NYSE OpenBook

NYSE OpenBook provides a real-time view of the Exchange's limit-order book for all NYSE-traded securities. NYSE OpenBook lets traders see displayed limit-order volume at every bid and offer price, thus responding to customer demand for more depth-of-market data and raising the NYSE market to an even greater level of transparency. NYSE OpenBook is available via an electronic data feed or via market data vendor services. NYSE OpenBook is available directly from the NYSE via an electronic data feed or historical database and via most market data vendors.

How to get OpenBook
All customers and vendors who wish to receive NYSE OpenBook should contact their NYSE Account Manager or submit a request on nyxdata.com.

The following documentation may be required:
OpenBook Real-Time Exhibit A
OpenBook Real-Time Exhibit C
Three copies of the Vendor Agreement
Network Diagram Overview
Screen prints demonstrating the use and/or display of NYSE OpenBook data
An OpenBook data feed request submitted by your vendor to NYSE on your behalf

Product Guid: 
00000000-0000-0000-0000-000000000000
Market Covered
NYSE
Instruments Covered
Equities

NYSE OpenBook Aggregated

NYSE OpenBook provides a real-time view of the Exchange's limit-order book for all NYSE-traded securities. NYSE OpenBook lets traders see aggregate limit-order volume at every bid and offer price. The data is dynamically updated all day between 7:30am and 4:30pm. The datafeed is available via SFTI multicast feed in PDP Binary Format.

Access to NYSE OpenBook can be obtained through a market data vendor or by connecting to SFTI (pronounced 'safety'). SFTI stands for Secure Financial Transactions Infrastructure - It is an infrastructure through which customers connect to the market data distribution system and other services provided by SIAC. For more information on SFTI please contact SFTI@SIAC.COM or call 1-866-USE-SIAC.

The NYSE Common Access Point® Network is an extranet that serves as a common point of access between the NYSE production networks and the networks of NYSE members, sponsored nonmembers (e.g., institutions, broker / dealers, and individual investors), and market data vendors. The NYSE CAP network will provide connectivity for information products (outbound) as well as, receipt of customers orders (inbound). NYSE OpenBook® data reciepients may be members, non-members and market data vendors.

NYSE CAP is operated and maintained by SIAC on behalf of the NYSE. Access to CAP and other market data distribution products can be obtained via SFTI (pronounced 'safety') the Secure Finanical Transaction Infrastructure. NYSE CAP is a product of the NYSE, and will only be available for NYSE services. For additional information on CAP the customer guide (spec) is provided below. For additional information on SFTI please contact SFTI@SIAC.COM or call 1-866-USE-SIAC.

Testing for OpenBook Real-Time is available on Tuesday and Thursday evenings from 7:00 p.m. to 9:00 p.m.

Test data is disseminated for all stocks directly by SIAC on behalf of the NYSE. For more information on how to access test data, please contact SFTI@SIAC.COM or call 1-866-USE-SIAC. SFTI (pronounced 'safety') is the Secure Financial Transactions Infrastructure. It is an infrastructure through which customers connect to market data distribution systems and other services provided by SIAC.

Sample Data

A tcpdump capture file of an entire day's distribution is available for download at this location:

ftp://ftp.nyxdata.com/Real%20Time%20Data%20Samples/NYSE%20Openbook%20Ultra/

Typically the file contains the entire record of packets sent over a datafeed multicast group for a day, including start-of-day and end-of-day messages.  In some cases we have capture multiple channels in addition to refresh channels.

NYSE Order Imbalances

The NYSE Imbalance datafeed is a separate datafeed which publishes Opening and Closing imbalances automatically at specified intervals throughout the trading day for all NYSE listed securities.

Access to NYSE OpenBook can be obtained through a market data vendor or by connecting to SFTI (pronounced 'safety'). SFTI stands for Secure Financial Transaction Infrastructure - It is an infrastructure through which customers connect to the market data distribution system and other services provided by SIAC. For more information on SFTI please contact SFTI@SIAC.COM or call 1-866-USE-SIAC.

The NYSE Common Access Point® Network is an extranet that serves as a common point of access between the NYSE production networks and the networks of NYSE members, sponsored nonmembers (e.g., institutions, broker / dealers, and individual investors), and market data vendors. The NYSE CAP network will provide connectivity for information products (outbound) as well as, receipt of customers orders (inbound). NYSE OpenBook® data recipients may be members, non-members and market data vendors.

NYSE CAP is operated and maintained by SIAC on behalf of the NYSE. Access to CAP and other market data distribution products can be obtained via SFTI (pronounced 'safety') the Secure Financial Transaction Infrastructure. NYSE CAP is a product of the NYSE, and will only be available for NYSE services. For additional information on CAP the customer guide (spec) is provided below. For additional information on SFTI please contact SFTI@SIAC.COM or call 1-866-USE-SIAC.

Testing for OpenBook Real-Time is available on Tuesday and Thursday evenings from 7:00 p.m. to 9:00 p.m.

Test data is disseminated for all stocks directly by SIAC on behalf of the NYSE. For more information on how to access test data, please contact SFTI@SIAC.COM or call 1-866-USE-SIAC. SFTI (pronounced 'safety') is the Secure Financial Transactions Infrastructure. It is an infrastructure through which customers connect to market data distribution systems and other services provided by SIAC.

Specifications:
NYSE Order Imbalances Client Specification
NYSE Order Imbalances QRC

Publication Period:

Opening Imbalances:
Opening Imbalance messages are disseminated every 5 minutes between 8:30am EST and 9:00am EST.
Opening Imbalance messages are disseminated every 1 minute between 9:00am EST and 9:20am EST.
Opening Imbalance messages are disseminated every 15 second between 9:20am EST and the opening or 9:35am EST

Closing Imbalances:
Closing Imbalance messages are disseminated every 15 seconds between 3:40pm EST and 3:50pm EST.
Closing Imbalance messages are disseminated every 5 seconds between 3:50pm EST and 4:00pm EST (or until Market close on early closing days).


Information Included:

-Time
-Symbol
-Side of the imbalance (Buy/Sell)
-Paired Quantity (Shares)
-Imbalance Quantity (Shares)
-Reference Price (Last Sale)

Binary capture

NYSE OpenBook Ultra

NYSE OpenBook Ultra is a new, improved value-added version of the current NYSE OpenBook Real-Time. It further improves accessibility to the NYSE market through improved performance and additional content and functionality. NYSE OpenBook Ultra was developed with the help of customers to create a best-of-breed product. NYSE OpenBook Ultra will be provided as an optional alternative to recipients of NYSE OpenBook Real-Time.

Better Speed. With microsecond latency, NYSE OpenBook Ultra updates with every limit-order book event (unlike NYSE OpenBook Real-Time which updates every second). Microsecond resolution and internal matching engine timestamps provide comprehensive latency visibility to customers.

Faster Recovery. The new, innovative, “self-healing” format provides updates for each change and the current state of the book, allowing you to recover quickly and easily from any missed messages.

More Content. NYSE OpenBook Ultra contains all customer limit order interest including the floor and specialist interest, as well as unique information that other markets don’t provide. Reason codes provide details about why something has changed. Transaction LinkIDs link removed interest to tape prints, number of orders are provided at each price point, and microsecond timestamps. More detailed, microsecond resolution on timestamps helps line up millisecond trading. NYSE BestQuotes is also included as part of the package which provides a direct, low latency source of quotes that includes Top of Book, Specialist and Crowd Interest.

Download the NYSE OpenBook Ultra FAQs here

NYSE OpenBook Ultra Client Specification

The client specifications below are for a future release of NYSE OpenBook Ultra in XDP format scheduled for 2014.

XDP Depth of Book Client Specification

XDP Common Client Specification

 

 

 

 

 

 

TCPDump Capture Files

A tcpdump capture file of an entire day's distribution is available for download at this location:

ftp://ftp.nyxdata.com/Real%20Time%20Data%20Samples/NYSE%20Openbook%20Ultra/

Typically the file contains the entire record of packets sent over a datafeed multicast group for a day, including start-of-day and end-of-day messages.  In some cases we have capture multiple channels in addition to refresh channels.

NYSE BBO

The Real-Time NYSE Quotes feed provides NYSE Quotes (best bid/ask quotations) for all NYSE-traded securities as part of the NYSE OpenBook product offering. For no additional fees, customers of NYSE OpenBook can choose to receive the NYSE Best Quote directly from NYSE rather than through the Consolidated Quotation System (CQS). This means that firms will be provided a complete liquidity picture containing both depth of book and best market quote interest directly and more efficiently than ever before. The NYSE best market quote differs from top of book information in that it contains not only limit orders on the book but specialist and Floor broker interest that is not on the book.

NYSE BBO Client Specification

The client specifications below are for a future release of NYSE BBO in XDP format scheduled for 2014.

XDP BBO Client Specification

XDP Common Client Specification

Access to NYSE BBO can be obtained through a market data vendor or by connecting to SFTI (pronounced 'safety'). SFTI stands for Secure Financial Transaction Infrastructure - It is an network through which customers connect to the market data distribution system and other services provided by SIAC. For more information on SFTI please contact SFTI@SIAC.COM or call 1-866-USE-SIAC.

The NYSE Common Access Point® Network is an extranet that serves as a common point of access between the NYSE production networks and the networks of NYSE members, sponsored nonmembers (e.g., institutions, broker / dealers, and individual investors), and market data vendors. The NYSE CAP network will provide connectivity for information products (outbound) as well as, receipt of customers orders (inbound). NYSE OpenBook® data recipients may be members, non-members and market data vendors.

NYSE CAP is operated and maintained by SIAC on behalf of the NYSE. Access to CAP and other market data distribution products can be obtained via SFTI (pronounced 'safety') the Secure Financial Transaction Infrastructure. NYSE CAP is a product of the NYSE, and will only be available for NYSE services. For additional information on CAP the customer guide (spec) is provided below. For additional information on SFTI please contact SFTI@SIAC.COM or call 1-866-USE-SIAC.

Test data is disseminated for all stocks directly by SIAC on behalf of the NYSE. For more information on how to access test data, please contact SFTI@SIAC.COM or call 1-866-USE-SIAC. SFTI (pronounced 'safety') is the Secure Financial Transactions Infrastructure. It is an infrastructure through which customers connect to market data distribution systems and other services provided by SIAC.

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Reuters