Responding Via MLink
Overview
This page focuses on the messages relevant to auction participants. AuctionNotice and AuctionState messages are available to SpiderRock ATS clients ("Subscribers") via the SpiderRock MLink/WebSocket API. To gain access, responders must:
- Secure an MLink API Key
- Connect to an MLink/WebSocket server
- Subscribe to both AuctionNotice and AuctionState messages
Once subscribed, Subscribers will receive AuctionNotice messages that match their MLink API Key configuration. These messages contain as much information as the initiator has chosen to reveal. For example, if the initiator has disclosed their identity, it will be included in the AuctionNotice message the Subscriber receives.
For more general information on connecting, subscribing, sending, and receiving messages, please refer to the MLink/WebSocket API documentation.
Auction Notice Messages
| Message | Source | Description |
|---|---|---|
| AuctionNotice | SR | Primary message used to notify responders that an auction has started and/or that an initiator has updated their public parameters. Available for all SpiderRock ATS auctions as well as for exposure and price improvement auctions that take place on options exchanges. |
| AuctionState | SR | Contains the state of the most recent auction trial match. Sent at the conclusion of Flash Auctions and once per second for Block Auctions. |
| AuctionPrint | SR | Corresponds to auction notices for all exchange-facilitated auctions including secondary (on-exchange) SpiderRock ATS auctions. |
| UserAuctionFilter | Subscriber | Message used to filter, control, or limit delivery of the above auction messages. Messages that are blocked by the relevant filter will not be received. |
Specialized Strategy Notices
SpiderRock ATS distributes specialized auction notice messages designed to make it easier to respond to certain common option spread strategies. These are delivered in addition to normal auction notices and are not required in order to respond successfully to these strategies.
Specialized notices contain a noticeNumber and can be responded to in the same manner as normal notices.
| Message | Source | Description |
|---|---|---|
| AuctionNoticeRC | SR | Rev/Con (+C/-P/-S) auction notice message |
| AuctionNoticeBX | SR | Box spread auction notice message |
| AuctionNoticeSN | SR | Synthetic (+C/-P) auction notice message |
Auction Response Messages
NoticeResponse messages can be sent through MLink/WebSocket connections to respond directly to AuctionNotices, whether the notice is from either a SpiderRock ATS or an on-exchange auction. Responders are expected to process the associated NoticeExecReport messages to receive confirmation of, and updates to, their NoticeResponses. This is a simpler method (relative to FIX) of responding to auction notices, particularly for Subscribers that do not currently operate production-quality live FIX infrastructure.
| Message | Source | Description |
|---|---|---|
| NoticeResponse | Subscriber | Message used to participate/respond to an AuctionNotice. Responses are by noticeNumber and only one response is allowed per user per noticeNumber. Subsequent responses from a user will cancel/replace any previous response for the same noticeNumber. |
| NoticeExecReport | SR | Message used to confirm and communicate the status of a NoticeResponse. Similar to a FIX execution report. |
| NoticeCancel | Client | Cancels a previous NoticeResponse by noticeNumber. |
NoticeResponse messages are converted to SpdrParentOrder messages by the MLink/WebSocket API and are visible both via SRSE and other MLink servers. SpiderRock can also send either execution-only FIX drop copy streams or full parent order FIX drop copy streams back to responder firms such that the FIX drop copies replicate the associated MLink/WebSocket API interaction.
Workflow Summary
The MLink API's integration into the SRConnect workflow can be summarized in the following steps:
- Auction Notice Generation: The MLink Server publishes an AuctionNotice (Block/Flash) when a new auction is available that matches the client's predefined filters.
- Client Decision Process: The Client Auction Responder receives the AuctionNotice and uses the client's strategy and risk profile to decide whether to participate in an auction.
- Response Handling: The client's NoticeResponse is sent to the MLink Server, which then processes it and returns a NoticeExecReport.
- Trial Match: AuctionState messages are sent at the conclusion of each auction trial match (once per second while the auction is running for Block Auctions, at conclusion for Flash Auctions)
- Cancellation Option: Clients retain the ability to send a NoticeCancel message if they choose to withdraw from an auction.
Stage Review Sequence
At a Subscriber's request, SpiderRock can configure a trading account such that any SpdrParentOrder created from a NoticeResponse message triggers a Stage Review sequence. This sequence would occur before a live response is sent to SpiderRock ATS or forwarded as a live exchange auction response or child order.
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, the return of the order is deemed a successful risk and compliance check and the original SpdrParentOrder is allowed to proceed. This mechanism can both provide a risk control and serve as a pathway for supplying certain 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
This page summarizes key technical aspects of the SpiderRock ATS for concise reference purposes only. While it encapsulates key points and provides an overview of certain content topics found in the SpiderRock ATS Subscriber Manual, it may not capture every detail. For comprehensive understanding and complete context, please refer to the SpiderRock ATS Subscriber Manual.