Are the trades also reported on this feed?
This feed will contain quote and order data from the ISE only. All trade data is available via the standard OPRA feed.
Is this data part of the OPRA feed?
This is a separate feed from OPRA since OPRA only provides the BBO. The multicast feed is currently distributed by BT Radianz and is available over the Secure Financial Transaction Infrastructure (SFTI).
How much bandwidth do I need for this feed?
You will need to order a redundant connection of 250Mb each (250Mb A: 250Mb B).
What is the FIX FAST protocol?
FIX FAST stands for FIX Adapted for STreaming. FIX is the industry-driven messaging standard that was created in 1992 and the FIX Protocol Organization more recently developed the FAST protocol as a common industry standard for real-time market data. The FAST algorithm has the ability to reduce the bandwidth requirements by 70-80% over a standard FIX message. ISE is an active member and sponsor of the FIX Protocol Organization. For more information about the FIX Protocol Organization, please visit http://www.fixprotocol.org/fast.
In your schedule of fees you mention a subscriber. What is the definition of a subscriber?
A subscriber, as proposed by ISE, is defined as any firm that receives an ISE data feed directly from ISE or indirectly through a vendor and then distributes it either internally or externally. All distributors will execute an ISE subscriber agreement.
In your schedule of fees you mention a controlled device. What is the definition of controlled device?
A controlled device, as proposed by ISE, is defined as any device a distributor of ISE Depth of Market Feed permits to: (a) access the information in the ISE Depth of Market Feed offering, or (b) communicate with the distributor so as to cause the distributor to access the information in the ISE Depth of Market Feed offering.
I am very interested so what do I do now?
Please read the ISE Depth of Market Feed Quick Start Guide.
Will a subscriber need to build a FAST decoder?
Yes. ISE provides a FAST Decoding Demonstration Application, which is a simple program that decodes the FAST messages sent by ISE at a subscriber’s location. The decoded messages will be written to a set of data log files. The subscriber can use this open source application to build their own decoder.
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Security Status
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Full Refresh/Snapshot
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Incremental Refresh
The messages will come across 16 IP addresses and they are intermingled. The Security Status message will alert you to which symbols are coming across which IP address and the Snapshot message is used to create the record for each option.
Full Refreshes (Snapshots) are always sent in the same sequence in the snapshot cycles from each IP address.
If a new symbol is added intra-day it will be added to the end of the sequence and then transmitted in that position for the remainder of the day.
Customer orders take precedence at the ISE so firms will now know how many customer contracts are at the front of the line.
Yes the sequence numbers from the A & B site are the same for all messages so you would be able to arbitrate between the A & B lines.
No you could not receive a Snapshot message that was different from an Incremental message because the refresh loop provides the most recent Incremental message.
The Snapshot messages begin at 6 am ET before the market open, and we have no idea of which symbols will be active so the Snapshot messages will include all symbols whether they are active or not.
If a retail trader enters an option order through a broker like optionsXpress, the broker will designate the order as a Customer order. When a member like Morgan Stanley or Goldman enters a trade on behalf of a large customer, institution or hedge fund, the trade is also designated a CUSTOMER trade.
Members like Morgan Stanley or Goldman can also enter trades for their own account and this type of trade is designated as FIRM trade, which can also be proprietary trades. MARKET MAKER trades can only be entered by designated market makers at the ISE.
Can individuals trade directly?Only members can trade at the ISE. We have many members including brokers that offer trading to their customers through front-end applications and some of these applications allow the customer to designate which exchange they would like to trade with. Those customers with exchange designation capabilities can direct their order to the ISE.
Why aggregate only the top five price levels?
The ISE aggregates all quotes and orders at the top five price levels so our customers do not have to, which reduces the bandwidth requirements and further reduces the telecommunication fees. We can aggregate more than five levels if necessary since the aggregation server is configurable. We will monitor the activity in the market place and we can change the setting if required.
Anyone interested in seeing liquidity beyond the top of the book may be interested in this feed. For an example of liquidity beyond the top of the book please click on the “Interactive Demo” link on the right side of this page and enter the following information: Step1: AAPL, Step 2: APVAV, Step 3: Medium and Start. Increased liquidity can enhance trading opportunities.
What is your definition of a distributor or redistributor?ISE proposes that a “distributor” be defined as any firm that receives an ISE data feed directly from ISE or indirectly through a vendor and then distributes it either internally or externally. Further, ISE proposes that all distributors execute an ISE distributor agreement. “Redistributors” include market data vendors and connectivity providers such as extranets and private network providers.
The following rates are the peak rates as of November 23, 2009:
Messages
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Average of 38,000 messages per second
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Peak of 802,695 messages per second (one-second peak)
Bandwidth