Initiating Via MLink
Overview
This page focuses on the messages relevant to auction initiators. SpdrParentOrder, SpdrParentBrkrState, AuctionState, and NoticeExecReport (or SpdrParentExecution) messages are available to SpiderRock ATS clients ("Subscribers") via the SpiderRock MLink/WebSocket API. To gain access to MLink and initiate a Block or Flash auction, initiators must:
- Secure an MLink API Key
- Connect to an MLink/WebSocket server
- Post a SpdrParentOrder to initiate a Block or Flash Auction
- Receive a parent number from the MLink server
- Retrieve the noticeNumber from SpdrParentBrkrState
- Monitor AuctionState messages for that noticeNumber
For more general information on connecting, subscribing, sending, and receiving messages, please refer to the MLink/WebSocket API documentation.
Message Reference
Auction Initiator Messages
SpiderRock publishes the following messages to notify initiators of auction status and execution details:
| Message | Source | Description |
|---|---|---|
| SpdrParentOrder | Client | Message used to initiate a Block or Flash Auction. Includes order details such as strategy, size, limit price, and auction parameters. |
| SpdrParentBrkrState | SR | Contains the status and state information for the parent order, including the assigned noticeNumber that identifies the auction. |
| AuctionState | SR | Contains the state of the most recent auction trial match, including bid/ask solutions and disclosed responder lists. Sent once per second for Block Auctions and at the conclusion of Flash Auctions. |
| NoticeExecReport (or SpdrParentExecution) | SR | Message used to confirm and communicate execution status for the initiated auction. Similar to a FIX execution report. |
Workflow Summary
The MLink/WebSocket initiator workflow can be summarized in the following six steps:
- Auction Initiation: The client sends a SpdrParentOrder to the MLink Server to initiate a Block or Flash Auction. The initiator can choose to send the auction to:
- SpiderRock ATS network
- Direct counterparty network
- Both networks simultaneously
- Order Confirmation: The MLink Server processes the order and returns a parent number, which serves as the primary identifier for the parent order.
- Notice Number Assignment: The SpdrParentBrkrState message provides the noticeNumber, which identifies the specific auction notice associated with this parent order.
- Auction Monitoring: Once a client initiates an auction, they should monitor the AuctionState messages. These provide the bid and ask solution of the auction notice you initiated, as well as the bid and ask responder lists for disclosed counterparties.
These messages are delivered throughout the auction lifecycle:
- For Block Auctions: sent once per second while the auction is running
- For Flash Auctions: sent at the conclusion of the auction
- Execution Reporting: NoticeExecReport (or SpdrParentExecution) messages communicate the final execution status, including fills, partial fills, or cancellations.
- Cancellation Option: Initiators may send a SpdrParentCancel message at any point to cancel an active auction.
Stage Review Sequence
At an initiator's request, SpiderRock can configure a trading account such that any SpdrParentOrder triggers a Stage Review sequence. This sequence occurs before the auction notice is published to SpiderRock ATS or to direct counterparty networks.
In a Stage Review sequence, SpiderRock sends a FIX NewOrderSingle or NewOrderMultileg message to an order entry gateway implementing risk and/or compliance checks for the Subscriber firm. If the gateway forwards the review order back to SpiderRock, this is treated as a successful check, and the original SpdrParentOrder is allowed to proceed. This mechanism serves both as a risk control and as a pathway for supplying compliance and operations details (e.g., sell short versus sell long, existence of a locate, opening/closing indicators, allocation details, and so on).
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.