Data Feed Overview

The feed consists of one data channel. General characteristics of the feed include the following:

• The channel is duplicated and sent to 2 different multicast groups and ports over 2 networks in a primary / secondary configuration. Data sent to the primary and secondary multicast groups for each channel is identical.
• There are no retransmissions. Index values are computed and transmitted at regular intervals.
• A sequence number is sent for each message. This can be used to identify missed messages.
• Messages are placed into blocks (packets) for delivery which allows for multiple messages per block. The maximum block size is 1000 bytes.
• The message structures, field names and field values are based as much as possible on the FIX 5.0 SP2 standard. However, messages are encoded using a proprietary ASCII + binary format, and FIX tags are not transmitted in the data stream. The FIX format was used for the convenience of those familiar with the FIX standard, so messages are defined in terms of FIX field names and FIX tags. Some user-defined fields were necessary for those fields not in the FIX specification, and some modifications to standard FIX fields are implemented for efficiency reasons.