16)		''
spdrOrderStatus	enum - SpdrOrderStatus		'PendNew'
spdrCloseReason	enum - SpdrCloseReason		'None'
cumFillQuantity	INT		0	cumulative fills this parent number only
avgFillPrice	DOUBLE		0
cumLegFillQuantity	INT		0	cumulative fills spread only
avgLegFillPrice	DOUBLE		0
leavesQty	INT		0
childShape	enum - SpdrOrderShape		'None'
childOrderStatus	enum - OrderStatus		'None'
childSize	INT		0	child order size
childPrice	DOUBLE		0	child order price
childDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	child order generation datetime
childExch	INT		0	child order exchange SR exchange number
childExDest	VARCHAR(16)		''	child order exchange destination code
childFaceSide	enum - FaceSide		'Cust'
childFaceShape	enum - FaceShape		'None'
childExecBroker	VARCHAR(8)		''	executing broker that child order was routed to
childIsDirected	enum - YesNo		'None'	child order isDirected flag
childIsoSweep	enum - YesNo		'None'	child order ISO sweep flag
childTimeInForce	enum - TimeInForce		'None'
childOrderHandling	VARCHAR(24)		''	order handling string from the algo that generated the child order
childAlgoHandler	enum - ChildHandler		'None'	algo handler for this child order
childCreateReason	enum - ChildCreateReason		'None'
childCancelReason	enum - ChildCancelReason		'None'
childMakerTaker	enum - MakerTaker		'None'
childUBid	DOUBLE		0	underlier market bid at child order send time
childUAsk	DOUBLE		0	underlier market ask at child order send time
childBid	DOUBLE		0	market bid at the child order send time
childAsk	DOUBLE		0	market ask at the child order send time
childMark	DOUBLE		0	midmarket SR surface price if option child order send time
childFairWidth	DOUBLE		0	model fair width child order create
childVol	FLOAT		0	child order volatility childLimitRefUPrc
childProb	FLOAT		0	SR probability for the child order child order send time
childLimitRefUPrc	DOUBLE		0	limit reference underlier price child order send time
childLimitPrc	DOUBLE		0	parent order limit price child order send time
childVolAtm	FLOAT		0	atm volatility child order send time
childFirmType	enum - FirmType		'None'	child order firm type Customer ProCust Firm MM etc
childOrderCapacity	enum - OrderCapacity		'None'	child order capacity
childPosType	enum - PositionType		'None'	child order position type
childFirmOptPosition	INT		0	effective firm option position child order send time
childSSaleFlag	enum - ShortSaleFlag		'None'	short sale flag
childFirmStkPosition	INT		0	effective firm stock position child order send time
childFirmOpenSellSh	INT		0	open sell orders counted in marking child order send time
childLocateQuan	INT		0	available locate quantity if selling short child order send time
childLocateFirm	VARCHAR(6)		''	firm granting the locate
childLocatePool	VARCHAR(16)		''	locate pool firm granting locate
childMktStance	enum - MktStance		'None'	child order was expected to be marketable child send time
childRiskCxl	enum - YesNo		'None'	cancel was generated from risk controls
childCxlAttempted	enum - YesNo		'None'	cancel attempt was made on the child order prior to receiving this fill
childCxlText	TINYTEXT		''
childCxlFillLatency	FLOAT		0	cancel attempt to fill report latency in seconds
childMethod	VARCHAR(8)		''	execution method string
childSource	VARCHAR(12)		''	execution source string
priAggGroup	VARCHAR(16)		''	primary aggregation group
secAggGroup	VARCHAR(16)		''	secondary aggregation group
directedClientFirm	VARCHAR(16)		''
noticeCommission	FLOAT		0
hasNoticeComm	enum - YesNo		'None'	noticeCommision contains responder auction commission otherwise commission is as agreed elsewhere
custCommPaying	enum - YesNo		'None'	client is commission paying to the responder
responseType	VARCHAR(4)		''	usually an exch auction response type
completionType	enum - CompletionType		'None'	None DAC POC TAS TACO BTIC
completionState	enum - CompletionState		'None'
completionPrice	DOUBLE		0	completion trade price final trade 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
riskVega	FLOAT		0	risk vega
riskWtVega	FLOAT		0	risk gamma
riskNValue	FLOAT		0	risk delta
riskDelta	FLOAT		0	risk delta
riskDVanna	FLOAT		0	risk vanna signed delta change per 1 vol point
riskDDelta	FLOAT		0	risk ddelta
riskRm1	FLOAT		0	user defined from parent order used to manage order groups
riskRm2	FLOAT		0	user defined from parent order used to manage order groups
riskRm3	FLOAT		0	user defined from parent order used to manage order groups
riskRm4	FLOAT		0	user defined from parent order used to manage order groups
riskRm5	FLOAT		0	user defined from parent order used to manage order groups
riskRm6	FLOAT		0	user defined from parent order used to manage order groups
riskRm7	FLOAT		0	user defined from parent order used to manage order groups
marginUDnVDn	FLOAT		0	underlier down vol down
marginUDnVUp	FLOAT		0	underlier down vol up
marginUUpVDn	FLOAT		0	underlier up vol down
marginUUpVUp	FLOAT		0	underlier up vol up
riskU15Dn	FLOAT		0	underlier dn 15 shock slide
riskU15Up	FLOAT		0	underlier up 15 shock slide
riskU50Dn	FLOAT		0	underlier dn 50 shock slide
riskU50Up	FLOAT		0	underlier up 50 shock slide
fillBrkrRate	FLOAT		0	billing brokerage rate tier 1
fillRoutingRate	FLOAT		0	billing routing rate tier 1
mmPrefCode	VARCHAR(6)		''	market maker preference code if any
mmCredit	FLOAT		0	expected market maker credit if any
riskCode	enum - RiskCode		'None'	SpiderRock Risk Code if any
billingSecType	enum - BillingSecType		'None'	SpiderRock billing security type
billingCategory	enum - BillingCategory		'None'	SpiderRock billing category
spdrLiquidityTag	VARCHAR(2)		''	SpiderRock normalized liquidity tag
exchLiquidityTag	VARCHAR(4)		''	liquidity tag as reported by downstream venue if any
fillExchDetail	TINYTEXT		''	other fix tags tagvaluetagvalue additional detail used for analysis
crossSide	enum - CrossSide		'None'	indicates if this order was the initiator or responder of the cross fill None if not cross
isCrossBreakupFill	enum - YesNo		'None'	cross order was broken up on exchange and this execution was filled by party not specified on the original cross order
exchFirmType	VARCHAR(6)		''	used to reflect field from a downstread execution back up to upstream fill report
extExecBroker	VARCHAR(16)		''	used to reflect field from a downstream destination back up to and upstream fill report
relationshipType	enum - RelationshipType		'None'	type of SR client relationship
clearingFirm	VARCHAR(4)		''	clearing firm
clearingAccnt	VARCHAR(12)		''	clearing firm account if any
clArriveMark	FLOAT		0	client specified arrival mark passed through from parent order
parentDttm	DATETIME(6)		'1900-01-01 00:00:00.000000'	parent order creation datetime
parentOrderSize	INT		0	parent order size
parentUBid	DOUBLE		0	underlier market bid parent order arrival
parentUAsk	DOUBLE		0	underlier market ask parent order arrival
parentUMark	DOUBLE		0	underlier mid mark parent order arrival
parentBid	DOUBLE		0	market bid parent order arrival
parentAsk	DOUBLE		0	market ask parent order arrival
parentMark	DOUBLE		0	midmarket or SR surface price parent order arrival
parentFairWidth	DOUBLE		0	model fair width parent order arrival
parentSurfVol	DOUBLE		0	SR surf vol parent order arrival
parentLimitType	enum - SpdrLimitType		'None'	Primary Limit Type Prc Vol Rel Market Smrt etc
parentLimitVol	FLOAT		0	parent order limit volatilty if any
parentLimitPrc	DOUBLE		0	parent order limit price fill arrival
parentLimitRefUPrc	DOUBLE		0	limit reference underlier price fill arrival
parentTheoVol	FLOAT		0	client supplied theoretical volatility used for markup only copied from parent order
parentTheoPrc	FLOAT		0	option price corresponding parentTheoVol fillUMark
parentPosType	enum - PositionType		'None'	parent order position type
parentSSaleFlag	enum - ShortSaleFlag		'None'	short sale flag on parent order
parentStrategy	VARCHAR(36)		''	client strategy usually client supplied
noticeNumber	CHAR(19)		'0000-0000-0000-0000'	RFR Auction noticeNumber if any
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
pricingVersion	enum - PricingVersion		'None'	pricing library version
autoHedge	enum - AutoHedge		'None'	autohedge algorithm if any
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 if any
hedgeBetaRatio	FLOAT		0	portion of executed delta to autohedge can be 10 Beta for beta hedging 40 to 40
hedgeScope	enum - HedgeScope		'None'	hedge group scope
years	FLOAT		0	years to expiration
underliersPerCn	DOUBLE		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'
isin	VARCHAR(32)		''	ISO 6166 instrument identifier populated for securities with regional refdata empty otherwise
uPrcRatio	FLOAT		0	UPrcRatio SymbolRatio from product definition
minTickSize	FLOAT		0	minimum market price variation dnTickSize if on a boundary
priceFormat	enum - PriceFormat		'None'	SpiderRock price display format code
uPriceFormat	enum - PriceFormat		'None'	SpiderRock underlier price display format code
priceNotional	DOUBLE		0	fillQuantity fillPrice Stk fillQuantity fillPrice contractMultipler Fut fillQuantity fillPrice underliers Per Contract pointValue Opt
uPrcNotional	DOUBLE		0	FillSize Underlying Price mid market Underliers Per Contract pointValue Opt only
strikeNotional	DOUBLE		0	FillSize Strike Price Underliers Per Contract pointValue Opt only
realmCurrency	enum - Currency		'None'	Base currency of realm execution recieved in
pointToRealmRate	DOUBLE		0	FOREX rate from pointCurrency to realm base currency at time of execution
contraMPID	VARCHAR(4)		''	contra exchange member ID
contraPositionType	enum - SRPosType		'None'
contraOrderCapacity	enum - OrderCapacity		'None'	cust proCust firm etc
contraClearFirm	VARCHAR(5)		''	contra clearing CMTA instructions
contraClearAccnt	VARCHAR(5)		''
contraMarketMaker	VARCHAR(10)		''	contra market maker ID if any
contraDetail	TINYTEXT		''	additional contra side detail
uRefType	enum - URefType		'None'
uPrcTriggerLevel	DOUBLE		0
cxlUPrc	DOUBLE		0	uPrc cancel or cancelreplace trigger compare to uPrcTriggerLevel
cxlSource	enum - CancelSource		'None'
cxlSrcTimestamp	BIGINT		0	exchange or SIP claimed cxl trigger timestamp from an underlier print or quote market data event
cxlEngTimestamp	BIGINT		0	trigger event arrival to an SR street sgw or edge NIC card
cxlSndTimestamp	BIGINT		0	cancel or cancelreplace send timestamp
fillUPrcDriftMs25	DOUBLE		0	underlier price drift fillUPrc 25ms to fillUPrc beneficial detrimental
uSlip	FLOAT		0	dir signde dContigency dContigency uPrc slip through cxl trigger or zero 0
opxSlip	FLOAT		0	absde uSlip 05 ga uSlip uSlip 0
volSlip	FLOAT		0	001 opxSlip ve
prtUBid	FLOAT		0	live uBiduAsk at the time print event was received
prtUAsk	FLOAT		0
prtSize	INT		0
prtTimestamp	BIGINT		0	printEventsrcTimestamp
srcTimestamp	BIGINT		0	streetexchange claimed print time
sgwTimestamp	BIGINT		0	print arrival to an SR street or edge NIC card
engTimestamp	BIGINT		0	print arrival in an SR execution or edge engine
liveUPrc	DOUBLE		0	SpiderRock internal use only
liveMark	DOUBLE		0	SpiderRock internal use only
swapProvider	enum - SwapProvider		'None'	swap provider used for this execution if any
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	timestamp of this record not necessarily the timstamp of the fill itself

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`.`MsgSRParentExecutionV2`
WHERE 
    /* Replace with a BIGINT */ 
    `fillNumber` = 1234567890;

Doc Columns Query

SELECT * FROM SRTrade.doccolumns WHERE TABLE_NAME='SRParentExecutionV2' ORDER BY ordinal_position ASC;