Users, Exchanges Weigh Data Volume Issues

Efforts such as the FAST (FIX Adapted for Streaming data) protocol are leading the way, but migration to FAST remains a gradual effort, with many customers of the exchanges continuing to rely on legacy formats, panelists said.

The Options Price Reporting Authority rolled out a FAST-enabled version of its consolidated feed of US options data in April, which has reduced the bandwidth required for Opra messages by 70 percent, say industry observers. However, Opra continues to run the legacy ASCII format alongside FAST. Opra's projections for total messages per day have risen from 906 million for October 2005 to 6.2 billion for January 2008.

Similarly, this fall the Chicago Mercantile Exchange will implement FAST in preparation for an anticipated spike in data volumes. The CME anticipates volume increases as a result of carrying data from the New York Mercantile Exchange, and potentially from the Chicago Board of Trade—if the proposed merger between the CME and the CBOT goes ahead. "FAST will make it possible to keep aggregate bandwidth to very low levels and avoid mega-sized pipes which can become expensive," said Matt Simpson, associate director and systems architect at the CME.

Migrating to FAST will allow customers to carry more data without needing to upgrade beyond their current 20 megabit-per-second (Mbps) lines, said Simpson. The CME has not mandated that customers implement FAST, but has advised users that do not upgrade to FAST by year-end to increase their bandwidth connections to 40 Mbps for futures data or 100 Mbps lines for futures and options data.

However, some of the responsibility for reducing data volumes must lie with market makers, some panelists said. Russell Abramson, executive director at JPMorgan Futures, highlighted the growth of order messages that do not add any value to the market, but only increase the volume of market data without increasing liquidity.