Global Market Data External Webinar Filtered Options Feed

Transcription

1 Global Market Data External Webinar Filtered Options Feed Tom Watson Product Manager, US Derivatives Global Market Data July 27th, 2011 NYSE Euronext. All Rights Reserved.

2 Today s Topics U.S. Options Market & OPRA Data Filtered Options Feed Delivery Questions

3 U.S. Options Market & OPRA Data

4 U.S. Options Market Overview The U.S. Options market is one of the fastest growing derivatives markets in the world. Participants can make markets and trade options on individual stocks, indices and structured products such as Exchange Traded Funds (ETFs). Key features include: Nine U.S. Options Exchanges with Electronic and Traditional Open Outcry models There are thousands of listed equity & index based options In 2009, more than 3.6 billion contracts traded on the exchanges and cleared through one central clearing organization - the Options Clearing Corporation (OCC) The Options Price Reporting Authority (OPRA) provides centralized reporting of last sale and national best bid & offer (NBBO) data AND processes about 4 Billion messages per day. 4

5 Millions Options Industry Growth 4,500 4,000 3,500 3,000 2,500 Pacific Exchange, Inc (PCX) 2,000 1,500 1, Volume Expon. (Volume) Source: OCC 5

6 Profile of OPRA Data OPRA OPRA STATISTICS May Bn+ Messages per Day Last sale and quote information Dec 2010 record peak of 2,145,754 messages per second Volume of Options traded Open-Interest messages Administrative messages Annual Growth Rate 68% Source: Financial Information Forum (FIF) 6

7 Filtered Options Feed

8 What is the Filtered Options Feed? The Filtered Options Feed is a highly flexible and fully managed market data feed that filters US Options Market Data (OPRA) based on a set of standard criteria, or customer designated parameters. This significantly lowers bandwidth requirements and reduces processing needs while maintaining immediate access to the most relevant data. Managed Service over SFTI from NYSE Technology liquidity center Solution Provides filtering for all US Options data Delivered similarly to all GMD Proprietary data feeds Uses OPRA data format 8

9 Solution Offerings OPRA OPRA OPRA Filtered Data Feed Standard Filtered Options Feed Provides all Trades & NBBO quotes Administrative messages No customizable filtering Estimated 70+% reduction in messages Custom Filtered Options Feed Bespoke market data feed Several filtering parameters and combinations Bandwidth reduction dependent on filter settings Allows for intra-day filter changes 9

10 What does the Filtered Options Feed do? NYSET Filtered Options Feed ingests the OPRA feed and redistributes a filtered version in the same OPRA multicast format. This eliminates integration issues with the feed to allow for immediate use within customer ticker plants and feed handlers. The OPRA data can be filtered based on the following parameters: Time based filtering - sending quotes at stated time intervals % change on quote price - quote moves more than the stated % % or discrete change of quote volume - size moves more than % or numeric value Participating options market - i.e. do not send data for C2 or NOM Trades Only NBBO Only 10

11 Quote Time Interval Filter Enables the customer to define a time interval for quote publishing. This filter enables customers to have great flexibility in managing the data flow and the bandwidth required to manage that flow. Flexibility and granularity of the interval 1 millisecond to several minutes 2 interval types Minimum Interval - Specify a minimum time interval that must elapse between quotes. Elastic Interval - Specify an exact time interval that must elapse between publication of quotes. Quote Price Filter The quote price selection criteria is percentage based, applied either as a single percentage price change or as variable percentage bands which are applied according to the value of the quote price. Time Band Example: < $1.00 at +/-5% change or >$5.00 +/-10% change 11

12 Quote Size Filter A substantial percentage of the OPRA quotes are generated by changes in quote volume alone. If the change in quote volume at a particular price is small, then it may not be significant to a customer. Filtering based on quote volume can reduce the number of messages that the customer has to process, without loss of relevant data. Volume filter can be applied as either a change in discrete numerical value or as a percentage change in quote volume, where the quote price is identical. Quote size selection criteria can be applied with different levels of granularity Globally at the option series level across of exchanges (IBM Call DEC10 140) Single Market - at the option series for within a exchange (ARCA IBM Call DEC10 140) 12

13 How is it delivered?

14 Filtered Options Feed Network Diagram Fault Tolerance Filtered Options Filtered Option HOT STANDBY Primary Opra Lite Instances Secondary Opra Lite Instances Opra Lite Updates Shaped Per Customer Secondary Instances Publish Only When Primary Fail Re-Trans Proxy Synchronized Intra Day Changes Re-trans REQUEST NYSE Operations Intra Day Change Manager Internal Network Re-trans REJECT Client Network Recovery (m-cast) Feed-A (m-cast) Feed-B (m-cast) TCP requests Failover stream (m-cast) Client 1 14

15 Technical Details Data Stream 1.) Receive OPRA data via the SFTI Network 2.) Filter data based on select parameters 3.) Re-sequence messages to allow for retransmission mechanism 4.) Save data for retransmission purposes 5.) Publish data via the feed on the SFTI Network Published using OPRA s protocol Published using OPRA s original multicast channels Target filtering latency is less than 1 millisecond 15

16 Review

17 Where does this solution fit? 17

18 Questions?

19 Contact Details Questions can be addressed to Tom Watson Product Manager - US Derivatives Market Data twatson@nyx.com or to your NYSE Technologies sales representative 19

20 Upcoming Webinars in the Academy Series Thursday 28 th July: Ian Jack and Tariq Rashid from NYSE Technologies European Connectivity business will be discussing cost-effective colocation options, how to connect to new and emerging markets, and the benefits of shared community services. Visit to register now 20

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