High Speed vendor Feed

High Speed Vendor Feed also known as HSVF is the market data vendor protocol of the Electronic Sola Trading platform [1] currently being used for the dissemination of market data for options, futures, Forwards and other exchange-listed derivative securities for five major derivative exchanges globally which 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 is both designed and developed by The Montreal Exchange (Bourse de Montréal)[8] which is now a fully owned subsidiary of the TMX Group.

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]

HSVF 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

TMX Datalinx Product Sheet for the HSVF Protocol "source 1 Archived 2011-10-07 at the Wayback Machine"
Box Outbound Market Data HSVF "source 2 Archived 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 Archived 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 Archived 2011-09-29 at the Wayback Machine"
M-X Homepage with Link to Sola Platform information"source 8"
HSVF Specs " Archived 2012-04-26 at the Wayback Machine source 9"
Latest Published Turquoise HSVF Specifications "source 10 Archived 2012-04-29 at the Wayback Machine"

External links

SOLA Homepage
HSVF Specifications Canada
HSVF Specifications London-Norway
HSVF Specifications Italy
HSVF Specifications US

This article is issued from Wikipedia. The text is licensed under Creative Commons - Attribution - Sharealike. Additional terms may apply for the media files.

[1] TMX Datalinx Product Sheet for the HSVF Protocol "source 1 Archived 2011-10-07 at the Wayback Machine"

[2] Box Outbound Market Data HSVF "source 2 Archived 2011-02-13 at the Wayback Machine"

[3] M-X Homepage with Link to Sola Platform information"source 3"

[4] Automated Trader Exchange News, December 7, 2009 "source 4"

[5] Turquoise Derivative Launch "source 5 Archived 2011-10-03 at the Wayback Machine"

[6] Oslo Børs Publication December 7, 2009 "source 6"

[7] WFE World Federation of Exchange Publication November 9, 2010 "source 7 Archived 2011-09-29 at the Wayback Machine"

[8] M-X Homepage with Link to Sola Platform information"source 8"

[9] HSVF Specs " Archived 2012-04-26 at the Wayback Machine source 9"

[TQS-10] Latest Published Turquoise HSVF Specifications "source 10 Archived 2012-04-29 at the Wayback Machine"