ISE Migration Prompts New Datafeeds

The International Securities Exchange will begin rolling out a revamped set of market data feeds following the launch of its new trading platform next month, which will feature new feeds and will add more content to its existing datasets.

From Nov. 23, when the exchange rolls out the new platform, it will begin distributing data via a new infrastructure, dubbed Market Data Interface (MDI), replacing feeds currently distributed via its legacy API and FIX/FAST feeds, says Jeff Soule, head of market data at ISE.

"We are going to phase the rollout and move securities from the old system to the new one. The new feeds will be populated with symbols as they are migrated from the old trading system," Soule says - a process that will run into next Spring. Once the new system has been fully rolled out and all symbols have been migrated, the exchange will retire its legacy API and FIX/FAST feeds, he adds.

The new feeds will utilize streaming multicast delivery-compared to the current API, from which clients need to pull data - which will deliver higher throughput and lower latency, Soule says. ISE's existing FIX/FAST feeds-its top-of-book and market depth feeds - already use multicast, though he says the new feeds will use a format that is "similar" to FIX/FAST but includes enhancements such as additional data fields, while providing flexibility for the exchange to create new datasets.

"The higher system capacity allows us to provide additional data... and once we get the system up and running, there are further enhancements we would like to add in future," Soule says.

For example, along with the migration, the exchange will launch two completely new feeds-one of trade data, and another of reference data. Soule says the existing datafeeds only provide quote and order data, and do not provide trade data, as the current trading system was able to provide individual trade confirmations to each member, and reported all trade data to the Options Price Reporting Authority, but did not have the capacity to generate an aggregated feed of all trade data that could be distributed to all subscribers.

The trade data feed will utilize a separate multicast channel, but will be made available automatically to clients who subscribe to ISE's other feeds at no extra charge.

The other new feed will comprise two forms of reference data delivery. The first is a snapshot feed of all underlying data, such as identifiers, trading parameters, corporate actions, adjustments, and any data indicating a complex order type, while the second component provides real-time updates throughout the day of any new option series that begin trading - such as when events prompt a large price movement that may be outside the range of existing call options, for example.

Clients already subscribing to the FIX/FAST feeds will need to make minimal changes, though changing from the legacy API will require some reprogramming, Soule says, adding that all market makers use the API, while the most latency-sensitive subscribers utilize the FIX/FAST feeds - though some members only use its PrecISE front-end trading application. And whereas firms can currently capture data and route orders via the API, all data will now only be available via MDI, and firms will need to route orders either via FIX or a new Direct Trading Interface.

Soule says he expects ISE to offer a fee-waiver program for all data delivered via the new MDI interface until the current platforms are completely migrated, to avoid double-billing subscribers - though he adds that this would be subject to regulatory approval.

ISE Taps Equinix, Telx for New Feeds

The ISE will launch its new trading platform and datafeeds from datacenter facilities run by Equinix and Telx, to support the increased data requirements.
Soule says ISE's previous primary datacenter in Jersey City provided by Quality Technology Services and its backup at the exchange's offices at 60 Broad Street in Manhattan did not have sufficient power to roll out the new trading platform while keeping the existing platform running.

The new centers will also provide space and power for clients to co-locate their trading applications next to ISE's matching engine, which is not available in the current facilities. ISE will not provide its own co-location space, but Equinix and Telx will be able to lease space to trading firms, which can cross-connect directly from that space to ISE.

In fact, firms already hosted in Equinix's NY4 facility in Secaucus, NJ can already connect to ISE's engine from the datacenter, via a link to the exchange's existing datacenters - ahead of the migration to its new trading platform - from the same facility they use to access other markets that co-locate their matching engines in the datacenter.

"When a firm goes into a facility like Equinix, they have more choices available for connecting to market data or other services... than they would in our datacenter today," Soule says. "Everybody is in the process of migrating [to the new datacenters] - though there is no live data running through the system yet. Our member connectivity group has been working closely with our members to get them set up," he says.