High Speed vendor Feed
High Speed Vendor Feed (HSVF) is the market data vendor protocol of the electronic Sola Trading platform that is used for the dissemination of market data for options, futures, forwards and other exchange-listed derivative securities for five major derivative exchanges globally.[1]
History edit
As of 2011[update], the exchanges using the protocol include the following:
- Boston Options Exchange (BOX),[2]
- Montreal Exchange(MX)[3]
- Turquoise (trading platform),[4] Derivatives, a multilateral trading facility for trading of IOB Russian (formerly EDX) and Pan European Derivatives[5]
- Oslo Børs (Derivatives only) on the Oslo Stock Exchange,[6]
- IDEM (Italian Derivatives Equity Market) on Borsa Italiana.[7]
The HSVF protocol is part Sola Trading Solutions which was both designed and developed by The Montreal Exchange (Bourse de Montréal)[8] which from May 2008 became a fully owned subsidiary of the TMX Group.
Protocol definition edit
HSVF parses and broadcasts all of its market data in 4 major Sub categories:[9]
- default Messages for Equity, ETF and Index options
- F Messages for futures
- B Messages for North American Options on Futures
- S Messages for all Derivative Strategies including Spreads, Strips, Straddles, Strangles, Combos, and User defined Complex orders.[10]
The basic List of Messages that are available across all HSVF broadcasts are:
- Trades (C, CF, CB, CS)
- Request for Quotes (D, DF, DB, DS)
- Quotes (F, FF, FB, FS)
- Market Depth (H, HF, HB, HS)
- Trade Cancel (bust) (I, IF, IB, IS)
- Instrument Key (J, JF, JB, JS)
- Instrument Summary (N, NF, NB, NS)
- Beginning of Instrument Summary (Q, QF, QB, QS)[10]
Various exchanges uses the following global Identifiers: Q = Montreal Exchange, B = Boston Options Exchange, E = Turquoise (trading platform) (Derivatives), O = Oslo Børs, I = IDEM (Italian Derivatives Equity Market) on Borsa Italiana.
References edit
- ^ TMX Datalinx Product Sheet for the HSVF Protocol "source 1 2011-10-07 at the Wayback Machine"
- ^ Box Outbound Market Data HSVF "source 2 2011-02-13 at the Wayback Machine"
- ^ M-X Homepage with Link to Sola Platform information"source 3"
- ^ Automated Trader Exchange News, December 7, 2009 "source 4"
- ^ Turquoise Derivative Launch "source 5 2011-10-03 at the Wayback Machine"
- ^ Oslo Børs Publication December 7, 2009 "source 6"
- ^ WFE World Federation of Exchange Publication November 9, 2010 "source 7 2011-09-29 at the Wayback Machine"
- ^ M-X Homepage with Link to Sola Platform information"source 8"
- ^ HSVF Specs "[1] 2012-04-26 at the Wayback Machine source 9"
- ^ a b Latest Published Turquoise HSVF Specifications "source 10 2012-04-29 at the Wayback Machine"
External links edit
- SOLA Homepage