ISE Preps New Feeds Ahead of Mercury Options Market Launch

Full details of the instruments to be traded on Mercury are yet to be determined, but it is understood that the new exchange will trade the same equity options already traded on ISE's primary and ISE Gemini markets. However, Mercury will operate under an alternative pricing and market structure, which will enable the exchange to serve different segments of the options market not currently active on ISE or ISE Gemini. The exchange has yet to release full details of the new structure.

Mercury will leverage the same T7 trading platforms used by ISE to operate its other markets, and will also offer the same kinds of market data feeds to provide consistency to trading members.

The exchange will offer a TOP Quote feed, which provides real-time best bid and offer data; a Depth of Market feed, which provides the aggregated volumes of all quotes and orders to four levels of depth; an Order feed, which provides a snapshot of every order resting on the book for simple instruments; and a Trade feed, that provides real-time last trade price and quantity, along with other trade statistics.

Three of the datafeeds are available in the exchange's proprietary binary protocol, while the Depth feed is available in the industry standard FIX/FAST Protocol, though ISE will phase out this protocol over the course of this year in favor of the binary protocol. The exchange began a program to migrate all of its FIX/FAST-based propriety market data feeds to the new binary protocol in July 2013, in order to deliver market data on average 18 microseconds faster than previously.

ISE decided to offer the same feed formats for Mercury as for ISE and Gemini to provide synergies for existing members already familiar with the existing feeds, says Jeanine Hightower, business development officer at the exchange's parent group, ISE Holdings.

"Providing the same feeds will create synergies for existing pools of market makers and members as they have already coded to the other feeds. So they can reuse all the codes they have written before and easily start to participate," Hightower says. "They still need to test, but its terms of reusing codes, it's a very easy transition."

ISE has yet to announce a specific launch date for Mercury, but its member test environment is already up and running for members and participants to begin testing, officials say.