Auction Auto-Responders
SpiderRock ATS allows its clients (hereafter "Subscribers") to establish auction auto-responders capable of receiving auction notices and responding to both a SpiderRock ATS auction and on-exchange auctions. These auto-responders are created via messages sent (and updated as needed) to SpiderRock ATS, and must be established in advance of an auction.
This feature is best suited for Subscribers who can identify securities and total quantities (in contract, vega, or other terms) that they are generally willing to buy or sell in advance at mid-market or slightly better.
Auto-responders generally allow Subscribers to specify the underliers and expiries they are willing to respond to, the levels they are willing to respond at, and also, the total aggregate quantity they are willing to trade. If all of a responder's criteria are met, SpiderRock auto-responders generate SpdrParentOrders on the responder's behalf in order to participate in the auctions. These parent order records are visible in SRSE and MLink Servers and are subject to all normal SpiderRock risk controls as well as potentially triggering a SpiderRock StageReview sequence. In addition, drop copies of the parent orders and all associated exec reports can be delivered to Subscribers via FIX drop copy.
Auto-responders can be configured to respond to auctions for both listed and FLEX options. All auto-responder messages have primary keys allowing them to be replaced by sending a subsequent message with the same primary key. This mechanism can be used to update any auto-responder parameter including enabling or disabling it.
Auto-responder records can be uploaded to SpiderRock via the MLink/REST, MLink/WebSocket, or SRSE APIs.
Auto-Responder Configuration Messages
SpiderRock provides auto-responder message types, each designed for a specific option strategy. Subscribers configure and manage their auto-responders by sending the appropriate message type for the strategy they intend to respond to:
| Message | Description |
|---|---|
| AutoResponderVegaDir | Used to respond to auctions in which a leg(s) is going the same direction. |
Auto-Responding to VegaDir Auctions
The VegaDir auto-responder defines a "risk box" of strikes — scoped by underlier, expiry, and delta range (minXDelta to maxXDelta) — that a Subscriber is willing to either buy or sell. Any auction for a strike or combination of strikes within this risk box that meets a minimum surface edge requirement and has not exhausted the Subscriber's cumulative risk thresholds will be responded to automatically. Auto-hedge instructions can optionally be supplied to automatically hedge any resulting trades when they occur.
Subscribers can establish as many VegaDir auto-responder records as necessary to cover the full set of strikes they are willing to buy or sell at a given time.
Disclosures and Additional Resources
The information above summarizes certain technical aspects of the SpiderRock ATS for quick reference. While it captures important points and overviews certain topics from the SpiderRock ATS Subscriber Manual, it doesn't include every detail. For comprehensive information and complete context, consult the SpiderRock ATS Subscriber Manual.