Responding Via FIX
SpiderRock ATS clients ("Subscribers") can respond to AuctionNotice and AuctionState messages received via FIX or the SpiderRock MLink/WebSocket API by sending FIX NewOrderSingle and NewOrderMultileg messages. These messages can be sent to a SpiderRock Order Entry FIX Gateway using an appropriately provisioned FIX session.
Responding via FIX is best suited to Subscribers who already operate production-quality FIX infrastructure. Subscribers without live FIX order entry may find Responding Via MLink simpler to integrate.
Subscribers intending to respond via FIX are encouraged to connect to and develop against one of the SpiderRock Sandboxes prior to certifying sessions or responding to live auctions.
Message Reference
The same FIX message set is used for both Block and Flash auctions. SpiderRock notifies responders of liquidity opportunities, the responder submits orders, and SpiderRock returns execution reports.
| Message | MsgType | Source | Description |
|---|---|---|---|
| LiquidityRequest | R | SR | Notifies responders of a liquidity response opportunity. Used for both Flash and Block auctions; tag 303 (QuoteRegType) indicates which. |
| NewOrderSingle | D | Subscriber | Submits a response to a single-security liquidity request. |
| NewOrderMultileg | AB | Subscriber | Submits a response to a multi-leg (spread) liquidity request. |
| OrderCancelRequest | F | Subscriber | Cancels a previously submitted response. |
| OrderCancelReplaceRequest | G | Subscriber | Cancel/replaces a previously submitted single-security response. |
| MultilegOrderCancelReplace | AC | Subscriber | Cancel/replaces a previously submitted multi-leg response. |
| ExecutionReport | 8 | SR | Confirms and communicates the status of a response, including fills. |
| OrderCancelReject | 9 | SR | Rejects an OrderCancelRequest or OrderCancelReplaceRequest. |
Liquidity responses are cancelable and are automatically terminated by SpiderRock at the end of the auction sequence they are responsive to.
Key Auction Response Tags
The following SpiderRock-specific tags govern how a response participates in an auction. See the Auction Responder FIX Specs for the complete tag list, types, and requirements.
| Tag | Field | Comments |
|---|---|---|
131 | QuoteReqID | On a LiquidityRequest. Must be echoed back as SRCrossNoticeID (5208) on the response (24-character max). |
303 | QuoteRegType | B = Block, F = Flash. |
5208 | SRCrossNoticeID | The QuoteReqID from the LiquidityRequest. Identifies which auction the response is for. |
5094 | SROrderHandling | 23 = BlockResponse. |
54 | Side | Must be the opposite of the side disclosed in the LiquidityRequest. |
5098 | SROrderLimitType | 2 = Price (static), 3 = PriceDeGa (delta/gamma adjusted, uMid reference), 4 = PriceDeGaX (delta/gamma adjusted, uCross reference). Default is 2. |
5104 | SRTakeReachRule | 5 = FullSize, 10 = AtMost25, 11 = AtMost50. |
60 | TransactTime | The response must arrive within 15 seconds to be considered valid. |
For PriceDeGa / PriceDeGaX limit types, a responder may optionally supply its own reference underlier price (5108), delta (5110), and gamma (5112); each otherwise defaults to the SpiderRock-supplied value at order arrival.
Workflow Summary
- Liquidity Request: SpiderRock sends a LiquidityRequest (
R) over the FIX session when an auction matching the Subscriber's configuration begins. The same message is used for Flash and Block auctions, distinguished by tag303. - Response: The Subscriber submits a NewOrderSingle (
D) or NewOrderMultileg (AB), echoing the QuoteReqID into SRCrossNoticeID (5208) and setting the side opposite to the initiator's. - Confirmation: SpiderRock returns ExecutionReport (
8) messages confirming the response and reporting any fills. - Modify / Cancel: The Subscriber may cancel/replace (
G/AC) or cancel (F) an active response. SpiderRock returns an OrderCancelReject (9) if a cancel cannot be applied. - Auction End: Any uncancelled response is automatically terminated at the conclusion of the auction it was responsive to.
Resources
Learn more about connecting to SpiderRock FIX Gateways →
Read our Auction Responder FIX Specs →
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.