ISE Depth of Market Feed is a real-time data feed that provides the aggregated volume of all quotes and orders available at each of the top five price levels for options that trade on ISE.
This offering provides transparency beyond the BBO and helps subscribers improve trading efficiency.
ISE Depth of Market Feed is delivered using the FIX FAST (FIX Adapted for STreaming) information protocol. This product is one of the first market data offerings to use this innovative new standard, which reduces the bandwidth required to receive data and decreases the latency of transmission. ISE was an active member in the FIX Protocol Organization which developed the FAST protocol to encourage use of a common, efficient industry standard for market data.
Next release due late-MayThe newest version of ISE Depth of Market Feed will feature several enhancements that require all customers currently using the feed to update their applications to ensure compatibility. This version will not be "backward compatible," and is slated for a mid-May launch. A webinar was recorded on March 18, 2008 that features a technical discussion on the integration effort for the new release. In this webinar Greg Maynard, ISE System & Product Strategy Officer, reviewed enhancement changes in detail and answered questions. This webinar is especially useful for those currently developing to ISE Depth of Market Feed, as well as those planning to in the near future, and the recording is available below. Replay the webinar>> |