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NYSE Euronext US Options Market data changes

NYSE Euronext US Options Market data changes. Presented by: Vidya Eashwer, Selvam Doraisamy, and Amaranand Shankar Rao Hosts: Todd Wilemon and Amy Farnstrom. AGENDA. Overview of new market data spec and protocol for XDP Options for NYSE Amex and NYSE Arca Options markets.

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NYSE Euronext US Options Market data changes

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  1. NYSE Euronext US Options Market data changes Presented by: Vidya Eashwer, Selvam Doraisamy, and Amaranand Shankar Rao Hosts: Todd Wilemon and Amy Farnstrom

  2. AGENDA • Overview of new market data spec and protocol for XDP Options for NYSE Amex and NYSE Arca Options markets. • Data content on a channel by channel basis. • High level differences between ArcaBook and XDP Options. • High level milestones for cert availability by features and timelines. • Open questions from our side. • Questions from customers.

  3. XDP Data flow for customers REQUEST CONTROLLER (TCP/IP)

  4. Highlights of the new feed • Stream ID • Included in packet header. • Stream ID – We will have symbols distributed across MEs. The output channels will be pre-defined by alpha. • Subscribers should look at streamID + packet SeqNum as a unique combination. • This will also be the basis for gap fill in future. • Aggregated Feed for Outright Series • Two sided top of book, Last Sales in sequence with BBO, Imbalance, RFQ, Series Status. • All offered in a single data stream per symbol. • All events will be multicast out in sequence. • Flexible delegation, better architecture, better security, throughput optimization, comparable to XDP EQ protocol. • All messages will contain the source time in micro sec from ME. • Aggregated Complex feed • Two sided top of book, Last Sales in sequence with BBO, Imbalance, RFQ, Series Status. • All offered in a single data stream per symbol. • All events will be multicast out in sequence. • Last Sale for complex will be new with this re-design.

  5. Highlights of the new feed (CONT.) • Auto Refresh • BBO, Depth, Last Sale. This will be in a 2min interval in the same channel as regular data. • Depth of book • Will be provided as snapshots rather than the current inserts and deletes. • No book building required on the customer side. • Book depth is reduced to 3 levels. • Data compaction to be replaced by a different algorithm. • Ongoing evaluations. • Symbol download upon request will be available intraday upon request • Accessed via TCP/IP. • Includes Series, Underlying, complex leg definition. • Refresh is in the same channels as the real time data feed • No synchronization required on the clients. • Every message has the current state so clients can start processing on a symbol basis from the first message they receive with no waiting/queuing.

  6. High level milestones and drops to CERTIFICATION environment* • Drop 1 • Top of Book feed for outrights (XDP Top Quotes). • Simple Arcabook series download (TCP request/response). • Login/session tracking will be added in a later drop. • Drop 2 • Depth of Book feed for outrights. • Auto Refresh for Top of Book and Depth of Book. * Each subsequent release will be iterative, i.e. all prior content will be rolled into the next drop

  7. High level milestones and drops to CERTIFICATION environment* (CONT.) • Integrated Outright Feed (remaining content provided) • Last Sale • Including auto-refresh • Symbol Status • Imbalance • RFQ • Start and End Auction • Integrated ComplexFeed • Top of book • Including auto-refresh • Last Sale • Including auto-refresh • Symbol Status • Imbalance • RFQ • Start and End Auction • Drop 3 • Drop 4

  8. High level milestones and drops to CERTIFICATION environment* (CONT.) • Drop 5 • Beta release for customers incorporating all feedback from prior releases. • Login/session tracking and controls. • Bug fixes from earlier cert findings. • Preparation to go live! • All Drops will be staggered on a targeted 1 - 2 month interval.

  9. Polling question • QUESTION: Is commonality with XDP Equity messages important? • YES • NO • Advantages: • Approximately 60 - 70% of messages are same or very similar • Drawbacks: • Many unnecessary fields. • Changes on one market will impact the other market. • Equity messages not bit-aligned. • Users would have to concatenate fields in the packet header with the symbol ID field in the message body in order to correctly identify the symbol.

  10. Polling question • QUESTION: Is the suggested snapshot refresh feature acceptable? • Yes • NO • Quotes, Last Sale, Symbol Status and Market Depth messages will be published at regular intervals throughout the day. • Series Index Mapping, Underlying Index Mapping, Complex Leg Definition: • Available intraday upon request • Imbalance and Crossing RFQ: • No refresh

  11. Polling questions • QUESTION: Any other messages required? • EOD summary message? • YES • NO • Order-by-order message? • YES • NO • Retransmission of Trade messages? • YES • NO

  12. Your Questions • Start typing now • Any further questions, email Amy or Todd • Afarnstrom@nyx.com • Twilemon@nyx.com • Webinar will be posted to website here: • https://globalderivatives.nyx.com/en/learning-center • US Options Education • Webinars • Before we go…

  13. Friendly reminder • The Market Data changesdescribed in this webinar ARE NOT backward compatible. • This will be a BIG BANG rollout……. • Your early and ongoing participation testing with us in the Certification environment is essential to this project. • THANK YOU!

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