Market Data Questions
Is GTH and Curb market data available through OPRA?
- OPRA uses separate extended session lines to disseminate GTH data for GTH-Eligible proprietary Index products.
- OPRA will use the regular session lines to disseminate GTH data for GTH-Eligible multilist options.
- OPRA uses the regular session lines to disseminate Curb data using Session Indicator = 0 and Message Type = v. Curb trades do not update Open, High, Low, Closing and Last Sale prices.
- Additional information from OPRA can be found here.
What OPRA Session Indicators are used for GTH trading in GTH-Eligible proprietary Index Products on the extended session lines?
- Session indicator values from 1 to 5 indicate the day of the week associated with the trading date of the transaction.
Trade Day Session Indicator or Value Monday 1 Tuesday 2 Wednesday 3 Thursday 4 Friday 5 - The session indicator accounts for holiday schedules. For example, if a U.S. Holiday falls on a Friday, both the GTH session starting on the preceding Thursday evening and the GTH session starting on the following Sunday will have the session indicator set to 1, indicating messages from both sessions belong to the trade date of the next Monday.
- The session indicator value during RTH and Curb sessions coming over the Regular Hours OPRA Output lines is always 0.
- The session indicators are enabled in the C1 certification environment.
- Additional information pertaining to session indicators can be found in the OPRA Binary Data Recipient Interface Specification.
- Session indicator values from 1 to 5 indicate the day of the week associated with the trading date of the transaction.