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Market Data Products  Data Feeds
Data Feeds
The upgrade to Optimise™ allows for greater functionality and with this roll out we now have seven low-latency market data feeds. The high throughput, real-time feeds provide greater transparency and efficiency that utilize widely adopted FIX standards to decrease the integration efforts and on-going support costs. Each feed is assigned a unique set of multicast addresses so subscribers only listen to the content they chose, all leading to smarter trading decisions. These feeds are available to both members and non-members.
 

Feed
Description
ISE TOP Quote Feed
Real-time data feed that provides the aggregated volume of all quotes and orders at the top price level or the best bid offer (BBO) for simple (single legged) instruments. Includes ‘Customer’ and ‘Professional Customer’ quantity fields.
ISE Depth of Market Feed
Real-time data feed that provides the aggregated volume of all quotes and orders available at each of the top five price levels for simple (single legged) instruments. Includes ‘Customer’ and ‘Professional Customer’ quantity fields.
ISE Spread Feed
Real-time feed provides access to all complex (multi-legged) option strategies on ISE’s order book and quotes. This feed includes separate BBO, Depth, Order (with auctions) and Trade content for complex instruments only.
ISE Order Feed
Real-time data feed that provides a snapshot of every order that rests on the book for simple (single legged) instruments. This feed also announces the commencement of an auction including Flash, Facilitation, Solicitation, PIMs and Directed orders.
ISE Reference Data Feed
Snapshot feed provides a complete product and instrument description including its trading parameters and identifiers for simple and complex instruments. New instruments added intraday are reported immediately.
ISE Pre-Open Feed
Available only to market makers and provides pre-market opening indications and order imbalances for simple instruments.
ISE Trade Feed
Real-time data feed that provides last trade (price and quantity) along with other trade statistics.
ISE Implied Volatility and Greeks Feed A streaming data feed of real-time, low-latency implied volatilities and risk parameters for the entire universe of US equity, index and ETF options disseminated by the Options Price Reporting Authority (OPRA).

 


Bandwidth / Connectivity

Bandwidth
The data feeds are multicast in an A-feed / B-feed format, similar to OPRA, and we recommend redundant connections. Each feed has a separate set of IP addresses, which are in Appendix A of the MDI Programmer’s Guide. We also provide separate redundant test environments for development and testing.

MDI Feed
Bandwidth Requirement*
(to each data center)
TOP Quote (BBO)
200Mbps
Depth of Market
500Mbps
Spread Feed
25Mbps
Order Feed
5Mbps
Reference Data Feed
30Mbps
Pre-Open Feed
1Mbps
Trade Feed
5Mbps
 
*Bandwidth recommendations are based on 1-second peak rates and include 50-100% headroom. There are times when micro-bursts exceed these bandwidth recommendations, and it is expected subscribers will have adequate buffers in place so no packets are missed.
 
Co-location
There are a number of options for accessing the Market Data Interface (MDI) feeds, and the lowest latency option is using a cross connect at our primary data center, which is managed by Equinix and/or our back-up data center, which is managed by Telx. A choice of 1GB or 10GB cross connects are available, and we recommend redundant connections. See section 1 for actual data centers locations in our Connectivity Guide, which is available at the Members Area>>.
 

Managed Service Providers
There are also managed service providers and vendors that can provide you with connectivity.

Company Contact/Email Phone
Activ Financial (212)599-1600
Atrium Networks (212)387-2170
(212)387-2179
BT Radianz Sales - Walt Terbrusch
Support		 (212)205-1995
(877)228-1497
GuavaTech (312)604-4300
(312)604-4444
NYSE Technologies - SFTI (212)510-3614
(800)873-7422
NYSE Technologies - SuperFeed (212)510-3614
(212)461-3220
Options IT (646)205-2586
(646)205-2555
SAVVIS Financial Services
Support
 (630)229-8724
(888)638-6771
Verizon Financial Network (800)825-9196
(800)838 7928
 

Metro-Ethernet Providers
There are also a number of metro-Ethernet providers that can provide point-to-point connections to our data centers including: Sidera, Nexgen, Verizon and AboveNet.

Fees / How to Order

MDI Fees 
Some of the MDI Feeds are fee liable and there are cumulative discounts of 10-20% for subscribers of more than one fee liable feed (10% discount for two feeds and 20% discount for three feeds). These feeds are available to both members and non-members. Some of these fees are subject to SEC approval.

 
Name of Feeds

Base Fee
Controlled Device
Fee (b) - Pro/Non-Pro

Enterprise Unlimited Internal Use

Enterprise Unlimited Internal / External Use

TOP Quote

$3,000

$20/$0

$4,000

$5,000

Depth of Market(a)

$5,000

$50/$5

$7,500

$10,000

Spread Feed

$3,000

$25/$0

$4,250

$5,500

Order Feed

$2,000

$0/$0

$2,000

$2,500

Reference Data Feed

Available to all subscribers (no additional fee)

Pre-Open Feed

Available to Market Makers only (no additional fee)

Trade Feed

Available to all subscribers of one of the fee-liable feeds for no additional fee

 
(a) Subscribers accessing the Depth Feed can also access Top Quote for no additional fee (both feeds combined only count as one feed).
(b) Subscribers that  subscribe to more than one feed will only pay the highest Controlled Device Fee.
 
 
To Order: MDI Subscriber Agreement and Order Form
Subscribers will need to complete a Subscriber Agreement and Order Form to access the MDI Feeds. To subscribe, simply:
  1. Download both the MDI Subscriber Agreement and Order Form (Acrobat Standard v6.0 or higher users can type directly into the forms)
  2. Complete and sign both forms
  3. Email the signed forms to ISE or fax the signed forms to (212)509-3955
 
To Change Number of Devices: MDI Exhibit A
Subscribers can adjust the number of controlled devices on a monthly basis by simply completing and returning the MDI Exhibit A: 
  1. Download the MDI Exhibit A (Acrobat Standard v6.0 or higher users can type directly into the form)
  2. Complete and sign the form
  3. Email the signed form to ISE or fax the signed forms to (212)509-3955

Please contact Jeff Soule at (212) 897-8160 with any questions.
 

Documents

Quick Start Guide
This document provides key information about the Market Data Interface (MDI) for Optimise™. View the Quick Start Guide>>

Programmer's Guide
This document is a programmer’s reference guide intended to aid in the development and integration of the market data feeds produced by the ISE’s new Optimise trading system. It covers the general business behavior of the market data feeds, technology standards and techniques employed to provide this service. View the Programmer's Guide>>
 
Connectivity Guide
This document outlines the connectivity options to the ISE’s new data centers, which are being introduced in conjunction with the release of ISE’s new trading system. Access this guide at our Members Area>>
 
Sample Data and Template
Sample data and the templates are available to members and customers in our Members Area. Visit our Members Area>> for this content.

Support

Support for the MDI data feeds is available from 8 am to 6 pm (ET) on market days. The contacts are as follows:
 
Area Phone
Business Issues (212)897-8160
Technical Support (212)897-0284
API Support and Member Connectivity (212)897-0244, #2

FAQs



Client Category will be listed for all orders sent on the Order feed.  This includes the Customer designation.

No. They are completely different implementations, and they should be treated as such.

Yes, the new market data feed will have new IP addresses and only provide market data originated from the new trading system. See Appendix A of the Connectivity Guide for full list of IPs.

Yes. It is recommended that members connect to both data centers.
 
Yes.
 
Yes.

Yes so the subscriber can arbitrate between the A and B feeds.

No.

No.

A new template will be posted each time there is a new release.
    
FIX 5.0 included greatly expanded functions over previous FIX versions and provided more flexibility for development.
 
Please read the Quick Start Guide>>

Please refer to “Support” tab for a list of contacts.
 
Yes.  FIX FAST is much more mature now then when we launched our first feed in 2007, and there are a number of off the shelf open source libraries available. We have used the following:  http://code.google.com/p/quickfast/

Customer orders take precedence at the ISE so firms will now know how many customer contracts are at the front of the line.

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.

First of all, not all option exchanges offer depth of market data. ISE does offer a Depth of Market Feed and ISE is one of the largest equities options exchange so we generally have lots of liquidity beyond the top of the book. Anyone interested in seeing liquidity beyond the top of the book may be interested in this feed.
 
ISE proposes that a “controlled device” be defined as any device that a distributor of the ISE Depth of Market Feed permits to access the information in the ISE Depth of Market Feed offering.