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ISE Spread Book Feed

This real-time feed provides access to all multi-legged option strategies on our order book. These complex strategies include spreads, buy-writes and delta-neutral orders of up to four legs. The spreads order information includes instrument data, spreads ratio, order quantity and net price.

When you place an order at the ISE a separate security identifier will be randomly generated the first time a complex order with a unique structure is entered into the ISE Spread Feed Book, and this will allow you to track your order. More than one order can share the same security identifier if the unique structure uses the same series which shows consolidated liquidity.
 
Today we see unprecedented volume for complex orders and this feed provides transparency into additional liquidity to help subscribers improve their trading efficiency.

Details

Data Format
ISE Spread Book Feed uses message formats based on the FIX 5.0 specification. There are only two messages types for this feed: Full Refresh and Incremental Refresh. Many firms have developers proficient in FIX, which should minimize the integration effort and reduce on-going support requirements.

Characteristics of complex order structures include:
  1. Series Legs – Up to four legs (series) plus a cash equities leg
  2. Ratio of each leg
  3. Side of each leg (buy/sell)
Documentation
The following documentation is currently available for ISE Spread Book Feed:
Support
ISE support for ISE Spread Book Feed is available from 8 am to 6 pm (Eastern Time) on market days and the contacts are as follows:
 
ISE Contacts
Business Issues (212) 897-8160
Technical Support (212) 897-0284
API Support (212) 897-0244, #1
Member Connectivity (212) 897-0244, #3
For additional information please send us an email.
 
 
Connectivity & Data Access
We recommend a redundant connection with a minimum of 25 Mbps of bandwidth (25Mbps A side: 25Mbps B side). The multicast feed is currently distributed by:
  • Atrium Networks
  • BT Radianz via the Radianz Shared Market Infrastructure
  • NYSE Technologies - SFTI (Secure Financial Transaction Infrastructure)
  • SAVVIS Financial Services
  • Verizon Financial Networking
  
Atrium Networks
(212) 387-2170
(212) 387-2179
 
BT Radianz, Inc.
Pam Friedberg (212) 205-1895
Support (877) 228-1497
 
NYSE Technologies - SFTI (Secure Financial Transaction Infrastructure)
(212) 510-3614
(800) 873-7422
 
SAVVIS Financial Services
Sales (800) 463-8294
Support (888) 638-6771
 
Verizon Financial Networking
Sales-Christopher Renson (914)312-6947
Sales-Rhonda Greif (914)312-6082
Support (800)825-9196

Fees/How to Order

Fees
There are currently no fees for the use of the ISE Spread Book Feed.

Subscription Details
Although there are no subscription fees, we do require subscriber to complete a license agreement. To subscribe to ISE Spread Book Feed, simply:
  1. Download and complete the Licensing Agreement (Acrobat Standard v6.0 or higher users can type directly into the form)
  2. Sign the form
  3. Email the signed form to ISE or fax the signed form to (212) 509-3955 (Please provide your connectivity vendor of choice)

We will process your order promptly and respond within 24 hours.

Technical Bulletins

Technical Bulletins are distributed to end users of ISE Spread Book Feed to notify them of upcoming changes. Previously distributed bulletins include:

FAQs

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 No. The quotes/orders on ISE Spread Book Feed are separate from and not included on OPRA.
 
Are the trades also reported on this feed?
No. This feed will contain only order data from the ISE. All trades are reported on the standard OPRA feed.
 
Is there any other difference between the ISE API feed and the ISE Spread Book Feed?
The data is the same, but the main difference is the new ISE Spread Book Feed is a multicast feed so the updates may be faster.
 
How many legs are supported with the ISE Spread Book Feed?
ISE Spread Book Feed supports up to four legs plus a cash equities leg.
 
If I enter a spreads order at the ISE, how do I track it through this feed?
A separate security identifier will be randomly generated the first time a complex order with a unique structure (legs, series, sides, ratio) is entered into the ISE Complex Order Book. Any order that is entered for the identical structure will share the same security identifier in the spread book feed, which will also include the order’s unique ISE-assigned order ID.
 
How much bandwidth do I need for this feed?
You will need to order a redundant connection of 25 Mb each (25 Mb A; 25 Mb B).
 
Who do I contact for support or additional questions?
Please see “Support” under the Details tab for a list of support contacts.
 
What different connectivity options does ISE offer for ISE Spread Book Feed?
ISE Spread Book Feed is currently distributed by Atrium Networks, BT Radianz via the Radianz Shared Market Infrastructure, NYSE Euronext Advanced Trading Solutions Secure Financial Transaction Infrastructure (SFTI®), SAVVIS Financial Services and Verizon Financial Networking.
 
  • Full Refresh/Snapshot
  • Incremental Refresh

What are the hours of operations for ISE Spread Book Feed?
ISE Spread Book Feed comes online each day at approximately 7:00 am ET and continues to broadcast information throughout the trading day. The services stop broadcasting at 5:00 pm ET.
 
Are the Full Refreshes messages always in the same order throughout the day?
Typically Full Refreshes (Snapshots) are sent in the same sequence in the snapshot cycles from each IP address. However, as the Combo Order Book (COB) grows through the day to include more strategies, there are more snapshots toward the end of the day than at the beginning of the day. In the rare cases of internal recovery failover, the sequence of snapshots might be changed.
 
Are the sequence numbers that come from your A & B sites the same for a given message? Can we use sequence numbers to arbitrate, determine failover points, etc.?
Today there is only data on one stream at a time so you cannot arbitrate between the A & B stream. In event of an outage at the primary location, the ISE will fail-over to the back-up stream.
 
Would a Snapshot message, which is part of the continuous refresh loop, ever contain a book update that was not also sent in an Incremental update?
No, you could not receive a Snapshot message that was different than an Incremental message because the refresh loop provides the most recent Incremental message.
 
How are debit/credit orders represented on the ISE Spread Book Feed?
A debit order is represented as BID for a spreads structure while a credit order is represented as an OFFER for the inverse spreads structure. For details and examples please refer to the ISE Spread Book Feed Programmers’ Guide.
 
Are IOC orders disseminated on the ISE Spread Book Feed?
No. IOC Orders are NOT disseminated on the ISE Spread Book Feed.
 
Are Crossing orders disseminated on the ISE Spread Book Feed?
Yes. Crossing Orders are disseminated on the ISE Spread Book Feed. However, responses to crossing orders are NOT disseminated on the ISE Spread Book Feed.
 
Does ISE Spread Book Feed provide stock/options order information?
Yes. ISE Spread Book Feed provides information for both options only complex orders and options tied to stock orders.