Market Data Feeds Get Richer

Terry Flanagan

Market data feeds are becoming richer in content, as Nasdaq OMX enhances its UltraFeed product to include full order depth from U.S. equity exchanges.

UltraFeed has expanded its demographic to include more sophisticated investors who, along with traders and other market data consumers, require a higher level of transparency into the U.S. equities markets.

Adding equity depth data empowers UltraFeed customers to deploy different strategies and gives them access to the specific data they need in an easy-to-use format.”

“We launched UltraFeed in 2012 because our clients demanded it,” said Oliver Albers, vice president at Nasdaq OMX Global Data Products. “This latest version, which includes equity depth information, is designed for sophisticated investors who use depth data in a variety of trading strategies.”

Financial firms are coping with a tsunami of structured and unstructured data, known as Big Data, and are implementing systems to analyze it in real time.

“Whatever level of capability an organization has now, there is an achievable, affordable route for that organization to start experimenting with more powerful tools and technology, to derive more value from information,” said Bill Fearnley, Jr., senior analyst at Celent’s Securities & Investments Group.

UltraFeed is a customizable data feed that carries normalized message formats by asset class, including equities, options, futures, indexes and mutual funds.

“Because it’s normalized, UltraFeed is easy for firms to code to,” Albers said. “Additionally, part of the cost of being in the data business is network connectivity. The less bandwidth a firm has to buy, the more money they’re going to save, and we offer a plethora of connectivity options for Ultrafeed from multiple network providers. The UltraFeed product is designed to be ultra-competitive on cost.”

UltraFeed employs Nasdaq OMX’s INET technology, which ensures faster processing times with greater reliability and flexibility, including the ability for firms to manage their own ticker plant infrastructure.

Future enhancements of UltraFeed include a “smart” offering from The Options Price Reporting Authority (OPRA), which will allow customers to significantly reduce bandwidth by only offering National Best Bid Offer (NBBO) information.

Nasdaq OMX is also planning to launch a “Synthetic NBBO” feed taking the top of book equity data from each U.S. equity venue.

“We are working on offering Smart OPRA, which will make it more efficient for firms to receive and distribute options data,” Albers said. “We’re also looking to launch a synthetic NBBO, whereby we calculate our own NBBO off of the direct data feeds. Lots of firms do it that in-house today, because we use INET technology, the calculation is very quick. We got into this redistribution business based on client demand, and are enhancing our offering based on that demand.”

Included in UltraFeed’s equity depth data is Nasdaq TotalView, a product that displays The Nasdaq Stock Market’s full order book. TotalView also features Net Order Imbalance information for Nasdaq opening and closing crosses as well as for the IPO and halt crosses, insight that can help reveal new trading opportunities.

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