Market Data

OPRA Data Recipient User Interface Guide
OPRA Data Recipient Notifications
ISE HOT Data User Guide

OPRA Data Distribution

OPRA consolidates market data from all participating US options exchanges and transmits the data across 48 separate transmission lines. From April 2006 to May 2, 2011 OPRA transmitted data across 24 separate lines; prior to April 2006, OPRA only transmitted data across eight separate lines.

Prior to the roll out of the Option Symbology Initiative (OSI rollout began in March 2010) the data was distributed in alphabetical order according to the first few letters of the option root symbol for each option series (not the underlying security). For example, the data on Line 1 previously contained option series with option root codes A-APV, Line 2 contained APW-BK, and so on. After the OSI rollout the data was distributed in alphabetical order according to the underlying symbol for each option series (not the option root symbol). Refer to page 90 in the OPRA Data Recipient Interface Specification available at http://www.opradata.com/specs/data_recipient_interface.pdf.

ISE Data Capture

For each trading day, ISE captures the raw OPRA data feed and stores it in 48 individual files (one file for each line). In addition, the ISE provides a separate MD5 hash file that corresponds to each of the 48 files to allow for file consistency checking. Therefore there are 96 files per day beginning May 2, 2011.

Beginning in August 2006, the ISE also provides a daily file containing the option root codes for each underlying symbol traded at ISE. Therefore, there were 24 OPRA files, 24 MD5 hash files plus the underlying root code file for a total of 49 files for each day between August 2006 and May 2011.

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 2GB, 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 (http://www.opradata.com/specs/data_recipient_interface.pdf).

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 was designed to process multicast traffic and it will decode the OPRA FAST packets into the native OPRA ASCII messages. ISE HOT Data is available as flat files and since the decoder is designed to read multicast traffic, there are some small edits to the decoder are required to correctly decode the HOT Data files.

Please follow these instructions for the minor changes:
Instructions for Windows users>>
Instructions for Unix/Linux users>>

Additional Documentation

In November 2008 OPRA made some enhancements that required some changes to certain fields within the messages. The most noticeable change is that OPRA began to use millisecond timestamps. You will also need another document that has the specification for the Output Message Header that 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.

Option Symbology Initiative (OSI)

In the summer of 2005 an industry initiative began to develop a plan to eliminate the use of OPRA codes and come up with a standard to ensure that all option strike prices be represented in decimal format. The OSI committee included representatives from exchanges, vendors, broker dealers and the Options Clearing Corp. The Option Symbology Initiative plan was approved on December 5, 2006 and by the end of January 2007 the record layouts to be used throughout the testing and implementation phases of the project were approved. Detailed tests scripts were designed, approved and published in September 2008. A testing period was in progress from September 2009 through January 2010. There was a mandatory cut-over to the new data elements for the record layouts on February 12, 2010 and the roll-out of the new symbology, based on a fixed number of securities in each tranche, ran from March through May 2010.
The agreed-upon option symbology key has the following fields and represents the minimum data requirements used in the transmission of listed option contracts between exchanges, Options Clearing Corp and the participants. An example of the fields for the Apple 200 call option that expires August 21, 2010 is as follows:

Comparison of Pre and Post OSI Symbols

In addition to decimal strike prices, another objective of the OSI was to create option symbols that would be more intuitive and less complicated for market participants to read. Let’s look at a couple of examples of the OPRA symbols before and after the project.

Here is an example of a legacy OPRA symbol pre-OSI:

Apple 200 Call, expiring 08/22/09 – APVHT

Here is an example of the new OPRA symbol post-OSI:

Apple 200 Call, expiring 08/21/10 - AAPL100821C00200000

Although the new symbol has many more characters, it is easier to identify which option series you are looking at. Keep in mind that this is just an example of the display and the actual display or order of the fields for the new OPRA symbol can vary depending on the subscriber’s implementation.

We strongly suggest you keep up with the latest OPRA notices at the following link: http://www.opradata.com/specs/data_recip.jsp.

The ISE HOT Data end-of-day file is comprised of the captured raw OPRA transmission blocks and no cleansing or filtering is performed. All fees are exclusive of any sales tax that may apply.

Annual Subscription for the End-of-Day File - $2,000 per month

The daily file will be generated and made available on a FTP server at a designated location every evening on days when the options market is open and the fee for this subscription is $2,000 per month, with an annual subscription.
Each subscription is limited to one complete download of the daily file per day. This limitation is due to the size of the file and the bandwidth requirements to download the data. A single subscription however permits unlimited internal use of the data allowing multiple business units to share the downloaded data. ISE will provide the Subscriber with a user name, password and an FTP address to access the data upon receipt of a signed Order Form and License Agreement.
To order the daily download of ISE HOT Data, please follow these steps:

1. Download an Order Form and Licensing Agreement
2. Complete and sign the license agreement and order form
3. Email the signed forms to ISE or fax the signed forms to (212)509-3955

Ad-Hoc Historical Data Requests - $120 per day plus processing fee

A specified amount of OPRA tick data, based on a fixed date range, can be ordered and will be delivered on an external portable hard drive(s). For 2010 the average size of the daily file was approximately 75GB per day but the data is delivered as a compressed file, which is approximately 40GB. A complete list of monthly file sizes is available on the "Monthly File Sizes" tab.

The fee for the data is $120 per day with a $1,000 minimum order that allows for unlimited internal use, plus a processing fee. The processing fee is $499 for the first drive and $399 for each additional drive that is part of the same order. The portable hard drive becomes the property of the Subscriber and can be reused.

To order specified date ranges of HOT Data, please follow these steps:

1. Download an Order Form and Licensing Agreement
2. Complete and sign the license agreement and order form
3. Email the signed forms to ISE or fax the signed forms to (212)509-3955

Support for ISE HOT Data is available from 8 am to 6 pm (ET) on market days. The contacts are: