ISE Spread Book Feed Specification - ISE.com

ISE Options Exchange 

ISE Spread Book Feed Specification 

For use with FIX software version 5.0 

Issue date: June, 2008 

Version: 1.0 

Produced by: 

International Securities Exchange, Inc. 

60 Broad Street, New York NY 10004 

www.ise.com 

Copyright 2007 International Securities Exchange, Inc. All rights reserved. No part of this 

document may be reproduced without a written permission of International Securities Exchange, 

Inc.

Table of Contents 

1 Introduction ..............................................................................................................................4 

1.1 About ISE Spreads ® ........................................................................................................4 

1.2 Overview of ISE Spread Book Feed ...............................................................................4 

1.3 Hours of Operation..........................................................................................................5 

1.4 Support and Connectivity ................................................................................................6 

2 ISE Spread Book Feed ............................................................................................................7 

2.1 Snapshot / Full Refresh.................................................................................................10 

2.2 Incremental Refresh - New order..................................................................................12 

2.3 Debit vs. Credit and Bid vs. Offer..................................................................................15 

2.4 Oversize snapshot messages.......................................................................................16 

2.5 Change order ................................................................................................................16 

2.6 Delete order...................................................................................................................17 

3 Message Formats ..................................................................................................................19 

3.1 FIX Message Headers ..................................................................................................19 

3.2 Market Data Incremental Refresh .................................................................................20 

3.3 Market Data Snapshot / Full Refresh............................................................................22 

3.4 Sequence Reset............................................................................................................24 

4 Communications ....................................................................................................................25 

4.1 Transmission Standards ...............................................................................................25 

4.2 Failover..........................................................................................................................25 

4.3 Production IP Groups....................................................................................................26 

4.4 Testing IP Groups .........................................................................................................26 

ISE Spread Book Feed 2

About This Document 

This document is a programmer’s reference guide intended to aid in the development and 

integration of the ISE Spread Book feed. It is intended to cover the general business behavior of 

the ISE Spread order book feed and the technology standards and techniques employed to 

provide this service. 

Intended Audience 

This document is for programmers, analysts and IT managers who are developing ISE Spread 

Book feed client applications. 

Related Documents 

The ISE Spread Book Feed makes use of the FIX protocol version 5.0. 

Document Description Location 

Financial Information 

Exchange Protocol v5.0 

Describes the industry standard 

for broker – institution 

www.fixprotocol.org/specificatio 

ns/ 

communication. 

FIX Protocol Internet site Provides a central repository for www.fixprotocol.org 

FIX documents. 

ISE Internet site 

Provides exchange information 

for members. 

www.ise.com 

Document History 

Version 

Version 1.0 

Change History 

Initial Release 


1 Introduction 

1.1 About ISE Spreads ® 

ISE Spreads ® is an innovative technology that enables all market participants to trade smarter by 

providing efficient and liquid markets for multi-legged strategies including Complex, Buy-write and 

Delta Neutral orders. The fully electronic order book was launched in 2003 and offers immediate 

execution in over 1000 products. 

The Spread Book Feed provides subscribers with a complete view of all complex orders on the 

ISE Spread book. The feed consists of spread order information including instrument data, 

spread ratio, net price and order quantity. 

Orders are NOT aggregated at each price level. All orders of the same type are grouped together 

with a common SecurityID assigned to that type and shown in Bid/Offer format. 

The spread book broadcast service is based on industry and technology standards including 

Financial Information exchange (FIX) protocol for business level messaging, and UDP IPv4 

standards for transmission of broadcast data dissemination. The ISE Spread Book Feed is 

currently distributed by BT Radianz via the Radianz Shared Market Infrastructure, by NYSE 

Euronext Advanced Trading Solutions Secure Financial Transaction Infrastructure (SFTI®) and 

by SAVVIS. 

1.2 Overview of ISE Spread Book Feed 

The ISE Spread Book feed has two message types. An Incremental Refresh message that 

provides updates to the order book, and Full Refresh message that provides a snapshot of the 

order book. The term Snapshot and Full Refresh are interchangeable throughout this document. 

Snapshot messages are used to continuously cycle through the Spread Order Book every two 

minutes throughout the day and always reflect the state of the order book as at the last 

Incremental Refresh message 

The following information is sent out for each spread order: 

• Security ID 

• Refresh Indicator 

• Number of legs 

• Time in force 

• Net Price 

• Quantity 

• Order ID 

• Special Order type 

• Interest Only 

The following information is sent out for each leg of the spread order: 

• OPRA Code 

• CFI Code 

• Expiration Date 

• Strike Price 

• Leg Side 

• Leg Ratio 


The data feed is being Multicast over various networks in an A-feed / B-feed format, similar to 

OPRA. The market data is distributed over 2 multicast addresses. There is no need to request 

retransmissions of lost packets. If a packet is lost or if you are late to join the data feed, you will 

wait for a complete cycle of the Snapshot / Full Refresh messages to ensure that the order book 

data is accurate. 

The messages are defined using the FIX.5.0 standard for market data, and follow the best 

practices outlined by the FIX Market Data Working Group. 

For more information about the FIX 5.0, please refer to the following web sites: 

http://fixprotocol.org/specification. 

1.3 Hours of Operation 

Normal trading hours for the ISE Options market are from 9:30am to 4:00pm ET and 4:15pm ET 

for Index Options. 

The ISE Spread Book Feed is brought online each day at approximately 7:00am ET and 

continues to broadcast information throughout the trading day. The services stop broadcasting at 

5:00pm ET. 

Time 

7:00am 

Spread Book Feed Activity 

The Spread Book feed begins. 

All spread orders of the same type and the inverse of that type are assigned a 

common SecurityID so that like orders can be shown in an order book format. 

A Full Refresh message is sent for the first order of each type and establishes the 

Security ID for that type. 

As new orders are entered into the system leading to the market open. Incremental 

Refresh messages are sent out for orders that are added/changed/modified on the 

book. 

Full Refresh messages are disseminated continuously with a complete refresh of the 

Spread Order Book every two minutes. 

9:30am 

The Market opens and regular trading begins. 

Incremental Refresh messages are sent to update the book as the market changes. 

Full refresh messages are sent continuously with a complete refresh of the market 

every two minutes. 

4:00pm/ 

4:15pm 

6:00pm 

Regular trading ends. 

Market Data Snapshot Full Refresh messages continue to be disseminated with end 

of day information. 

The ISE Spread Book Feed stops disseminating Full Refresh messages. 

Table 1 - Normal Processing Schedule 


1.4 Support and Connectivity 

ISE support for the Spread Book Feed is available from 8 am to 6 pm (Eastern Time) on market 

days and the contacts are as follows: 

ISE Contacts 

Business Issues 212 897-8160 bizdev@ise.com 

Technical Support 212 897-0284 computeroperations@ise.com 

FIX Support 212 897-0244, #2 tms@ise.com 

The ISE Spread Book Feed is currently distributed by BT Radianz via the Radianz Shared Market 

Infrastructure, by NYSE Euronext Advanced Trading Solutions Secure Financial Transaction 

Infrastructure (SFTI®) and by SAVVIS. We recommend a 10 MB redundant connection with an 

aggregate of 20 MB of bandwidth, which represents 100% head room based on the peak data 

rates as of January 2008. The contacts for support and connectivity are as follows: 

BT Radianz Inc. 

Edmond Esquilin 212 415 4664 edmond.esquilin@bt.com 

Support 877 882-1497 

SFTI (Secure Financial Transaction Infrastructure) contacts at NYSE Euronext Advanced 

Trading Solutions 

Sales 212 244-5551 sales@transacttools.com 

Support 800 873-7422 SFTI@SIAC.com 

SAVVIS 

Sales 800-463-8294 TeamISE@savvis.net 

Support 888-638-6771 

For additional information please send email to bizdev@ise.com. 


2 ISE Spread Book Feed 

This section describes the ISE Spread Book Feed, the different messages that are sent by ISE 

and how they are used to maintain the Spread Order Book. The ISE Spread Book Feed provides 

subscribers with a full view of the ISE Spread Order Book where all orders are assigned to 

SecurityID (Tag 48). SecurityIDs are created when orders with unique structure characteristics 

are entered into the Spread Order Book. 

Structure characteristics: 

• Series Legs – A maximum of 4 options legs (series) plus a cash equity leg 

• Ratio of each leg 

• Side of each leg (buy/sell) 

Example of a SecurityID and inverse orders 

Order 

Buy 1 GOOG9JAN600.0C 

Sell 2 GOOG9JAN650.0C 

Buy 1 GOOG9JAN700.0P 

If this is the first time an order of this leg/ratio/side composition is entered a new randomly 

generated Security is created and disseminated through with the Full Refresh. 

Security example: 0de0f330-a80e-4595-8ea1-d34f2774f9cb 

If this is NOT the first time an order of this leg/ratio/side composition is entered then an 

Incremental Refresh with a “MDUpdateAction” of “New” is disseminated where the Incremental 

references an existing “SecurityID”. 

If the following inverse order is entered an Incremental Refresh with an “MDUpdateAction” of 

“New” is disseminated where the Incremental Refresh references same Security ID of 0de0f330- 

a80e-4595-8ea1-d34f2774f9cb. 



Sell 1 GOOG9JAN700.0P 

The ISE Spread Book feed utilizes following FIX message types as listed in the table below. 

MsgType 

(tag=35) 

X 

Message Name 

Market Data Incremental 

Refresh 

Notes 

The MDUpdateAction tag indicates the usage 

of the message type: 

• MDUpdateAction = 0 - New order 

• MDUpdateAction = 1 - Change order 

• MDUpdateAction = 2 - Delete order 

W Market Data Snapshot / 

Full Refresh 

Snapshots of all order on the book. 

4 Sequence Reset Indicates the message sequence number is 

being reset. 

Table 2 - Market Data Messages 


The message formats are based on the FIX.5.0 specification, with some extensions as noted in 

Section 3. 

Incremental with MDUpdateAction – New - Is used to add new orders to structures (securities) 

that are already defined on the feed. There should never be an Incremental with 

MDUpdateAction – New without reference to an existing “SecurityID” (Tag48) 

Incremental with MDUpdateAction – Change – Is used to update an order when order quantity 

is decreased. For an increase in quantity an Incremental with a MDUpdateAction of Delete 

followed by a Incremental with a New is sent out. 

Incremental with MDUpdateAction – Delete – Is used to delete orders from structures 

(SecurityID) or to increase the quantity of existing orders. Deletes can be sent out for the 

following reasons 

1. Order has traded out completely 

2. Order has been altered up in quantity or has been traded partially – Note Incremental 

with MDUpdateAction of new is sent out with the new quantity 

3. Order has been deleted 

4. Order Price – Increase or decrease – For an increase or decrease in price an 

Incremental with a MDUPdateAction of Delete followed by a Incremental with a New is 

sent out. 

In the event that all order size has been traded/deleted for a SecurityID the feed must continue to 

publish the SecurityID through the Full Refresh Message. This Full Refresh message should 

continue to distribute information regarding the structure and will have tag 268 NoMDEntries = 0. 

The Spread Book Feed commences each day at 07:00 AM EST with a Snapshot Message for 

each order in the book followed by an Incremental Refresh Message. The ‘Snapshot’ message is 

sent for each series every two minutes. Incremental Refresh messages will now insert price and 

quantity into the order books. Each message has one instruction (MDUpdateAction) that can be 

to add, change or delete an order. 

The following is an example of a spread order posted on the ISE Spread Book: 

ID B/S Ratio Qty Price Valid 

ALL8DEC47.5C 

ALL8DEC52.5C 

Buy 

Sell 

1 

1 

10 2.75 Day 

Following Snapshot message is sent out with the SecurityID of the spread order. If this is the first 

time an order of this leg/ratio/side composition is entered then Full refresh message always has 

MD entries field set to 0 and refresh indicator set to 1. 

Tag 

Tag Name Value Description 

Number 

Standard FIX Header MsgType = “W” 

48 SecurityID 653c34f6-ac00-436ca065-3ba12fb0debd 

Security identifier value. 

22 SecurityIDSource 99 Valid values: 


Tag 

Tag Name Value Description 

Number 


99 – GUID 

911 TotNumReports 1 Total number of Market 

Data reports. 

1 (Default) 

963 MDReportID 1 Unique identifier for 

Market Data report 

1 (Default) 

1187 RefreshIndicator 1 Default value is set to 0. 

When set to 1, the 

message should be 

processed. When set to 

0, the message could be 

processed. 

555 NoLegs 2 Number of legs 

> 600 LegSymbol ALL This is the underlying 

symbol and not the 3 

char OCC trading symbol 

602 LegsSecurityID ALLEY FULL OPRA CODE 

603 LegsSecurityIDSource J J – Options Price 

Reporting Authority (for 

Option legs) 

608 LegCFICode OC OC-Option Call [OPT] 

611 LegMaturityDate 20080517 Maturity Date (only for 

Option legs in 

YYYYMMDD format) 

612 LegStrikePrice 47.5 0 - 99999999.9999 (only 

for Option legs) 

624 LegSide 1 1-Buy 

623 LegRatioQty 1 must be an integer >=1 

> 600 LegSymbol ALL This is the underlying 

symbol and not the 3 

char OCC trading symbol 

602 LegsSecurityID ALLEX FULL OPRA CODE 

603 LegsSecurityIDSource J Identifies class or source 

of the Security 

J – Options Price 

Reporting Authority (for 

Option legs) 


611 LegMaturityDate 20080517 Maturity Date (only for 

Option legs in 

YYYYMMDD format) 

612 LegStrikePrice 52.5 0 - 99999999.9999 (only 

for Option legs) 

624 LegSide 2 2-Sell 


268 NoMDEntries 0 Number of entries 

following for this strategy. 

Incremental Refresh Message is sent following Snapshot with MD update Action set to 0 


Tag Number Tag Name Value Description 

Standard FIX Header MsgType = “X” 

268 NoMDEntries 1 Number of entries 

following. 

Valid value: 1 

> 279 MDUpdateAction 0 0 – New 


Security identifier value. 

GUID in this case. (Same 

as Snapshot) 

22 SecurityIS Source 99 99 – GUID 

269 MDEntryType 0 Bid 

270 MDEntryPx 2.75 Entry price for the Order 

271 MDEntrySize 10 Quantity or Volume 

represented by the Market 

Data Entry 

59 Time In Force 0 Day 

37 Order ID 726DB618:1623CA44 Order ID assigned by ISE 

9202 Special Order R 

Regular order 

Type 

10 CheckSum Trailer 

Full Refresh Messages are being continuously sent such that feed subscriber receives Full 

Refresh Messages for every spread orders on the book every two minutes. The Full Refresh 

message always reflects the state of the last Incremental Refresh Message. 

Snapshot messages can be ignored unless the field ‘Refresh Indicator’ has the value ‘1’. This is 

used in the event of a system failure that requires the ISE to send snapshots for all orders to 

refresh the order book or when an order with new leg/ratio/side composition added throughout the 

day. 

2.1 Snapshot / Full Refresh 

A Snapshot message is used to send a complete picture of the order book. Prior to market 

opening the Snapshot is sent to provide an initial view of spread order book. A Snapshot of entire 

order book is sent every two minutes to provide an initial state for applications as they connect to 

the data feed, and it also serves as a heartbeat mechanism so that client applications can 

constantly check that they are receiving data. 

Snapshot / Full Refresh Example - An example of a Snapshot following the opening would be 

as follows: 

Tag Tag Name Value Description 

Number 


48 SecurityID e450bcfe-6d2b-4053- Security identifier value. 

83c9-24603c2f5408 


99 – GUID 

911 TotNumReports 1 Total number of Market Data 

reports. 

1 (Default) 

963 MDReportID 1 Unique identifier for Market Data 



Number 


report 

1 (Default) 

1187 RefreshIndicator 1 Default value is set to 0. When 

set to 1, the message should be 

processed. When set to 0, the 

message could be processed. 


> 600 LegSymbol ALL This is the underlying symbol 

and not the 3 char OCC trading 

symbol 

602 LegsSecurityID ALLEY FULL OPRA CODE 

603 LegsSecurityIDSourc 

e 

J 

J – Options Price Reporting 

Authority (for Option legs) 


611 LegMaturityDate 20080517 Maturity Date (only for Option 

legs in YYYYMMDD format) 

612 LegStrikePrice 47.5 0 - 99999999.9999 (only for 

Option legs) 



> 600 LegSymbol ALL This is the underlying symbol 

and not the 3 char OCC trading 

symbol 

602 LegsSecurityID ALLEX FULL OPRA CODE 

603 LegsSecurityIDSourc 

e 

J 

Identifies class or source of the 

Security 




611 LegMaturityDate 20080517 Maturity Date (only for Option 

legs in YYYYMMDD format) 

612 LegStrikePrice 52.5 0 - 99999999.9999 (only for 

Option legs) 



268 NoMDEntries 3 Number of entries following for 

this strategy. 

> 269 MDEntryType 0 Bid 


271 MDEntrySize 10 Quantity or Volume represented 

by the Market Data Entry 



9202 Special Order Type R Regular order 


270 MDEntryPx 10.60 Entry price for the Order. 


by the spread order. 






Number 





by the spread order. 

59 Time In Force 1 GTC 



10 Checksum Trailer 

The Information being conveyed above represents following snapshot of the Spread Book: 

ID B/S Ratio Qty Price I/E Valid 

ALL8DEC47.5C Buy 1 

10 10.50 E Day 

ALL8DEC52.5C Sell 1 


50 10.60 E Day 


ALL8DEC47.5C 

ALL8DEC52.5C 

Buy 

Sell 

1 

1 

10 10.70 E GTC 

2.2 Incremental Refresh - New order 

Incremental Refresh Example 1 – A new order added to existing SecurityID: 

State of the book before a new order is entered: 



10 10.50 E Day 



50 10.60 E Day 


ALL8DEC47.5C 

ALL8DEC52.5C 

Buy 

Sell 

1 

1 

10 10.70 E GTC 

A new Customer order for 20 contracts is added to spread book to buy ALL Dec 47.5 and sell 

Dec 52.5 calls. The order is priced at $10.80. 



268 NoMDEntries 1 Number of entries following. 




22 SecurityID Source 99 99 – GUID 


Security identifier value. GUID 

in this case. (Same as 

Snapshot) 








37 Order ID 726DB618:1623CAAR Order ID assigned by ISE 


Regular order 

Type 


State of the book after the order is entered: 



10 10.50 E Day 



50 10.60 E Day 



10 10.70 E GTC 


ALL8DEC47.5C 

ALL8DEC52.5C 

Buy 

Sell 

1 

1 

20 10.80 E Day 

Incremental Refresh Example 2 – A new spread order for IBM. 

This example shows an order arriving with different spread structure for IBM for the first time in 

current trading session. 

State of the book before a new order is entered: 



10 10.50 E Day 



50 10.60 E Day 


ALL8DEC47.5C 

ALL8DEC52.5C 

Buy 

Sell 

1 

1 

10 10.70 E GTC 

A new spread order for 10 contracts is added to the Spread Order Book to buy IBM October 95 

Call and sell October 100 Call. The order is priced at $20.95. This result in a full refresh message 

with new security ID followed by incremental refresh message to add price and quantity of the 

spread order. 


Number 


48 SecurityID e450bcfe-6d2b- Security identifier value. 

4053-83c9- 

24603c2f5408 


99 – GUID 



Number 


911 TotNumReports 1 Total number of Market Data 

reports. 

1 (Default) 

963 MDReportID 1 Unique identifier for Market Data 

report 

1 (Default) 

1187 RefreshIndicator 1 Default value is set to 0. When set 

to 1, the message should be 

processed. When set to 0, the 



> 600 LegSymbol IBM This is the underlying symbol and 

not the 3 char OCC trading symbol 

602 LegsSecurityID IBMVS FULL OPRA CODE 

603 LegsSecurityIDSource J J – Options Price Reporting 



611 LegMaturityDate 20081018 Maturity Date (only for Option legs 

in YYYYMMDD format) 

612 LegStrikePrice 95 0 - 99999999.9999 (only for Option 

legs) 



> 600 LegSymbol IBM This is the underlying symbol and 

not the 3 char OCC trading symbol 

602 LegsSecurityID IBMVT FULL OPRA CODE 

603 LegsSecurityIDSource J Identifies class or source of the 

Security 




611 LegMaturityDate 20081018 Maturity Date (only for Option legs 

in YYYYMMDD format) 

612 LegStrikePrice 100 0 - 99999999.9999 (only for Option 

legs) 



268 NoMDEntries 0 Number of entries following for this 

strategy. 

Incremental refresh message sent to add price and quantity of the order. 






48 SecurityID e450bcfe-6d2b- 

4053-83c9- 

24603c2f5408 

Security identifier value. GUID in 

this case. (Same as Snapshot) 







271 MDEntrySize 10 Quantity or Volume represented by 

the Market Data Entry 


37 Order ID 726DB618:1623C Order ID assigned by ISE 

AAR 



State of the book after the order is entered: 



10 10.50 E Day 



50 10.60 E Day 



10 10.70 E GTC 


IBM8OCT95.0C 

IBM8OCT100.0C 

Buy 

Sell 

1 

1 

10 20.95 E Day 

2.3 Debit vs. Credit and Bid vs. Offer 

When a new SecurityID is created the following rules apply when determining the whether the 

SecurityID is broadcast as a Bid vs. Offer. 

1. If the net price of the order is a positive value then the structure (leg sides and ratio) of the 

SecurityID is created as entered into the book as a BID. 

Example:The following order is entered for a Debit of 9.00 

The feed publishes the following 





Sell 2 GOOG9JAN650.0C as a BID of 9.00 


2. If the net price of the order is a negative value then the structure (leg sides and ratio) of the 

SecurityID is created as an INVERSE of the entered into the book as an OFFER. 

Example: 

The following order is entered for a Credit of -9.00 




Sell 1 GOOG9JAN700.0P 

The feed publishes the following **Note Inverse Structure** 


Sell 2 GOOG9JAN650.0C as an OFFER of 9.00 


NOTE: since the price is negative for the very first order in this structure, the inverse of incoming 

structure is created, MDEntryType=OFFER & price = (-1) * order_price for the incoming order. 

Throughout the trading day prices could be positive or negative. All prices would start positive at 

the start of the day and may move to negative prices. 

2.4 Oversize snapshot messages 

All orders that belong to a structure are sent in the Snapshot full refresh message. It is possible 

that the size of a full snapshot message exceeds the datagram packet size threshold of 1000 

bytes due to multiple orders in a structure. In this scenario, the full snapshot message would be 

broken into multiple full refresh messages and then written to the multicast address. 

Tags 911 (TotNumReports) and 963 (MDReportID) are used for communicating the number of 

refresh messages related to each security ID. 

For example, if there were 25 orders in one structure and each snapshot is set to disseminate 10 

orders, then the Full refresh message would be broken as follows: 

Msg 1: TotNumReport=3, MDReportID=1, FullRefreshMsg contains 10 orders 



2.5 Change order 

An Incremental Refresh Message with MDUpdateAction equal to “1” indicates a change to a 

posted order. This includes Price and/or Quantity update. 

Incremental Refresh Example 3 – Customer reduce quantity on existing order: 

State of the book before the execution: 



10 10.50 E Day 



50 10.60 E Day 



10 10.70 E GTC 


IBM8OCT95.0C 

IBM8OCT100.0C 

Buy 

Sell 

1 

1 

10 20.95 E Day 

The quantity of an existing buy order in IBM October 95 and 100 Calls is reduced from 10 

contracts to 5. The price remains the same ($20.95). 






> 279 MDUpdateAction 1 1 – Change 

48 SecurityID e450bcfe-6d2b-4053- 

83c9-24603c2f5408 

Security identifier value. GUID in 

this case. (Same as Snapshot) 









Regular order 

Type 


State of the book after the order is executed: 


ALL8DEC47.5C 

ALL8DEC52.5C 

ALL8DEC47.5C 

ALL8DEC52.5C 

ALL8DEC47.5C 

ALL8DEC52.5C 

IBM8OCT95.0C 

IBM8OCT100.0C 

Buy 

Sell 

Buy 

Sell 

Buy 

Sell 

Buy 

Sell 

1 

1 

1 

1 

1 

1 

1 

1 

10 10.50 E Day 

50 10.60 E Day 

10 10.70 E GTC 

5 20.95 E Day 

2.6 Delete order 

An Incremental Refresh (Message Type X) with MDUpdateAction equal to “2” is used to indicate 

an order delete. 

Incremental Refresh Example 4 – Existing order deleted on ISE by customer: 

State of the book before the execution: 



10 10.50 E Day 



50 10.60 E Day 



10 10.70 E GTC 


IBM8OCT95.0C 

IBM8OCT100.0C 

Buy 

Sell 

1 

1 

5 20.95 E Day 


The order to buy IBM Oct95 calls and sell Oct 100 calls was deleted. ISE Spread Book Feed 

sends out a delete Incremental refresh message, specifying which order was deleted. 





> 279 MDUpdateAction 2 2 – Delete 

48 SecurityID e450bcfe-6d2b-4053- 

83c9-24603c2f5408 

Security identifier value. GUID 

in this case. (Same as 

Snapshot) 




State of the book after the delete message is received 



10 10.50 E Day 



50 10.60 E Day 


ALL8DEC47.5C 

ALL8DEC52.5C 

Buy 

Sell 

1 

1 

10 10.70 E GTC 


3 Message Formats 

This section describes each message type in detail. Each message is described in its FIX format 

followed by an example of the message. 

3.1 FIX Message Headers 

Every message has a standard FIX.5.0 header with the following tags: 

Tag Field Name Req'd Comments 

8 BeginString Y Identifies beginning of new message and protocol 

version. ALWAYS FIRST FIELD IN MESSAGE. 

Valid value: 

FIX.5.0 

35 MsgType Y Defines message type. 

Valid values: 

W = Market Data – Snapshot/Full Refresh 

X = Market Data – Incremental Refresh 

34 MsgSeqNum Y Integer message sequence number. 

52 SendingTime Y Time of message transmission (always expressed in 

UTC (Universal Time Coordinated, also known as 

"GMT"). 

Table 3 - FIX Message Headers 


3.2 Market Data Incremental Refresh 

The Market Data Incremental Refresh message contains the fields listed in the following table 

below. The repeating group is noted by the “>” in the far left hand column. 


Standard Header Y MsgType = X 

268 NoMDEntries Y Number of entries following. 


> 27 MDUpdateAction Y 

9 

Must be first field in this repeating group. 

Valid values: 

0 – New 

1 – Change 

2 – Delete 

Component Block 

> 48 SecurityID Y Security identifier value. GUID in this case. 

> 22 SecurityIDSource Y Valid values: 

99 – GUID 

End Block 

> 269 MDEntryType Y Type of Market Data Entry. 

Valid Values: 

0 – Bid 

1 – Offer 

> 270 MDEntryPx N Entry price for the Order. 

> 271 MDEntrySize Y Quantity or Volume represented by the Market Data 

Entry 

> 59 TimeInForce N For optional use when this Bid or Offer represents 

an order 

Valid values: 

0 – Day 

1 – Good Till Cancel (GTC) 

3 – Immediate Or Cancel (IOC) 

> 18 ExecInst N Can contain multiple instructions, space delimited 

Valid value: 

G – All or None 


37 OrderID Y For optional use when this Bid, Offer, or Trade 

represents an order 

Valid value: LogB Order Number 

> 920 

2 

SpecialOrdType N Valid Values: 

R – Regular order (default) 

F - Facilitation order 

S – Unsolicited order 

Z – Interest order 

Table 4 - Market Data Incremental Refresh 


3.3 Market Data Snapshot / Full Refresh 

The Market Data Snapshot message is used to refresh the book and contains the fields listed in 

the table below. The repeating group is noted by the “>” in the far left hand column. 

Tag Field Name Req' Comments 

d 

Standard Header Y MsgType = W 


48 SecurityID Y Security identifier value. 

22 SecurityIDSource Y Valid values: 

99 – GUID 

End Block 

911 TotNumReports N Total number of Market Data reports. 

1 (Default) 

963 MDReportID N Unique identifier for Market Data report 

1 (Default) 

1187 RefreshIndicator Y Default value is set to 0. When set to 1, the 

message should be processed. When set to 0, the 


555 NoLegs N Number of legs 


> 60 LegSymbol Y This is the underlying symbol and not the 3 char 

0 

OCC trading symbol 

> 60 

2 

> 60 

3 

> 60 

8 

> 61 

1 

> 61 

2 

> 62 

4 

LegSecurityID N FULL OPRA CODE 

LegSecurityIDSourc 

e 

N 

Identifies class or source of the Security 

Valid values: 

J – Options Price Reporting Authority (for Option 

legs) 

8 – Exchange Symbol (for Stock legs) 

LegCFICode Y OC-Option Call [OPT] 

OP-Option Put [OPT] 

ES-Equity Common Shares [CS] 

LegMaturityDate N Maturity Date (only for Option legs in YYYYMMDD 

format) 

LegStrikePrice N 0 - 99999999.9999 (only for Option legs) 

LegSide Y 1-Buy 

2-Sell 

3-Sell Short 


62 LegRatioQty Y must be an integer >=1 

3 

< end of Instrument Leg > 

268 NoMDEntries Y Number of entries following for this strategy. 

> 269 MDEntryType Y Type of Market Data Entry. 

Valid Values: 

0 – Bid 

1 – Offer 

> 270 MDEntryPx N Entry price for the Order. 

> 271 MDEntrySize Y Quantity or Volume represented by the Market Data 

Entry 

> 59 TimeInForce N For optional use when this Bid or Offer represents 

an order 

Valid values: 

0 – Day 

1 – Good Till Cancel (GTC) 

3 – Immediate Or Cancel (IOC) 

> 18 ExecInst N Can contain multiple instructions, space delimited 

Valid value: 

G – All or None 

> 37 OrderID Y For optional use when this Bid, Offer, or Trade 

represents an order 

Valid value: LogB Order Number 

> 9202 SpecialOrdType N Valid Values: 

R – Regular order (default) 

F - Facilitation order 

S – Unsolicited order 

Z – Interest order 

Table 5 - Market Data Snapshot / Full Refresh 


3.4 Sequence Reset 


Standard Header Y MsgType = 4 

123 GapFillFlag N Indicates that the Sequence Reset message is 

replacing administrative or application messages 

which will not be resent. 

Valid value: 

N – Reset mode 

36 NewSeqNo Y New sequence number 

If a Sequence Reset message is received the client should expect the next sequence number to 

be higher than NewSeqNo tag value. 


4 Communications 

The ISE Spread Book Feed is currently distributed by BT Radianz via the Radianz Shared Market 

Infrastructure and by NYSE Euronext Advanced Trading Solutions Secure Financial Transaction 

Infrastructure (SFTI®). These providers use advanced telecommunications protocols, and was 

designed to support a number of industry-standard protocols including IP and UDP as defined by 

the Internet Engineering Task Force (IETF). We expect additional extranet providers to distribute 

this data. 

ISE Spread Book feed data is disseminated using multicast via two redundant lines (A and B) 

that are intended to provide a level of fault tolerance. We recommend a 10 MB redundant 

connection with an aggregate of 20 MB of bandwidth, which represents 100% head room based 

on the peak data rates as of January 2008. A separate set of addresses and ports are used for 

functional testing. 

4.1 Transmission Standards 

The ISE Spread Book feed utilizes IP version 4 (IPv4) over UDP and Ethernet standards. The 

figure below illustrates the header information as defined in IETF RFC 791 (IPv4) and RFC 768 

(UDP) transmission protocol standards. 

Bits 0-7 8-15 16-23 24-31 

0 

32 

Source Address 

Destination Address 

64 Zeros Protocol 

Source Port 

Length 

96 

128 

160 

Data 

Figure 1 - UDP Header 

UDP Length 

Destination Port 

Checksum 

One or more encoded FIX.5.0 messages may be included in a single UDP packet. 

4.2 Failover 

The ISE Spread Book feed has been architected for fault tolerance by providing two redundant 

streams of data disseminated from two diversely located data centers. There is one feed from 

each site: ‘A’ feed from the A site/server and ‘B’ feed from the B site/server. 

When there has been a failure in the service at the ISE the ‘RefreshIndicator’ is set to ‘1’ which 

indicates that the subscriber should discard the contents in the order book and completely 

replace it with the contents of this Snapshot message. The ‘RefreshIndicator’ also allows the 

subscriber to only process Snapshots that are set to ‘1’ once the market is open. 


4.3 Production IP Groups 

The table below identifies the primary and secondary multicast address and port information for 

the production communication services. 

Primary (Group A) Secondary (Group B) 

Line Address Port Address Port 

1 233.104.73.97 53097 233.104.73.33 53033 

2 233.104.73.98 53098 233.104.73.34 53034 

Table 6: Production Multicast Lines 

4.4 Testing IP Groups 

A third sub-set of addresses and ports will be used to provide test data both during and after 

market hours but not on weekends. The following symbols are available on each IP address. 

Test Group and Symbols 

Address Port Symbols included 

1 233.104.73.161 53161 YHOO, IBM, QQQQ, INTC, SPY, MSFT, ALL, 

Table 7: Test Multicast Lines

ISE Spread Book Feed Specification - ISE.com

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