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SpiderRock Connect Documentation

website·Indexed 31 days ago

https://docs.spiderrockconnect.com/

Technical specifications and message schemas for SpiderRock execution engines and SRSE products, including SRAnalytics, SRRisk, and SRTrade. This documentation covers version 8.6.9.2, detailing METADATA and BODY structures for market data, risk controls, and parent order management, with implementation guidance for Get Schema and Get Msg API calls via MLINK.

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What's inside SpiderRock

  1. Overview of SpiderRock Connect Sandbox Environments

    SpiderRock Connect provides mock sandbox environments for developing and testing integrations with the SpiderRock trading platform and ATS. Sandboxes are standalone processes not connected to live markets. They are available 23/7 (with a 1-hour daily maintenance window) and operate out of the NY5 data center. Two permanent environments are typically available: one mirroring current production software and one mirroring staging (pre-release) software. Sandboxes contain a limited set of representative tickers with either static or live (random walk) mock market data.

  2. Overview of SpanRiskCalculator METADATA table

    The METADATA table for the SpanRiskCalculator (Product: SRAnalytics) is used to perform custom span risk calculations based on input values supplied by either the user or SpiderRock (SR). It is accessed via the 5030-srse-calculators topic using the SRMLinkAnalytics MLink token on the MLink-Live endpoint. The table supports SELECT, UPDATE, INSERT, and DELETE operations.
    {
  "Topic": "5030-srse-calculators",
  "MLink Token": "SRMLinkAnalytics",
  "Product": "SRAnalytics",
  "accessType": "SELECT,UPDATE,INSERT,DELETE",
  "MLink Endpoint": "MLink-Live"
}

  4. Overview of SpiderRock Connect Platform

    SpiderRock Connect is an integrated order and risk management system built on an open message architecture. It provides live market data from major global exchanges and SpiderRock's derived analytics, supporting US and EU-based derivatives strategies for options, equity, and futures-based trading.

  6. Overview of SpiderRock Storage Engine (SRSE)

    The SpiderRock Storage Engine (SRSE) is a proprietary relational database based on MariaDB 10.11.4 with an in-memory storage engine. It provides an SQL interface to the SpiderRock Connect Live Messaging Platform for two primary purposes:

    1. Live Data Access: Provides real-time access to equity, options, and futures NBBO prices, implied volatilities, Greeks, prints, and risk records via standard MySQL bulk SELECT syntax.
    2. Order and Data Upload: Acts as a high-throughput gateway for uploading parent orders, position files, locates, restricted lists, and theoretical models. Data inserted into SRSE tables is published as live records across the platform.

  7. Overview of SpiderRock Historical Data Features

    SpiderRock provides historical market data and analytics for modeling, analysis, and backtesting. Key platform features include:

    • Point-in-Time (PIT) Accuracy: Data is preserved as PIT records to prevent look-ahead bias.
    • Quality Assurance: Daily production database checks for completeness and accuracy.
    • Data Quality Indicators: Error codes and surface quality parameters are provided to signal when input data is insufficient for accurate options analytic calculations.
    • Documentation: All datasets include extensive data dictionaries.

  8. Overview of SpiderRock Stock Closing Mark records

    SpiderRock Stock Closing Mark records provide closing quotes, prices, and corporate action adjustments between the prior and current trade dates. Records are created approximately 1 minute before market close and are updated when exchanges publish official marks. Equities are identified via a security key to facilitate historical backtesting.

  9. Overview of OptionEODFeaturesHist dataset (v8.6.9.2)

    The OptionEODFeaturesHist dataset (version 8.6.9.2) provides end-of-day option activity and surface features aggregated at the underlying security level. It is designed for underlyings with listed options and includes the following data categories:

    • Volume and Open Interest
    • Greeks-weighted metrics
    • Retail and institutional flow breakdowns
    • Volatility surface shape statistics
    • Historical averages

  10. Overview of SRTrade SRParentOrder metadata

    The SRParentOrder table in the SRTrade product (version 8.6.9.2) stores parent order records for stocks, futures, options, or spreads. These records can represent one-sided (agency) or two-sided (facilitation) orders. Records are immutable and are published to the SpiderRock elastic cluster immediately upon receipt via FIX, SRSE, SpiderRock GUI tools, or 3rd party vendor systems.