Market Data

ISE HOT Data

ISE Historical Options Tick Data™ (ISE HOT Data™) provides daily files that include trade and quote data for listed equities, index and ETF options that are reported to the Options Pricing Reporting Authority (OPRA). Historical data is available from June 2005.

These comprehensive, high quality, historical daily files can help improve trading efficiency by enabling sophisticated investment professionals to:

  • Conduct in-depth trade analyses
  • Back-test trading models
  • Validate algorithms
  • Serve as a data source for compliance requests and time and trade queries

Currently, there are two historical data offerings available:

  • End-of-day tick data file that includes all trades, Level 1 Best Bid Offer (BBO), the OPRA National Best Bid Offer (NBBO) for all options, and other OPRA messages from all participating OPRA exchanges
  • End-of-day summary file that includes daily price ranges and total volume for all options, from all participating OPRA exchanges

Both offerings are delivered as compressed files to reduce delivery bottlenecks and storage requirements. Only three days of data are maintained on the FTP servers and remaining history will be delivered on portable hard drives. The average size of the daily file for 2012 is approximately 57GB compressed or 115GB uncompressed. The complete database is in excess of 75TB compressed or upwards of 177TB uncompressed. Subscribers need to run WinZip (version 9.0 or higher) or have the 64-bit internal file pointers for LINUX/UNIX to uncompress the files.

Please note: Foreign Currency Option (FCO) data is not included.

Details / Documentation

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 Holdings captures the raw OPRA data feed and stores it in 48 individual files (one file for each line). In addition, the ISE Holdings 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 Holdings 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:

SymbolYearMonthDayCall/Put (C/P)Strike PricePrice Decimal
AAPL 10 8 21 C 200 0

 

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.

Fees / How to order

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 Holdings 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 Holdings 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 Holdings.
Monthly File Size
Number of MonthsMonth Endingnumber of dayscompressed size (GB)uncompressed size (gb)
1 2005 June 22 153 631
2 2005 July 20 153 629
3 2005 August 23 171 701
4 2005 September 21 187 761
5 2005 October 21 299 1,205
6 2005 November 22 254 1,030
7 2005 December 22 226 919
8 2006 January 20 276 1,113
9 2006 February 19 266 1,072
10 2006 March 23 318 1,277
11 2006 April 19 285 1,202
12 2006 May 22 374 1,574
13 2006 June 22 389 1,638
14 2006 July 20 331 1,396
15 2006 August 23 312 1,327
16 2006 September 20 310 1,306
17 2006 October 22 370 1,573
18 2006 November 21 349 1,484
19 2006 December 20 281 1,205
20 2007 January 20 347 1,479
21 2007 February 19 276 1,178
22 2007 March 22 381 1,594
23 2007 April 20 267 1,143
24 2007 May 22 368 1,556
25 2007 June 21 417 1,738
26 2007 July 21 501 2,067
27 2007 August 23 714 2,929
28 2007 September 19 411 1,668
29 2007 October 23 666 2,699
30 2007 November 20 896 3,580
31 2007 December 21 631 2,535
32 2008 January 21 1,077 4,263
33 2008 February 20 885 3,486
34 2008 March 20 898 3,565
35 2008 April* 22 713 2,413
36 2008 May 21 562 998
37 2008 June 21 653 1,139
38 2008 July 22 908 1,532
39 2008 August 21 612 1,037
40 2008 September 21 879 1,528
41 2008 October 23 1,257 2,118
42 2008 November 19 1,033 1,741
43 2008 December 22 832 1,502
44 2009 January 20 751 1,404
45 2009 February 19 761 1,422
46 2009 March 22 920 1,723
47 2009 April 21 842 1,563
48 2009 May 20 747 1,363
49 2009 June 22 673 1,236
50 2009 July 22 618 1,126
51 2009 August 21 582 1,063
52 2009 September 21 634 1,160
53 2009 October 22 733 1,358
54 2009 November 20 673 1,295
55 2009 December 22 569 1,135
56 2010 January 19 659 1,288
57 2010 February 19 636 1,207
58 2010 March 23 566 1,088
59 2010 April 21 637 1,192
60 2010 May 20 1,089 1,978
61 2010 June 22 1,148 2,106
62 2010 July 21 1,064 1,979
63 2010 August 22 944 1,789
64 2010 September 21 824 1,569
65 2010 October 21 881 1,703
66 2010 November 21 930 1,792
67 2010 December 22 758 1,466
68 2011 January 20 1,050 1,980
69 2011 February 19 1,047 2,139
70 2011 March 23 1,530 3,608
71 2011 April 20 1,107 2,276
72 2011 May 21 1,424 3,003
73 2011 June 22 1,562 3,348
74 2011 July 20 1,307 2,770
75 2011 August 22 2,644 5,320
76 2011 September 21 2,188 4,412
77 2011 October 21 2,242 4,539
78 2011 November 21 1,691 3,519
79 2011 December 21 1,159 2,441
80 2012 January 20 1,160 2,226
81 2012 February 20 1,052 2,154
82 2012 March 20 1,140 2,316
83 2012 April  22 1,161 2,326
84 2012 May 20 1,427 2,822
85 2012 June 21 1,226 2,467
86 2012 July 21 1,126 2,250
87 2012 August 23 1,109 2,244
88 2012 September 19 1,063 2,124
89 2012 October 21 1,365 2,705
90 2012 November 21 1,447 2,839
91 2012 December 20 1,118 2,185
92 2013 January 21 1,127 2,217
93 2013 February 19 1,195  2,328 
94 2013 March 20 1,290  2,506 
95 2013 April 22 1,699  3,275 
96 2013 May 22 1,780  3,456 
97 2013 June 20  2,140  4,116 
98 2013 July 22  1,515  3,069 
         
  Totals 2,057 84,218 195,516
Support

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

Business Issues (212) 897-8171
Technical Support (212) 897-0284
FAQs
Does this offering only include ISE Historical Options Tick Data?

No. In addition to the ISE and ISE Gemini data, we include the full OPRA daily file.

 

Does HOT Data have all OPRA data?

We collect the full OPRA broadcast from approximately 6:00 am to 5:55 pm (EST), and we include all quotes and trades from all exchanges as well as the OPRA flagged NBBO. The only data not included are foreign currency options (FCOs) that used to be part of the OPRA feed. Please refer to Section 7, Field Descriptions, for a complete list of available fields at www.opradata.com/specs/data_recipient_interface.pdf.

 

How far back does your historical tick data go?

We currently we have tick history from June 1, 2005 to the present.

 

What is the actual data content?

This flat file contains the tick capture of the native real-time OPRA feed and includes all trades and quotes from all participating OPRA exchanges, the OPRA BBO flags and other all other OPRA messages, including the open interest messages that are made available every morning. Detail of the content are provided in the following guide: http://www.opradata.com/specs/data_recipient_interface.pdf

 

What is the delivery format?

We collect and deliver data using the standard OPRA format. The data is split up over a number of separate files in alphabetical order. Each file is compressed to reduce delivery bandwidth and storage requirements.

 

What is the size of the daily file?

For all of 2010, the average daily file size is approximately 40GB compressed, or 75GB uncompressed. Because the data files may each be larger than 2GB, any unzip program for UNIX or LINUX will need to have 64-bit internal file pointers to successfully decompress the files. Windows users running WinZip will need version 9.0 or higher.

 

What is the total size of all the historical data?

Through the end of 2010 the size of the data base going back to June 2005 is approximately 45TB compressed or over 100TB uncompressed. The break-down is as follows:

2005: 1.5TB compressed, 5.8TB uncompressed (June-December)
2006: 3.9TB compressed, 16.2TB uncompressed
2007: 5.9TB compressed, 24.2TB uncompressed
2008: 10.3TB compressed, 25.3TB uncompressed
2009: 8.5TB compressed, 15.8TB uncompressed
2010: 10.1TB compressed, 19.2TB uncompressed

All monthly files sizes through 2011 can be viewed on the "Monthly Files Sizes" tab.

 

What are the delivery methods for the historical options tick data?

There are three methods:

1. A subscriber will download up to five days of the daily OPRA tick history files from a FTP server
2. For all OPRA tick history files that are not available on the FTP server, the data will be delivered:

on a portable hard drive to subscriber for a separate one-time fee
over a cross connect for subscribers that have a direct connection to the ISE or are collocated at our primary data center located in Secaucus, NJ (Equinix)

 

How do I place an order for historical data?

Each new order request requires a signed agreement and order form that can be found on the “Fees/How to Order” tab. Subsequent orders only require an order form. Please email Geralyn Endo any paperwork or questions.

 

How long will it take to get access to the FTP server to begin downloading data?

A subscriber will receive a user name and password within 24 hours of submitting the data agreement and order form.

 

How long will it take to prepare and deliver the data for an ad-hoc request?

The delivery time for ad-hoc requests depends on the amount of data and when we receive the order. If we receive an order before 10 am (ET), the following delivery times can be expected: 1-3 months of data – approximately 3 business days; 4-6 months of data – approximately 5 business days; 7-9 months of data – approximately 6 business days; 10 months or more - please contact us.

 

What delivery/storage mechanisms are used to deliver the data for ad-hoc requests?

We deliver the data on external portable hard drives with an eSata connection, which are retained by the subscribers and can be reused.

 

How do I process this data?

Some OPRA feed handlers may have the capability to read this data. Alternatively, an OPRA parser can be written using the OPRA Data Recipient Interface Specification. You should also refer to steps on www.ise.com/hotdata under the 'Detail/Documentation' tab for the HOT Data User Guide.

 

Can I request a specific subset of equity options (e.g., the 10 most active names), or is it all or none for the period specified?

In the current phase, we do not process requests for subsets of data based on symbols. However, OPRA now splits the tick data into 48 separate files, so each daily file consists of 48 separate zipped files. The split up is done based on the first letter of the symbol for each security. Therefore, File 1 = A, File 2 = B, etc., so if you were looking for all of the options starting with “Q,” you would not need to process the complete daily file. Please refer to page 89 of the OPRA Data Recipient Interface Specification. We are currently building a new product that will allow a subscriber to order just the historical data for specific symbols or other custom queries.

 

Are there any prohibitions on redistribution?

Yes. The terms specify that the data is for internal use only. We will consider redistribution requests on a case-by-case basis.

 

Is this data cleansed or filtered in anyway?

We capture the raw OPRA feed and do not impose any judgmental cleansing or filtering criteria of the data, which can impede the results of back testing.

 

Is there any software included or third-party programs to process this data?

No. However, there are a couple of third-party software providers that sell a data loader with an API. Please contact us for additional details.

 

 

Contact Us

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