Market Data

Data Feeds

High-throughput, real-time feeds provide greater transparency and efficiency that utilize optimized message structures to decrease the integration efforts and on-going support costs. These feeds are available to all members and non-ISE members of ISE's options exchanges.

There are six proprietary data feeds described below and each feed is distributed over a unique set of multicast addresses, so subscribers only listen to the content they choose. This reduces network traffic and overhead associated with data processing.

ISE Options offers Binary Market Data Interface feeds:

The following data feeds are available for ISE, ISE Gemini, and ISE Mercury. An asterisk (*) indicates availability on ISE only.

ISE, ISE Gemini, and ISE Mercury Available Feeds/Descriptions
FeedDescription
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.

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.
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.

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.
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.
Pre-Open Feed Available to all subscribers of TOP Quote or Depth of Maket feeds by default (no additional fee) and provides pre-market opening indications and order imbalances for simple instruments.
Trade Feed Real-time data feed that provides last trade (price and quantity) along with other trade statistics.

 *Indicates only available on ISE

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, which is available in the Member's Area>>. We also provide separate redundant test environments for development and testing.

FeedISE Requirements/StreamISE Gemini Requirements/Streamise Mercury requirements/stream
A StreamB Streama streamb streama streamb stream
TOP Quote (BBO) 800 Mbps 800 Mbps 800 Mbps
Depth of Market 2000 Mbps 2000 Mbps 2000 Mbps
Order Feed            15 Mbps 15 Mbps 15 Mbps
Reference Data Feed           250 Mbps 250 Mbps 250 Mbps
Spread Feed           220 Mbps 220 Mbps 220 Mbps
Trade Feed           10 Mbps 10 Mbps 10 Mbps

*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.

*Indicates only available on ISE.

**Data in the chart is only for ISE Data Feeds, information for ISE Gemini and ISE Mercury Data Feeds is not currently available.

NOTE: There is no primary stream as the same server sends both A and B feeds.  Members must also calculate total bandwidth if participating in ISE, ISE Gemini and ISE Mercury exchanges.

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 in the Members Area>>.

Managed Service Providers for ISE data feeds

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

CompanyContact/EmailPhone
Activ Financial  Sales – David Bloomer (212)599-1600
Support – Judy Chronic
Atrium Networks Sales (212)387-2170
Support (212)387-2179
BT Radianz  Sales - Walt Terbrusch (212)205-1995
Support (877)228-1497
GuavaTech

Sales

(312)604-4300

Support

(312)604-4444

ICE Data Services  - SFTI and 7Ticks Sales (212)771-6565
Support +1 770 661-0010
Options IT Sales (646)205-2586
Support (646)205-2555
SAVVIS Financial Services Sales – Alicia VanDeVeer (630)229-8724
Support (888)638-6771
Verizon Financial Network Verizon Financial Network Sales (800)825-9196
Verizon Financial Network NOC (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

Connections to the corresponding MDI feeds are required to access the data listed in the description field of the ‘ISE, ISE Gemini, And ISE Mercury Available Feeds/Descriptions’ table above. These feeds are available to both members and non-members.

ISE Market Data Interface Feeds

Name of FeedsMDI Monthly Fees (ª)
Base FeeControlled Device FeesEnterprise Unlimited Internal UseEnterprise Unlimited Internal / External Use
TOP Quote $3,000 $20 $5,000 $5,000
Depth of Market(b)
$5,000 $50 $10,000 $10,000
Spread Feed $3,000 $25 $5,500 $5,500
Order Feed $3,000 $0 $5,000 $5,000
Reference Data Feed Available to all subscribers (no additional fee)
Pre-Open Feed Available to all subscribers of TOP Quote or Depth of Market by default (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.

ISE Gemini Market Data Interface Feeds

Name of FeedsMDI Monthly Fees (ª)
Base FeeControlled Device FeesEnterprise Unlimited Internal UseEnterprise Unlimited Internal / External Use
TOP Quote $1,000 $5 $1,500 $1,500
Depth of Market(b)
$1,500 $10 $2,500 $2,500
Order Feed $750 $0 $1,000 $1,000
Reference Data Feed Available to all subscribers (no additional fee)
Pre-Open Feed Available to all subscribers of TOP Quote or Depth of Market by default (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).   

ISE Mercury Market Data Interface Feeds

NAME OF FEEDSMDI MONTHLY FEES (ª)
BASE FEECONTROLLED DEVICE FEESENTERPRISE UNLIMITED INTERNAL USEENTERPRISE UNLIMITED INTERNAL / EXTERNAL USE
TOP Quote TBD TBD TBD TBD
Depth of Market(b)
TBD TBD TBD TBD
Order Feed TBD TBD TBD TBD
Reference Data Feed Available to all subscribers (no additional fee)
Pre-Open Feed Available to all subscribers of TOP Quote or Depth of Market by default (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).   

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 the specific Order Form for ISEISE Gemini, or ISE Mercury (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 Holdings 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 ISE MDI Exhibit AISE Gemini MDI Exhibit A, or ISE Mercury 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 Holdings.

Please contact Jeanine Hightower at (212) 897-0357 with any questions. 

Documents
Quick Start Guide

This document provides key information about the Market Data Interface (MDI) for T7® 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 T7® 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 which is available at our Members Area>>

Connectivity Guide

This document outlines the connectivity options to the ISE Holdings’ new data centers, which are being introduced in conjunction with the release of ISE and ISE Gemini's 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:

AreaPhone
Business Issues (212)897-8171
Technical Support (212)897-0284

API Support and Member Connectivity

(212)897-0244, #2
FAQs
Is Customer Indicator included on the order feed?

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

 

In the Depth of Market feed, some constant information has moved into the block area. Is this change going to be reflected in the legacy implementation?

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

 

Will the market data IP addresses change from the current offering?

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.

 

Will ISE require separate multicast groups for the disaster recovery site?

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

 

If we listen to a snapshot in the middle of the day, will it have all the information (including intra-day updates)?

Yes.

 

Does the snapshot have start/end indicators?

Yes.

 

Will the blocks on A and B feeds be identical?

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

 

Will ISE use OPRA codes?

No.

 

Why did ISE choose to use FIX 5.0?

FIX 5.0 included greatly expanded functions over previous FIX versions and provided more flexibility for development.

 

I am very interested so what do I do now?

Please read the Quick Start Guide>>

 

Who do I contact for support or additional questions?

Please refer to “Support” tab for a list of contacts.

 

Why is Customer Quantity shown as a separate field?

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

Why aggregate only the top five price levels?

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.

 

Why would a firm consume ISE Depth of Market Feed vs. another exchange’s depth of market feeds? What are the advantages?

First of all, not all option exchanges offer depth of market data. ISE Holdings does offer a Depth of Market Feed as it operates two equity options exchanges so it generally has 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.

 

What is your definition of a controlled device for billing purposes?

ISE Holdings 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.

 

Contact Us

For more information about, Data Feeds please contact our Market Data team.