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ISE Order Feed
ISE Order Feed provides real-time updates to recipients when a new limit order is placed on ISE’s book that is not immediately executed at the current Best Bid Offer (BBO). This feed does not include any quote traffic which will result in much less data for recipients to process and less bandwidth than feeds that provide aggregated quotes and orders.

The ISE BBO on the Options Price Reporting Authority (OPRA) feed includes all quotes provided by market makers and all orders provided by all members that are then aggregated at the BBO. ISE Order Feed, on the other hand, includes each individual limit order rather than only the aggregated volume of all orders. While OPRA provides aggregate order information, ISE Order Feed provides details for each individual order including order type (buy/sell), order price, order size and customer indicator, as well as details for each instrument series, including the symbols (series and underlying), put/call indicator, expiration and strike price of the series. In addition, there are optional fields for attributed orders to display broker ID, CMTA and give up. This feed does not include any change or delete messages.

Details

Documentation
ISE Order Feed v 1.0
The design of the feed uses the FIX FAST (FIX Adapted for STreaming) market data protocol. The following documentation is available:

In addition, a source utility to decode the FAST messages are available by sending us an email.
 
 
Support
Support for the ISE Order Feed is available from 8 am to 6 pm (ET) on market days. The contacts are:
 
ISE Contacts
Business Issues (212) 897-8160
Technical Support (212) 897-0284
API Support (212) 897-0244, #1
 
 
Connectivity & Data Access
We recommend a redundant 5 Mb (5 Mb A side: 5 Mb B side) connection. The multicast feed is currently distributed by:
  • ACTIV Financial
  • Atrium Networks
  • BT Radianz via the Radianz Shared Market Infrastructure
  • NYSE Technologies - SFTI (Secure Financial Transaction Infrastructure)
  • NYSE Technologies - SuperFeed
  • SAVVIS Financial Services
  • Verizon Financial Network
 
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 Network
Verizon Financial Network Sales (800) 825-9196
Verizon Financial Network NOC (800) 838-7928

Fees/How to Subscribe

Fees
The monthly fees for ISE Order Feed are as follows:

 

 

 

 

Monthly Fees

Base Access Fee

 Variable Device Fee

 Fixed Enterprise Fee

 Professional – Internal Use Only
 

$2,000

$0 per device

 $2,000

Professional – External Redistribution

$2,000

$10 per device

 $2,500

Professional – Internal and External Redistribution

$2,000

$10 per device*

$2,500

*Per device fee only applies to external devices.
 
 
Subscription Details
To subscribe to the ISE Order Feed, simply:
  1. Download an Order Form and a Licensing Agreement (Acrobat Standard v6.0 or higher users can type directly into the form)
  2. Complete and sign the forms
  3. Email the signed forms to ISE or fax the signed forms to (212) 509-3955

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

Technical Bulletins

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

FAQs

 
 
Why produce another feed?
Based on discussion with customers, ISE anticipates that ISE Order Feed will be used by firms that are just interested in seeing order flow rather than all quote data. This will result in significantly less data to process than the core quote feed, which contains all quotes and orders aggregated at the Best Bid Offer (BBO).

Does ISE Order Feed contain the same information that is on the OPRA feed?
Yes and no. Aggregate order data is available from the Options Price Reporting Authority (OPRA), but ISE Order Feed provides more detail by breaking out individual order size.

Is this a real-time streaming feed?
No this feed only provides a one-time, real-time snap shot of all orders that were not executed at ISE and are resting on the books.

How many message types should I expect with this feed?
There is only one message type used for this feed: a Market Data Snap Shot Order Update message.  There are no change or delete messages sent for orders, and there are no continuous Full Refresh messages sent. The purpose of the ISE Order Feed is to notify customers that a new order arrived at ISE which was not executed at the current BBO, and is therefore resting on the book. In addition, there are optional fields for attributed orders to display broker ID, CMTA and give up.

What are the bandwidth requirements for this feed?
Since ISE Order Feed contains no quote data and only snapshots, we recommend a 5 Mbps redundant connection.