NYSE Euronext will introduce two new data products – NYSE OpenBook Ultra and NYSE Order Imbalances – that will significantly enhance the transparency of the New York Stock Exchange with a combination of more information, faster speed and other benefits for customers.
“These products provide traders with new insight into what’s happening in the market, and they deliver that information with sub-millisecond speed and with innovative features that make the data even more valuable,” said Mark Schaedel, Vice President, NYSE Data Products.
NYSE OpenBook Ultra: Stronger Performance, Content, Functionality
NYSE OpenBook Ultra, a value-added version of NYSE OpenBook, will offer lower latency and additional content and functionality. It will be made available on June 2 to current NYSE OpenBook customers, for no additional fee.
- With sub-millisecond latency, NYSE OpenBook Ultra updates with every limit-order book event, such as orders, executions and cancellations (compared with NYSE OpenBook Real-time, which updates every second) and includes orders originating from NYSE specialists and floor brokers as well as NYSE customers outside the trading floor.
- An innovative “self-healing” format eases recoverability in the event of missed messages. The current state of the book is maintained with each update, allowing customers to easily pick up where they may have left off and move forward without having to process what they may have missed.
- NYSE OpenBook Ultra contains additional unique information:
- Reason codes provide details about why each book update is made (i.e., traded, cancelled);
- Trade Link IDs enable customers to link removed interest to a trade print or an InfoTools message;
- OpenBook Ultra also provides the number of orders at each price point;
- Microsecond timestamp resolution, enabling better precision in trading strategies.
NYSE Order Imbalances: More Information at Critical Times of the Trading Day
NYSE Order Imbalances will provide customers with rich information in advance of the NYSE’s opening and closing auctions. This will help traders better manage their executions strategies at those critical points of the trading day, and also further strengthen the quality of the auctions. Order Imbalances will be made available to NYSE OpenBook customers starting July 1.
Order Imbalances will include the following information: time (in milliseconds); symbol; side of the imbalance (buy/sell); paired quantity; imbalance quantity; and reference price (last sale).
Opening imbalances will be disseminated every 5 minutes between
Testing Availability
Testing for NYSE OpenBook Ultra is currently available to any NYSE OpenBook customer connected to the SFTI Network.
NYSE Order Imbalances testing on an intraday basis is currently available through June 6. Regular Tuesday and Thursday night testing will be available after June 6 and continue through the July 1 launch of Order Imbalances.
Additional Information
NYSE OpenBook Ultra Page: http://www.nyxdata.com/nysedata/default.aspx?tabid=694
NYSE Order Imbalances Page: http://www.nyxdata.com/nysedata/default.aspx?tabid=715
