NYSE OPENBOOK ULTRA – FREQUENTLY ASKED QUESTIONS
OVERVIEW
NYSE OpenBook Ultra, a real-time event-based feed, is a faster and enhanced version of the NYSE
OpenBook real-time product that will further increase the transparency of the NYSE market and provide
data to customers as its available in the market. NYSE OpenBook Ultra is available in addition to the current
one-second update product available today. NYSE OpenBook Ultra is a data feed of NYSE limit-order book,
as well as displayed crowd and Designated Market Maker (DMM) interest. Data is provided in a new
format containing aggregate limit-order volume and individual event by event volume, action and price
information for all bid and offer prices in all NYSE-traded issues updated as an event occurs between 7:30
AM and 4:00 PM EST. A true real-time data feed that provides investors with the ability to see what the
specialist sees.
The following information is provided to assist subscribers with frequently asked questions concerning
NYSE OpenBook Ultra data. For additional product information, visit: http://www.nyxdata.com/DataProducts/NYSE-OpenBook.
1. DO I NEED TO ESTABLISH A TCP/IP CONNECTION?
Yes, a TCP/IP connection is needed for requesting retransmissions of any kind, for example, dropped
packets, book refresh, symbol mappings, and so forth.
2. HOW DO I REQUEST THE SYMBOL INDEX MAPPING?
Symbol mappings can be requested by establishing a TCP/IP connection to the Recovery/Retransmission
Server. Subscribers must connect to the appropriate IP and port for the desired symbol range. Subscribers
can populate the symbol index field 0 in order to receive the full symbol list for that multicast group. The
Symbol Index Mapping will be sent down the Refresh Multicast Group (request based).
3. HOW ARE INTRADAY SYMBOL ADDS HANDLED IN REFERENCE TO SYMBOL INDEX MAPPING?
The index mapping for an intraday symbol add is sent down the appropriated multicast channel before any
adds, modifies, deletes or imbalances. This ensures subscribers can process inline without having to issue a
request. If the mapping update is missed or dropped inline, subscribers may request the mapping through
the Recovery Server.
4. HOW CAN A CLIENT DETERMINE WHEN A DELTA UPDATE THAT SPANS MULTIPLE PACKETS IS
COMPLETE?
Clients cannot determine a delta update is complete by simply looking at a message received from the main
feed. This was designed to keep latency at a minimum. The NYSE does not sit on the update, waiting for the
rest of the event to be finished, rather the NYSE sends updates on a real-time basis. The NYSE believes this
allows clients to be as current as possible with changes in the book.
Instead clients must use the following logic:
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Every delta (and Full) update message contains a SymbolSeqNum (a.k.a EventId or SourceSeqNum)
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When a delta message is received with a different SymbolSeqNum, it belongs to a newer event
than the previous delta message, assuming there were no gaps in the packets.
Clients must process data as they receive it. The OpenBook feed is designed such that a price-point
will never span packets.
5. WHAT IS THE CORRECT METHOD OF DEALING WITH OUT-OF-SEQUENCE UDP PACKETS FOR REFRESHES
THAT SPAN MULTIPLE PACKETS?
The last packet in a series of refresh packets will contain a RetransFlag of 6 (end of Refresh Retransmission).
All other refresh packets will contain a RetransFlag of 5 (Refresh Retransmission). In addition, the LinkFlag
of each packet contains the sequence of that packet in a series of multi-packet Refresh Retransmissions.
Thus, if the Refresh Retransmission is split over n packets, packets 1 to n-1 will contain RetransFlag 5 and
LinkFlags of 1, 2, ... n-1 respectively. The last packet will have a RetransFlag of 6 and LinkFlag of "n". On
reading any packet (in any order), the application can detect whether it has gapped any packets in the
series (if it is missing LinkFlag packets of less than the current packet) and whether there are more packets
(if the RetransFlag is 5). The application must then wait for the remaining packets to be read off the wire
and process the entire refresh retransmission. Note: If any of the packets are lost in transit (after waiting
for a reasonable time for them to be read), the client may resubmit the refresh request.
6. CAN I SEND MY SYMBOL INDEX OR REFRESH REQUESTS TO ANY CHANNEL OR DOES IT NEED TO BE TO
SPECIFIC THE CHANNEL SYMBOL LETTER RANGE?
When requesting a Symbol index Mapping or refresh request, you need to send to the request to symbols
corresponding channel, that is, symbol ABC to Channel AA, BBB to Channel BB, otherwise your request will
not be honored.
7. WHICH SOURCE SUBNET IS FOR THE PRIMARY FEED AND FOR THE SECONDARY FEED?
We are using the subnet model in order to mitigate any kind of server failure on our end. For this reason,
the source IP provided to you today cannot be guaranteed to be the same tomorrow. Some firms need to
add the Source IPs to their network filters or firewall rules. That is the reason these Source Subnets are
provided.
8. IN NYSE OPENBOOK ULTRA, CAN THE BOOK/FEED BE "CROSSED"/"LOCKED" ? IF SO, WHY/WHEN?
Yes, it is possible for the book to be crossed/locked under certain conditions:
■ Before-Open – the book may be locked and crossed until the stock is opened by the specialist.
– Opening time is typically 9:30 am EST but some stocks may open late due to news pending or
equipment failure. If you subscribe to the NYSE Alerts feed, you will receive opening delay alerts for
the stock.
■ Around-open – when the book opens, it should unlock/uncross within seconds.
– However, in some rare condition, it may take a few minutes ( depends on certain type of quotes
and required specialist activity )
■ Slow market – during the day the book may lock/cross for a few seconds (up to a minute) when the
book switches from auto-exec to manual.
– (This can happen when an LRP is hit. If you subscribe to the LRP feed, you will have knowledge of
what the LRP was, around that time.)
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■ Orders larger than one million
– Currently, any order over 1,000,000 shares is not eligible for auto-execution and will lock/cross the
book, causing it to go slow if it is marketable.
9. ARE ODD LOT ORDERS PUBLISHED IN NYSE OPENBOOK ULTRA?
No. The matching engine does not publish odd lot orders to this feed.
10. WHAT TYPES OF ORDERS ARE INCLUDED IN NYSE OPENBOOK ULTRA?
NYSE OpenBook Ultra Includes displayed limit order, broker and DMM interest.
11. SHOULD THE OPENBOOK AND PUMP FEEDS (AROUND THE 1-SECOND SNAPSHOTS) MATCH?
NYSE OpenBook Ultra is a real-time event-based feed whereas NYSE OpenBook is based on 1-second
snapshots of the order book. Assuming that clients are matching based on a 1-second interval; the two
feeds should represent equivalent data, except for issues related to timing. As such, assuming that there is
not much activity on a given price-point, the two feeds should show similar volumes.
12. WHY DOESN'T THE TOP OF THE BOOK FROM NYSE OPENBOOK ULTRA MATCH THE CQS QUOTE AND
THE NYSE (AMEX) BEST QUOTE?
NYSE OpenBook Ultra, CQS Quote and NYSE (Amex) Best Quote are all separate feeds with their own
timings. NYSE OpenBook Ultra does not necessarily have to be top of the book. But at some point in the
sequence of events, when an order arrival hits the top of the book, that event would exist in the NYSE
(Amex) Best Quote feed and CQS feed at different points in time. Top of book should be the same as CQS.
13. THE CUSTOMER SEES NYSE OPENBOOK ULTRA SENDING A QUOTE THAT CROSSES/LOCKS "THE
MARKET", BUT THE NYSE BOOK IS NOT LOCKED/CROSSED – IS THIS POSSIBLE? IF SO, WHY/WHEN?
Reg NMS requires exchanges to consider/route to away markets that offer the best prices. This requires
exchanges to read away market quotes.
Assuming that customers are monitoring other markets, it is possible for the OpenBook Ultra feed to lock
other markets.
Due to the inherent timing differences of systems receiving quotes from markets, reacting to these
conditions and generating event information, it is possible for customers to “see” an NYSE quote that
locks/crosses other markets while the NYSE book may have determined to be in a “free-for-all” market
condition.
For example, depending on the network, feed and application latencies involved, a customer may receive
an away market quote before the NYSE book may have. Thus, the next quote from OpenBook Ultra may
not reflect this condition, causing the customer to believe that the newly received NYSE quote caused the
lock/cross.
14. WHY THE LOCKS/CROSSES DURING SLOW-MARKET? HOW DOES THE BOOK/OBO HANDLE
MARKET(ABLE) ORDERS?
When the NYSE quote is fast, and an arriving order will auto-execute, the interest is not posted on OBO
before execution. This is similar to the “NASDAQ method”.
However, when the Book is slow, and the arriving interest will not auto-execute, and will instead remain
locking or crossing the Book until a manual trade takes place, the interest will be posted on OBO as locking
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or crossing the NYSE market. Because the trade has not yet taken place, there is still an opportunity for
customers to send their interest in to participate in the trade that will clear the market.
15. WHY DO SOME STOCKS SEEM TO CROSS/LOCK QUITE OFTEN, SUCH AS “BRK.A” AND “BRK.B”? IS
THERE SOMETHING SPECIAL ABOUT THESE STOCKS?
Certain high-value stocks such as BRK.A and BRK.B (Berkshire) are also thinly traded and do not qualify for
auto-execute. Instead, these stocks tend to trade manually. As noted above, stocks may lock/cross during
slow-market. Hence, these stocks may lock/cross more frequently.
16. WILL CLIENTS SEE LOCKS/CROSSES IF THEY START READING THE FEEDS AFTER THE OPEN?
If clients restart their books after the open, they have to ensure that they request a full update/ refresh
retransmission to get all the price-points on the book and then correctly apply all delta updates from the
main feed (catch up and be current).
Once they do so, they should not see any PERSISTENT locks/crosses (except for a few-short-duration ones
due to LRP).
Please note, however, that limit orders that are “away” from the top of the book will continue to be
present, as long as they do not cross/lock the book.
17. ARE THE PRICE POINTS RE-ORDERED IN AN UPDATE TO AVOID MOMENTARY CROSSED/LOCKED
BOOKS?
We ask clients not to depend on the “ordering” of data within a delta/event/packets since we “walk” the
book optimized for performance.
For example, we may choose to group data in an event/packets based on either price-points or side (buy
versus sell) or OrderIDs, and so forth.
Hence it is possible that, as clients are processing price-points within a packet, they may encounter
temporary locks/crosses.
Barring valid scenarios for locks/crosses, the client can be assured that the book will not be crossed/locked
at the end of the event (which may be one or multiple packets).
18. THE CLIENT CONTINUES TO SEE LOCKS/CROSSES – WHAT SHOULD THEY DO? WHAT SHOULD CAP OPS
DO?
If the client sees persistent (longer than two minutes) locks/crosses and have verified that they (1) do not
have gaps and (2) have correctly caught up with the main feed, please submit the following data for
investigation:
■ Day of the data being reported
■ Symbol name/security index (either or both)
■ Packet seqnum(s)
■ Packet Time or Source Time (s)
■ Source Seq Num (s)
■ Offending Price-points(s)
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19. WHAT ARE SOME EXAMPLES OF LINK IDS BEING MAPPED TO OTHER DATA FEEDS?
1. RPI (retail price improvement) executions
The NYSE does not send RPI orders to OpenBook as these orders are held in the dark pool until the retail
taker order arrives that executes against them; however, there are valid executions which are reported to
the tape, which is one reason users will see these link IDs on the NYSE Trades feed but not in NYSE
OpenBook. Whatever is described in RPI executions is valid for executions against CCS interest (Capital
Commitment Schedule – the Designated Market Maker (DMM) interest that is kept in the blind file until
marketable or quotable orders arrive which can trade against CCS). This is also true with retail executions,
which are valid executions and are reported to the tape, but because CCS interest is not sent to OpenBook,
the users will see these link IDs on the NYSE Trades feed, but not in NYSE OpenBook.
The same explanation holds true for dark liquidity (e.g. zero display DOT reserve orders [customer orders]
and do not display zero display eQuotes [broker interest]).
2. Executions at away markets
 Executions at away markets are not reported to the tape nor NYSE OpenBook from the
NYSE. There will not be any link IDs for orders routed away because these messages are not
sent to NYSE OpenBook. When the NYSE receives the execution from the away market, the
NYSE does not send anything to OpenBook since the order was already reduced when
routed.
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FURTHER INFORMATION
For additional product information, visit: http://www.nyxdata.com/Data-Products/NYSE-OpenBook.
CONTACT INFORMATION
For technical support please contact the Service Desk:
■ Telephone: +1 212 383 3640 (International)
■ Telephone: 866 873 7422 (Toll free, US only)
■ Email: [email protected]
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