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 "[1] Archived 2012-04-26 at the Wayback Machine source 9"
- ^ a b Latest Published Turquoise HSVF Specifications "source 10 Archived 2012-04-29 at the Wayback Machine"