ISE Streamlines Depth Messages

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

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