ISE Embarks on Binary Feed Rollout

The International Securities Exchange is migrating all of its FIX/FAST-based propriety market data feeds to a new binary protocol to meet demand from members and subscribers for faster market data, officials say.

The exchange launched binary versions of its TOP Quote best bid and offer, Spread, Pre-Open, Trade and Reference Data feeds last week, and will rollout binary Depth of Market and Order feeds by the fourth quarter of this year.

Based on initial testing of its binary Top Quote feed, the exchange will be able to deliver market data on average 18 microseconds faster than previously, and will be "significantly" faster during in periods of heavy activity such as market open, says Jeff Soule, head of market data at ISE.

These performance improvements are a result of eliminating the encoding and decoding requirements associated with FIX/FAST. "FAST is a compression algorithm which compacts data, but encoding and decoding that data involves 10 instructions per message, and that takes time. Binary is a flat record file, so requires one instruction per message, so it's 10 times faster to make use of the data," Soule says.

ISE has been working with customers to ensure they plan accordingly for the faster data rates. Latency-sensitive firms are already prepared, Soule says, but others will require more testing to handle the million messages per second now being distributed via ISE's top-of-book feed.

In addition to latency improvements, the binary feed could also generate cost savings. For example, not having to encode and decode the messages could potentially reduce firms' CPU requirements, Soule adds.

By migrating from FIX/FAST to a binary feed, ISE is following the lead of the Options Price Reporting Authority and CME Group, both of which are phasing out their use of the bandwidth-reducing FIX/FAST in favor of binary protocols, ostensibly due to performance gains, but also as a result of an infringement lawsuit brought against users of FIX/FAST by a company called IXO/Realtime Data.

However, Soule says ISE's decision to move to the binary feed predates the lawsuit, and began in 2009 when the exchange decided to relocate its now-retired Global Trading options trading system to Equnix's NY4 datacenter.

"The FIX/FAST Protocol reduces bandwidth requirements by 50 percent, which is a big accomplishment where you have voluminous data. But now, 80 percent of firms are in co-location, so they care less about bandwidth and more about latency," Soule says.

ISE originally planned to launch the feeds last November, but delayed the release to work on delivering its data in binary format to data consolidator OPRA first, as all US options exchanges are required to provide data fairly to all participants.

ISE will offer the binary feeds to subscribers at the same price point as its existing FIX/FAST feeds to encourage users to migrate, Soule says, and will continue to support the FIX/FAST feeds for a while before ultimately phasing them out altogether.