The depth feed, which ISE launched last October, contains five levels of options bid and offer prices, delivered using the bandwidth-saving FAST (FIX Adapted for Streaming data) protocol.
To reduce the size of messages, ISE will remove instrument data from incremental refresh messages, which are sent out for every new buy or sell quote at each price level, since that information is already contained in the snapshot messages sent out every two minutes that provide a view of the full order book
Waters Wavelength Podcast Episode 97: C-Level Execs Talk Bitcoin, Fintechs, Cognitive Computing & Open-Source Tech
In separate interviews, executives from AQR, JPMorgan, Cboe and IBM discuss topics permeating the capital markets.Subscribe to Weekly Wrap emails
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