Anyone who is familiar with the OPRA option data feed and associated message rates understands the challenges of dealing with options market data. NYSE Technologies has just introduced its Filtered Options Feed, designed to address some of those challenges. IntelligentTradingTechnology.com talked to Todd Watkins, product manager at the data and trading technology vendor, to find out more about what it offers.
Q: Why is there a need for a Filtered Options Feed?
A: Essentially, the enormous growth rates that the options markets have experienced over recent years have had a tremendous impact on consumers of market data. The need to manage options data is a significant concern across the industry. NYSE Technologies believes that allowing customers to filter the data as they see fit will provide them with an extremely useful service and unique value.
Q: Typically, how would you expect recipients to use the feed?
A: The Filtered Options Feed is a very flexible solution that will allow recipients to pare the feed in such a way that it will make available the most relevant data to their business. That helps firms better manage their connections to markets and their costs around market data consumption. The solution itself is driven by the customer to help them get the most value from it, and when combined with the new TAQ historical service, they further enhance the client’s ability to trade efficiently across options exchanges.
Q: How can the feed be filtered? Using what parameters/queries?
A: The Filtered Options service is a highly flexible solution allowing customers to filter the data in a number of different combinations. To highlight a few, customers can leverage a basic time based conflation parameter, percentage change on price, a percentage change or number value on size.
Additionally, customers can filter out the price and size across customer designated bands. For example, a size less than 12 can be filtered out at 10% while size greater than 15 can filtered out at 5%. These bands and percent rules are fully configurable and our Managed Service team will assist customers in defining these parameters. The feed can also be filtered based on message type, e.g. only Trades and NBBO quotes.
Q: How is the feed supported within your data cente and how is it delivered?
A: The service will be run from our Mahwah Liquidity Centre and the pared down data is delivered over the SFTI network. The data will be delivered in the same multicast format that the options data is delivered today and the solution inspects the messages based on the designated parameters, sending only the information that is allowed through the filters.
Q: Will SuperFeed still deliver the entire OPRA universe?
A: Yes, Superfeed will continue to deliver the entire OPRA universe of symbols, the offerings are complementary, and in essence serve different data recipients. Superfeed is a request-based solution that allows customer to query specific symbols; the Filtered Options Feed is a raw feed that customers will need to utilise within their current ticker plant solutions. Again, our goal here is to offer customers a choice that they can utilize to best fit their business needs.
Q: You also introduced the TAQ Options Service? What is that? Does it include every tick and quote from the trading day?
A: TAQ (for Trades and Quotes) Options is an extension of our existing well known TAQ equity product. The offering includes several daily files that are available on nyxdata.com, which include a 1 minute and 15 minute interval file as well as an ‘End of Day’ summary file, with a Trades-only file.
The data content is across all equity and index options delivered from OPRA, it is normalised in a pipe delimited format ready to be leverage by any data stores a customer chooses to utilise.
Q: How would a trading firm likely use the combination of the Filtered Options Feed and TAQ in their options trading strategies?
A: There are a numbers of ways customers can utilise either or both of these solutions to assist and enhance their trading strategies. From lifting the burden of processing all of the options messages, to receiving only the options Trade information, to receiving only the NBBO, both of these solutions can be leveraged for calculations in any internal volatility application.
Additionally, customers can leverage the Filtered Options Feed to test and fine tune intra-day strategies across a smaller number of options data messages rather quickly and utilise the TAQ Options offering to fully test their strategy across a complete set of options data. This allows for the ability to adapt a strategy while the market is moving in a real-time fashion.
Q: Do you see a need, or have any plans, to deliver other filtered or TAQ-like services in the future?
A: Absolutely, we believe there is significant value to customers to allow them the ability to see a flexible filtered solution of market data. As the volume of market data messages across all asset classes is ever increasing, we believe that flexible data delivery will allow customers to get at the most relevant data for their business needs and further augment their ability to execute their strategies.
We have embarked on an aggressive program to expand our TAQ product offerings. Options are the first of many asset classes we are looking at for trade analysis, back office and compliance needs. We are very excited to work with customers to continue to refine and improve this offering to create a new industry standard that helps them better manage data and technology to improve their business. As a trusted solutions provider, that remains the primary goal of NYSE Technologies and the products we introduce.