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ISE TOP Quote Feed

ISE TOP Quote Feed is a real-time data feed that provides the aggregated volume of all quotes and orders at the top price level or the best bid offer for options that trade on ISE.

This offering is available as a direct connection and helps subscribers improve trading efficiency for latency sensitive applications.

ISE TOP Quote is delivered using the FIX FAST (FIX Adapted for STreaming) information protocol. ISE was an active member in the FIX Protocol Organization, which developed the FAST protocol to encourage use of a common industry standard for market data.

Details

Documentation
ISE TOP Quote Feed - After Feb 1, 2010
The design of the feed uses the FIX FAST (FIX Adapted for STreaming) market data protocol. The following documentation is available:
 
There is also a free source utility to decode the FAST messages that is available. This utility contains a command file that may be blocked by your firewall so if you are interested please send us an email.
 
ISE Contacts & Support
Support for the ISE TOP Quote Feed is available from 8 am to 6 pm (ET) on market days. The ISE contacts are:
 
Business Issues (212) 897-8160
Technical Support (212) 897-0284
API Support (212) 897-0244, #1
 
Connectivity & Data Access
We recommend a redundant 100Mbps (100Mbps A side: 100Mbps B side) connection. The multicast feed is currently distributed by several managed service providers. The contacts are:
 
ACTIV Financial
(212) 599-1600
(212) 599-1600
 
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
 
NYSE Technologies - SuperFeed
(212) 510-3614
(212) 461-3220
 
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

ISE TOP Quote is available to all ISE Depth of Market Feed subscribers for no additional ISE fees. Please refer to the "Fees/How to Subscribe" tab on www.ise.com/depth.

For additional questions please email us.

Symbol Mapping

ISE TOP Quote Feed data is distributed across 24 channels (i.e. IP addresses) and several subscribers have requested a list that shows which symbols are available on specific IPs.
 
All ISE-traded option symbols/series are mapped to specific order books and all order books are mapped to specific IP addresses on the ISE TOP Quote Feed. This is NOT a static list and we will make adjustments as often as necessary to rebalance the load across the 24 available IP addresses. As a point of reference, there were not more than four rebalances over the past year.
 
Keep in mind that we begin each day distributing a ‘full refresh’ message for every symbol/series which takes two minutes. If you listen to the ‘full refresh’ messages prior to market opening you will know which symbols are assigned to which IP for that day.
 
Examples of changes made during a rebalance include:
  • Moving order books from one IP to another
  • Moving symbols from one order book to another
  • Creating new order books and splitting the symbols from an existing order book across additional order books
  • Adding new symbols
  • Deleting old symbols
 
If you prefer to have a list of which symbols/series are mapped to specific IP you will need to follow a two-step process:
  1. Download the more recent list of symbols/series to order book assignment: www.ise.com/WebForm/options_product_equityDownload.aspx
  2. Once you know which order book the symbol is in then align the order book with the proper IP in the list below or by using our Orderbook to IP Mapping spreadsheet (updated 12/16/09)
Should you have any questions or need further assistance please contact tms@ise.com or (212)897-0244, extension 1.

 

Technical Bulletins

FAQs

The ISE TOP Quote Feed and ISE Depth of Market Feed are created by the same market data infrastructure and both utilize the FIX FAST protocol. There is minimal effort to write to ISE TOP Quote if you have already written to ISE Depth of Market Feed. There are highlighted areas in the Programmer’s Guide that will provide the subtle differences. If you have not already written to the ISE Depth of Market Feed we highly recommend that you refer to the FAQs for the ISE Depth of Market Feed since they are not duplicated below.

 
 
 
 
 
 
 
 
 
Is the ISE BBO available on OPRA the same as the BBO on the ISE TOP Quote Feed?
Yes, the identical ISE BBO is created on internal systems and disseminated to OPRA and the TOP Quote Feed at the same time. Keep in mind that OPRA is disseminating the BBO quotes and trades from all option exchanges and the ISE feed only contains the BBO from ISE, so it is a significantly less data. Today OPRA recommends approximately 400Mbps and the recommendation for the ISE Top Quote Feed is only 40Mbps. Therefore, it is likely that the ISE Top Quote Feed could reach its destination quicker but it will depend on each subscriber’s physical distance and connection to the ISE.

Can a subscriber co-locate their market data infrastructure at the ISE data center?
Yes, the company that manages the building for the ISE data center does offer co-lo services, which would minimize the physical distance the data would need to traverse.
 
Is there any other quote data on the ISE TOP Quote Feed that is not on OPRA?
Both feeds provide the BBO price and aggregate volume at the bid and ask. In addition, the ISE TOP Quote Feed also includes a separate field for Customer Quantity on the bid/ask. Customer orders take precedence at ISE so the Customer Quantity field will show the subscriber how many customer contracts are at the front of non-customer orders.
 
Are the trades also reported on this feed?
No trade data is available on the ISE TOP Quote Feed. ISE trade data is disseminated by OPRA.
 
How much bandwidth do I need for this feed?
You will need to order a redundant connections of 100Mbps each (A side 100Mbps: B side 100Mbps).
 
Is there a fee to access the ISE TOP Quote Feed?
The ISE Top Quote Feed is currently available to any ISE Depth of Market Feed subscribers for no additional fee.
 
How do I subscribe to this feed?
If you already are a subscriber to the ISE Depth of Market Feed you just need to submit a request to access ISE TOP Quote Feed to Jeff Soule. In addition you will need to expand your infrastructure to access 24 additional IP address and bandwidth for an additional 40Mbps for Top Quote.
 
 
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.
 
What is your definition of a controlled device for billing purposes?
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.
 
 
What are the estimated messages rates for ISE Top Quote Feed?
The following rates are the peak rates as of November 23, 2009:
 
Messages
  • Average of 19,200 messages per second
  • Peak of 328,166 messages per second (one-second peak)
     

Bandwidth

  • Average of 2.3 Mbit/s
  • Peak Mbit per second: 26 Mbit/s (one-second peak)