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ISE HOT Data

ISE Historical Options Tick Data™ (ISE HOT Data™) includes the full daily tick file of all trades and Best Bid Offer (BBO) quotes for equities, index and ETF options that are reported to the Options Pricing Reporting Authority (OPRA). Historical data is available from June 2005.

These comprehensive, historical data files can help improve trading efficiency by enabling sophisticated investment professionals to:
  • Conduct in-depth trade analyses
  • Back-test trading models
  • Serve as a data source for compliance requests and time and trade queries 
Currently, there are two historical data offerings available:
  • End-of-day file through an annual subscription downloaded from an FTP server
  • Subscriber ad-hoc requests for a specific date range delivered on a portable hard drive

Both offerings are delivered as compressed files to reduce delivery bottlenecks. The size of the daily file for 2009 was approximately 34GB compressed or 63GB uncompressed and for 2010 the size of the daily file is approximately 31GB compresses or 60GB uncompressed. Subscribers need to run WinZip (version 9.0 or higher) to uncompress the files.

Please note: Foreign Currency Option (FCO) data is not included.
Contact Us
If you have questions about ISE HOT Data or any other Market Data products, Contact Us.


Details/Documentation

OPRA Data Distribution
OPRA combines market data from all seven US equity options exchanges and transmits the data feed across 24 separate transmission lines (prior to April 2006, OPRA only transmitted data across eight separate lines). The data is distributed according to the first few letters of the option root symbol for each option series (not the underlying security). For example, currently data Line 1 will contain option series with option root codes A-APV, Line 2 will contain APW-BK, and so on (refer to page 89 in the OPRA Data Recipient Interface Specification available at http://www.opradata.com/specs/data_recipient_interface.pdf.
 
ISE Data Capture
ISE captures the raw OPRA data feed and stores it in 24 individual files (one file for each line) for each trading day. In addition, ISE provides a separate MD5 hash file that corresponds to each of the 24 files to allow for file consistency checking. ISE also provides a daily file, beginning in August 2006, containing the option root codes for each underlying symbol traded at ISE. The daily files are compressed using WinZip so users will need WinZip v9.0 or higher to unzip the files. Because the data files may each be larger than 2 GB, any Unzip program (e.g., running on UNIX or LINUX) will need to have 64-bit internal file pointers to successfully decompress the files.
 
OPRA Message Formats and Encoding
OPRA data consists of messages (quotes, trades, open interest, etc.) made up of ASCII characters that must be parsed in order to work with the data. The format of each of the OPRA message types is given in the OPRA Data Recipient Interface Specification.
 
Starting in April 2008, OPRA began encoding the messages using “FAST for OPRA”. FAST (FIX Adapted for STreaming) is an encoding algorithm that compresses the OPRA messages into FAST packets. This reduces the size of the OPRA ASCII messages by approximately 60-70%. Technical details on the FAST for OPRA specification for the latest changes can be found in the document: “FAST for OPRA: SIAC Technical Information for OPRA Data Recipients” available at http://www.opradata.com/specs/fast_for_oprav2_00.pdf.
 
The OPRA FAST packets must be decoded before processing the OPRA ASCII messages. Fortunately OPRA provides an off-the-shelf decoder.
 
Working with the OPRA FAST Decoder
The OPRA FAST decoder will decode the OPRA FAST packets into the native OPRA ASCII messages. We have tested the OPRA decoder with some sample data. Since the decoder is designed to read multicast traffic, we found that some small edits to the code are required to correctly decode the HOT Data™ files provided by the ISE.
 
 
 
Additional Documentation
In November 2008 OPRA made some enhancements which required some changes to certain fields within the messages. The most noticeable change is OPRA now uses millisecond timestamps. Therefore you will need another document that has the specification for the Output Message Header which includes the expanded characters for ‘Time’ to support millisecond timestamps and for the expanded ‘Message Sequence Number.’ See page number 3 of the following document: http://www.opradata.com/specs/symbology_data_recip_20080708.pdf.

Additional Information
There are additional changes planned under the OPRA Symbology Implementation Plan with testing scheduled to begin in September 2009 and the full cut over to new symbology in February 2010. We strongly suggest you keep up with the latest OPRA notices at the following link: http://www.opradata.com/specs/data_recip.jsp.

Monthly File Sizes

Number of Months
Month Ending
Number of Days
Compressed Size
(GB)
Uncompressed Size
(GB)
1 2005 June 22 153 631
2 2005 July 20 153 629
3 2005 August 23 171 701
4 2005 September 21 187 761
5 2005 October 21 299 1,205
6 2005 November 22 254 1,030
7 2005 December 22 226 919
8 2006 January 20 276 1,113
9 2006 February 19 266 1,072
10 2006 March 23 318 1,277
11 2006 April 19 285 1,202
12 2006 May 22 374 1,574
13 2006 June 22 389 1,638
14 2006 July 20 331 1,396
15 2006 August 23 312 1,327
16 2006 September 20 310 1,306
17 2006 October 22 370 1,573
18 2006 November 21 349 1,484
19 2006 December 20 281 1,205
20 2007 January 20 347 1,479
21 2007 February 19 276 1,178
22 2007 March 22 381 1,594
23 2007 April 20 267 1,143
24 2007 May 22 368 1,556
25 2007 June 21 417 1,738
26 2007 July 21 501 2,067
27 2007 August 23 714 2,929
28 2007 September 19 411 1,668
29 2007 October 23 666 2,699
30 2007 November 20 896 3,580
31 2007 December 21 631 2,535
32 2008 January 21 1,077 4,263
33 2008 February 20 885 3,486
34 2008 March 20 898 3,565
35 2008 April* 22 713 2,413
36 2008 May 21 562 998
37 2008 June 21 653 1,139
38 2008 July 22 908 1,532
39 2008 August 21 612 1,037
40 2008 September 21 879 1,528
41 2008 October 23 1,257 2,118
42 2008 November 19 1,033 1,741
43 2008 December 22 832 1,502
44 2009 January 20 751 1,404
45 2009 February 19 761 1,422
46 2009 March 22 920 1,723
47 2009 April 21 842 1,563
48 2009 May 20 747 1,363
49 2009 June 22 673 1,236
50 2009 July 22 618 1,126
51 2009 August 21 582 1,063
52 2009 September 21 634 1,160
53 2009 October 22 733 1,358
54 2009 November 20 673 1,295
55 2009 December 22 569 1,135
56 2010 January 19 659 1,288
57 2010 February 19 636 1,207
58 2010 March 23 566 1,088
59 2010 April 21 637 1,192
60 2010 May 20 1,089 1,978
61 2010 June 22 1,148 2,106
Totals 1,282 34,726 96,238

Support

Support for ISE HOT Data is available from 8 am to 6 pm (ET) on market days. The contacts are:
 
Business Issues (212) 897-8160
Technical Support (212) 897-0284

FAQs

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Does this offering only include ISE Historical Options Tick Data?
No. This is the full OPRA daily file that also includes ISE data.
 
Does HOT Data have all OPRA data?
We include all OPRA data except for foreign currency options (FCOs).

How far back does your historical tick data go?
We currently we have tick history from June 1, 2005 to the present.

What is the actual data content?
We collect the full OPRA A/B broadcast except for foreign currency options from approximately 6:00 a.m. to 6:00 p.m. ET. Please refer to Section 7, Field Descriptions, for a complete list of available fields at www.opradata.com/specs/data_recipient_interface.pdf.

What is the delivery format?
We collect and deliver data using the standard OPRA format. The data is split up over a number of separate files in alphabetical order. Each file is compressed to reduce delivery bandwidth and storage requirements.

What is the size of the daily file?
For all of 2009, the average daily file size is approximately 35 GB compressed, or 66 GB uncompressed. Because the data files may each be larger than 2 GB, any unzip program for UNIX or LINUX will need to have 64-bit internal file pointers to successfully decompress the files. Windows users running WinZip will need version 9.0 or higher.
 
What is the total size of all the historical data?
Through the end of 2009 the size of the data base going back to June 2005 is approximately 30 TB compressed or 87 TB uncompressed. The break-down is as follows:
  • 2005: 1.5 TB compressed, 5.8 TB uncompressed (June-December)
  • 2006: 3.9 TB compressed, 16.2 TB uncompressed
  • 2007: 5.9 TB compressed, 24.2 TB uncompressed
  • 2008: 10.3 TB compressed, 25.3 TB uncompressed
  • 2009: 8.5 TB compressed, 15.8 TB uncompressed

Are there discounts for purchasing larger amounts of historical data (i.e., 6 months or more)?
The annual subscription fee or 12 months of historical data offers a discount of approximately 25% over the subscription fee for a standard ad-hoc request.

How do I place an order for historical data?
Each order request requires an order form to be prepared. Contact us to begin your order.

Are there special terms and conditions that apply to the purchase, use and storage of this data?
Yes, a one-page agreement with the terms and conditions will be sent with each order form.

What are the delivery methods for the historical options tick data?
There are two methods:

  • Clients can subscribe to a daily file of OPRA tick history, which is downloaded from a FTP server, or
  • Clients can submit an ad-hoc request for a specific date range, which is delivered on a portable hard drive.

How long will it take to get access to the FTP server to begin downloading data?
A subscriber will receive a user name and password within 24 hours of submitting the data agreement and order form.

How long will it take to prepare and deliver the data for an ad-hoc request?
The delivery time for ad-hoc requests depends on the amount of data and when we receive the order. If we receive an order before 10 a.m. (ET), the following delivery times can be expected: 1-3 months of data – approximately 3 business days; 4-6 months of data – approximately 5 business days; 7-9 months of data – approximately 6 business days; more than 10 months, please contact us.

What delivery/storage mechanisms are used to deliver the data for ad-hoc requests?
We deliver the data on external portable hard drives, which are retained by the subscribers and can be reused.

How do I process this data?
Some OPRA feed handlers may have the capability to read this data. Alternatively, an OPRA parser can be written using the OPRA Data Recipient Interface Specification. You should also refer to steps on www.ise.com/hotdata under the 'Detail/Documentation' tab.

Is there any software included or third-party programs to process this data?
No. However, there are a couple of third-party software providers that sell a data loader with an API. Please contact us for additional details.

Can I request a specific subset of equity options (e.g., the 10 most active names), or is it all or none for the period specified?
In the current phase, we do not process requests for subsets of data based on symbols. However, OPRA now splits the tick data into 24 separate files, so each daily file consists of 24 separate zipped files. The split up is done based on the first letter of the symbol for each security. Therefore, File 1 = A, File 2 = B, etc., so if you were looking for all of the options starting with “Q,” you would not need to process the complete daily file. Please refer to page 86 of the OPRA Data Recipient Interface Specification.

Are there any prohibitions on redistribution?
Yes. The terms specify that the data is for internal use only. We will consider redistribution requests on a case-by-case basis.

Is this data cleansed or filtered in anyway?
We capture the raw OPRA feed and do not impose any judgmental cleansing or filtering criteria of the data, which can impede the results of back testing.