The ISE depth-of-market feed aggregates the volume for the top five price levels on both the bid side and the offer side. Thomson Reuters supplies clients-typically high-frequency and algorithmic trading organizations-with the software to capture the feed in ISE's data format, which utilizes the bandwidth-reducing FAST protocol for efficient delivery of the full-depth data, and process it into Thomson Reuters' data format.
"By normalizing the feed to a known standard our customers are familiar wi
James talks about his trip to Chicago and some of the interesting topics that came up (including a look at disaster recovery demands). Then Anthony and James touch on ISDA's initial margin rules, with Phase 3 going live next year.Subscribe to Weekly Wrap emails