The ISE Depth of Market Feed is a real-time data feed that provides the aggregated volume of all quotes and orders available at each of the top five price levels for options that trade on ISE.
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The ISE Depth of Market Feed is designed to improve trading efficiency by providing transparency beyond the Best Bid and Offer (BBO) on the equity options exchange.
The ISE Depth of Market Feed is delivered using the Fix Fast protocol. This product is one of the first market data offerings to use this new standard, which reduces the bandwidth required to receive data and decreases the latency of transmission.
The Fix Fast format makes it easy to integrate the feed with other applications and does not require use of a proprietary application programming interface (API).
ISE was an active member in the Fix Protocol Organisation, which developed the Fast protocol to encourage use of a common, efficient industry standard for market data.
Gary Katz, chief operating officer at the International Securities Exchange, said, "This product establishes a new standard in market data dissemination to make data easier to access and more efficient to use for traders and investors."
The ISE Depth of Market Feed will be a subscription offering but is currently available for evaluation during an introductory period.